FSP Options History — March 2013 In March 2013, FSP traded between $13.94 and $14.76. ATM implied volatility averaged 58.9%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 36.9% (HV 20d: 22.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-03-07 : Highest Volume — 400 contracts2013-03-13 : Largest IV spike — 413.7% change2013-03-13 : Highest IV Rank — 71.1%2013-03-28 : Largest Expected Move — 40.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.22 $13.94 $14.76 $13.96 $14.62 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 58.9% 12.7% 143.8% 133.3% 142.7% Expected Move 12.9% 3.6% 40.9% 38.2% 40.9% HV 20d 22.0% 14.9% 26.0% 26.0% 14.9% HV 60d 20.0% 19.6% 20.3% 19.6% 20.3% IV Rank 26.7% 2.5% 71.1% 65.6% 70.5% IV Percentile 26.3% 0.4% 69.8% 66.7% 69.4% Term Structure -0.4% -43.7% 92.3% -43.7% -42.8% Skew 25d 3.5% -5.6% 11.4% 1.3% -5.6% Skew 10d 4.6% -5.7% 18.5% 15.0% 9.6% Call IV 25d 35.9% 10.3% 110.1% 105.1% 110.1% Put IV 25d 39.5% 16.9% 106.4% 106.4% 104.5% Bid-Ask Spread % 94.50 15.47 154.65 154.65 148.70 Gamma HHI 0.89 0.67 1.00 1.00 0.94 Net GEX 19.8K 531 32.7K 531 30.5K Net DEX -255.4K -425.8K -45.9K -45.9K -363.0K Net VEX -1.3K -1.7K -202 -247 -1.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 28.2 0 400 0 0 Total OI 508.25 83 619 83 616
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-03-01 $13.96 $12.50 133.3% 38.2% 26.0% 65.6% 0.0% 1.3% -43.7% 531 -45.9K -247 0.00 154.65 N/A N/A 0 0 60 23 2013-03-04 $13.94 $0.00 36.3% 4.8% 25.4% 14.9% 0.0% 2.8% 8.6% 1.3K -57.9K -202 0.00 27.57 N/A N/A 164 0 60 23 2013-03-05 $14.15 $0.00 97.0% 14.6% 25.1% 46.7% 0.0% -3.0% 0.6% 6.1K -142.0K -700 0.00 147.56 N/A N/A 0 0 224 23 2013-03-06 $13.96 $0.00 109.5% 15.9% 25.4% 53.2% 0.0% -3.9% -12.9% 6.2K -129.5K -680 0.00 144.34 N/A N/A 0 0 224 23 2013-03-07 $14.08 $0.00 49.3% 5.8% 25.4% 21.7% 0.0% 8.6% 13.9% 8.0K -119.2K -604 0.00 27.05 N/A N/A 400 0 224 23 2013-03-08 $14.09 $0.00 53.0% 7.6% 24.9% 23.6% 0.0% 11.4% 10.0% 25.3K -285.5K -1.5K 0.00 78.97 N/A N/A 0 0 596 23 2013-03-11 $14.12 $0.00 43.7% 4.4% 23.5% 18.8% 0.0% 5.7% 8.4% 25.2K -263.5K -1.4K 0.00 23.35 N/A N/A 0 0 596 23 2013-03-12 $14.00 $0.00 28.0% 4.9% 23.8% 10.5% 0.0% 3.4% 6.2% 23.8K -249.0K -1.5K 0.00 80.03 N/A N/A 0 0 596 23 2013-03-13 $13.98 $0.00 143.8% 22.8% 23.5% 71.1% 0.0% -2.4% -24.3% 23.1K -237.2K -1.4K 0.00 148.29 N/A N/A 0 0 596 23 2013-03-14 $14.14 $0.00 13.0% 3.7% 23.7% 2.6% 0.0% 4.5% 6.5% 26.4K -235.6K -1.4K 0.00 15.47 N/A N/A 0 0 596 23 2013-03-15 $14.17 $0.00 47.1% 13.5% 23.4% 20.5% 0.0% 0.3% -19.6% 18.1K -339.2K -1.7K 0.00 148.02 N/A N/A 0 0 596 23 2013-03-18 $14.24 $0.00 14.4% 4.1% 23.4% 3.4% 0.0% 6.8% 92.3% 29.4K -242.5K -1.3K 0.00 26.53 N/A N/A 0 0 596 20 2013-03-19 $14.20 $0.00 12.7% 3.6% 23.4% 2.5% 0.0% 5.0% -0.3% 30.9K -267.6K -1.4K 0.00 15.77 N/A N/A 0 0 596 20 2013-03-20 $14.34 $0.00 38.8% 11.1% 21.3% 16.2% 0.0% 8.4% -12.1% 19.9K -358.0K -1.7K 0.00 142.57 N/A N/A 0 0 596 20 2013-03-21 $14.22 $0.00 47.0% 13.5% 20.2% 20.5% 0.0% 4.7% -4.7% 14.3K -379.7K -1.7K 0.00 146.84 N/A N/A 0 0 596 20 2013-03-22 $14.34 $0.00 13.6% 3.9% 19.4% 3.0% 0.0% 8.1% -2.2% 30.1K -263.7K -1.4K 0.00 42.20 N/A N/A 0 0 596 20 2013-03-25 $14.57 $0.00 14.0% 4.0% 16.8% 3.2% 0.0% 9.0% -0.4% 32.7K -320.3K -1.5K 0.00 84.67 N/A N/A 0 0 596 20 2013-03-26 $14.76 $0.00 28.8% 8.3% 16.2% 10.9% 0.0% 6.1% -8.0% 22.6K -425.8K -1.7K 0.00 138.13 N/A N/A 0 0 596 20 2013-03-27 $14.54 $0.00 112.5% 32.2% 15.0% 54.7% 0.0% -0.6% 16.1% 22.1K -383.9K -1.6K 0.00 149.20 N/A N/A 0 0 596 20 2013-03-28 $14.62 $0.00 142.7% 40.9% 14.9% 70.5% 0.0% -5.6% -42.8% 30.5K -363.0K -1.6K 0.00 148.70 N/A N/A 0 0 596 20
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