FSP Options History — April 2013

In April 2013, FSP traded between $14.35 and $15.27. ATM implied volatility averaged 36.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 16.0% (HV 20d: 20.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-04-15: Highest Volume — 1 contracts
  • 2013-04-04: Largest IV drop — 88.2% change
  • 2013-04-02: Highest IV Rank — 93.9%
  • 2013-04-02: Largest Expected Move — 53.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.79$14.35$15.27$14.59$15.27
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.7%12.6%187.4%139.5%33.2%
Expected Move10.5%4.0%53.7%40.0%9.5%
HV 20d20.8%14.3%27.2%14.3%27.2%
HV 60d20.9%18.8%22.7%18.8%22.7%
IV Rank15.1%2.5%93.9%68.9%13.3%
IV Percentile16.2%0.4%94.0%67.9%19.4%
Term Structure-6.5%-80.1%8.8%-55.1%-5.0%
VWIV18.0%18.0%18.0%18.0%18.0%
Skew 25d14.1%-4.9%90.6%-0.1%18.4%
Skew 10d16.0%-2.7%123.2%14.5%10.8%
Call IV 25d30.8%12.6%148.5%74.2%25.7%
Put IV 25d45.0%17.3%150.8%74.1%44.1%
Bid-Ask Spread %83.0023.63150.53148.8458.05
Gamma HHI0.980.891.000.961.00
Net GEX42.9K14.6K116.1K34.2K116.1K
Net DEX-389.1K-519.0K-337.1K-386.5K-519.0K
Net VEX-1.3K-1.6K-973-1.5K-973
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0450100
Total OI602.864557617616557

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$14.59$0.00139.5%40.0%14.3%68.9%0.0%-0.1%-55.1%34.2K-386.5K-1.5K0.00148.84N/AN/A0059620
2013-04-02$14.72$0.00187.4%53.7%14.5%93.9%0.0%2.3%-80.1%42.8K-405.2K-1.5K0.00150.53N/AN/A0059620
2013-04-03$14.48$0.00149.5%42.9%15.2%74.1%0.0%-4.9%-64.1%14.6K-414.4K-1.6K0.00149.04N/AN/A0059620
2013-04-04$14.80$0.0017.7%5.1%15.8%5.1%0.0%15.1%0.6%36.6K-360.3K-1.4K0.0047.02N/AN/A0059620
2013-04-05$14.69$0.0020.1%5.0%16.1%6.4%0.0%4.6%3.8%37.1K-372.8K-1.4K0.0040.43N/AN/A0059620
2013-04-08$14.85$0.0023.1%5.8%16.4%8.0%0.0%90.6%-2.9%40.3K-351.3K-1.4K0.0042.72N/AN/A0059620
2013-04-09$14.80$0.0014.0%4.2%16.5%3.2%0.0%0.5%1.5%39.1K-432.3K-1.5K0.0023.63N/AN/A0059620
2013-04-10$15.00$0.0012.6%4.3%16.4%2.5%0.0%83.2%2.9%39.5K-441.6K-1.4K0.0042.27N/AN/A0059620
2013-04-11$15.00$0.0013.9%4.0%16.4%3.1%0.0%4.3%5.3%43.6K-476.7K-1.4K0.0098.84N/AN/A0059620
2013-04-12$15.00$0.0015.7%4.5%16.2%4.1%0.0%6.0%7.3%38.6K-435.3K-1.4K0.0057.36N/AN/A0059620
2013-04-15$14.35$0.0019.0%5.5%23.3%5.8%18.0%1.0%1.6%34.2K-344.9K-1.3K0.0065.20N/AN/A1059620
2013-04-16$14.77$15.0015.6%4.5%25.4%4.0%0.0%12.3%8.8%36.6K-368.8K-1.2K0.0060.66N/AN/A0059720
2013-04-17$14.74$15.0015.8%4.5%25.3%4.1%0.0%10.1%5.5%38.3K-351.9K-1.2K0.00122.27N/AN/A0059720
2013-04-18$14.75$15.0015.3%4.4%25.2%3.9%0.0%8.6%5.5%38.5K-358.0K-1.2K0.0044.85N/AN/A0059720
2013-04-19$14.86$15.0015.9%4.6%25.0%4.2%0.0%10.9%5.7%42.5K-392.4K-1.3K0.00116.61N/AN/A0059720
2013-04-22$14.77$15.0015.7%4.5%25.0%4.1%0.0%13.6%6.4%40.1K-348.5K-1.2K0.00119.30N/AN/A0059720
2013-04-23$14.98$15.0015.0%4.3%24.9%3.7%0.0%9.6%4.4%50.7K-425.6K-1.3K0.00113.64N/AN/A0059720
2013-04-24$14.89$15.0013.8%4.0%24.6%3.1%0.0%6.9%5.8%48.0K-337.1K-1.3K0.00128.21N/AN/A0053720
2013-04-25$14.78$15.0015.6%4.5%24.1%4.1%0.0%9.2%3.6%45.7K-351.2K-1.3K0.0055.84N/AN/A0053720
2013-04-26$14.64$15.0020.1%5.7%24.3%6.4%0.0%2.8%-3.2%43.3K-341.4K-1.3K0.0051.28N/AN/A0053720
2013-04-29$14.75$15.0020.0%5.7%24.5%6.3%0.0%6.4%-0.9%44.3K-344.4K-1.2K0.0089.42N/AN/A0053720
2013-04-30$15.27$15.0033.2%9.5%27.2%13.3%0.0%18.4%-5.0%116.1K-519.0K-9730.0058.05N/AN/A0053720