FSP Options History — July 2013

In July 2013, FSP traded between $13.31 and $14.38. ATM implied volatility averaged 20.3%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.1% (HV 20d: 24.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.17.

Notable Days

2013-07-15: Highest Volume — 110 contracts
2013-07-31: Largest IV spike — 69.9% change
2013-07-31: Highest IV Rank — 10.9%
2013-07-31: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.84	$13.31	$14.38	$13.33	$13.31
Max Pain	$13.09	$12.50	$15.00	$15.00	$15.00
ATM IV	20.3%	15.3%	32.5%	19.5%	32.5%
Expected Move	5.7%	4.4%	9.3%	5.6%	9.3%
HV 20d	24.4%	13.6%	30.5%	29.4%	23.9%
HV 60d	24.5%	22.8%	26.2%	25.8%	24.5%
IV Rank	4.2%	1.5%	10.9%	3.7%	10.9%
IV Percentile	19.7%	6.3%	41.7%	17.1%	41.7%
Term Structure	0.9%	-18.1%	10.5%	10.5%	-18.1%
Skew 25d	4.6%	-3.4%	13.8%	-1.7%	-2.6%
Skew 10d	6.7%	-3.7%	15.4%	-3.7%	13.5%
Call IV 25d	17.6%	14.1%	26.3%	24.1%	26.3%
Put IV 25d	22.3%	15.7%	28.3%	22.4%	23.7%
Bid-Ask Spread %	35.52	8.98	103.57	25.76	37.07
Gamma HHI	0.85	0.63	0.95	0.91	0.63
Net GEX	10.5K	4.1K	18.5K	4.9K	5.2K
Net DEX	-81.2K	-127.5K	-16.9K	-48.8K	-16.9K
Net VEX	-766	-1.0K	-458	-570	-604
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	0.83	0.00	0.00
Total Volume	14.091	0	110	0	0
Total OI	399.773	312	510	312	448

Daily Data (22 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
2013-07-01	$13.33	$15.00	19.5%	5.6%	29.4%	3.7%	0.0%	-1.7%	10.5%	4.9K	-48.8K	-570	0.00	25.76	N/A	N/A	0	0	283	29
2013-07-02	$13.62	$15.00	23.7%	6.8%	30.4%	6.0%	0.0%	2.1%	-7.9%	6.2K	-60.2K	-575	0.00	9.33	N/A	N/A	0	0	283	29
2013-07-03	$13.51	$15.00	20.4%	5.9%	30.5%	4.2%	0.0%	1.5%	1.5%	5.9K	-64.9K	-596	0.00	8.98	N/A	N/A	0	0	283	29
2013-07-05	$13.40	$12.50	20.7%	5.1%	29.3%	4.3%	0.0%	-3.4%	-1.9%	4.1K	-37.3K	-458	0.00	36.87	N/A	N/A	0	0	283	29
2013-07-08	$13.50	$12.50	24.6%	7.1%	29.3%	6.4%	0.0%	13.8%	3.5%	5.8K	-57.2K	-570	0.00	18.46	N/A	N/A	0	0	283	29
2013-07-09	$13.60	$12.50	29.2%	5.7%	29.4%	8.9%	0.0%	-0.7%	-5.1%	6.6K	-64.2K	-568	0.00	44.53	N/A	N/A	0	0	283	29
2013-07-10	$13.67	$12.50	23.6%	7.0%	28.7%	5.9%	0.0%	-0.7%	-7.9%	6.4K	-66.2K	-583	0.00	31.28	N/A	N/A	0	0	283	29
2013-07-11	$13.92	$12.50	16.1%	4.6%	28.0%	1.9%	0.0%	2.9%	9.7%	8.1K	-83.4K	-660	0.00	10.55	N/A	N/A	95	0	283	29
2013-07-12	$13.89	$12.50	16.1%	4.6%	27.5%	1.9%	0.0%	2.0%	7.6%	12.4K	-110.8K	-769	0.00	28.94	N/A	N/A	3	0	378	29
2013-07-15	$13.95	$12.50	17.4%	5.0%	27.5%	2.6%	0.0%	2.3%	6.7%	12.5K	-105.5K	-741	0.83	12.32	N/A	N/A	60	50	381	29
2013-07-16	$13.96	$12.50	15.8%	4.5%	27.5%	1.7%	0.0%	3.7%	6.7%	11.8K	-99.4K	-949	0.00	29.19	N/A	N/A	0	0	381	79
2013-07-17	$14.07	$12.50	15.3%	4.4%	27.5%	1.5%	0.0%	3.9%	5.5%	12.4K	-111.3K	-983	0.00	28.85	N/A	N/A	0	0	381	79
2013-07-18	$14.23	$12.50	17.1%	4.9%	23.8%	2.4%	0.0%	8.2%	7.6%	14.3K	-105.8K	-919	0.00	31.03	N/A	N/A	100	0	381	79
2013-07-19	$14.26	$12.50	16.7%	4.8%	18.1%	2.2%	0.0%	8.3%	6.9%	15.3K	-124.4K	-1.0K	0.00	103.57	N/A	N/A	0	0	431	79
2013-07-22	$14.38	$12.50	16.7%	4.8%	17.2%	2.2%	0.0%	8.5%	7.4%	16.2K	-127.5K	-975	0.00	48.21	N/A	N/A	0	0	378	79
2013-07-23	$14.37	$12.50	17.0%	4.9%	13.6%	2.4%	0.0%	10.5%	-0.3%	18.5K	-110.2K	-943	0.00	102.99	N/A	N/A	0	0	378	79
2013-07-24	$13.87	$0.00	20.6%	5.9%	19.9%	4.3%	0.0%	6.0%	-2.5%	12.4K	-96.4K	-951	0.00	12.24	N/A	N/A	0	0	367	79
2013-07-25	$13.95	$0.00	21.7%	6.2%	19.4%	5.0%	0.0%	10.3%	-2.5%	13.2K	-100.7K	-990	0.00	101.43	N/A	N/A	0	0	367	79
2013-07-26	$13.93	$0.00	20.0%	5.7%	18.5%	4.0%	0.0%	8.8%	-2.8%	13.3K	-66.7K	-836	0.00	28.53	N/A	N/A	0	0	367	79
2013-07-29	$13.84	$0.00	23.3%	6.7%	18.8%	5.8%	0.0%	8.6%	-2.1%	12.2K	-67.8K	-814	0.00	18.36	N/A	N/A	0	0	367	79
2013-07-30	$13.93	$0.00	19.1%	5.5%	18.7%	3.6%	0.0%	9.3%	-2.1%	13.2K	-60.7K	-763	0.00	12.99	N/A	N/A	2	0	367	79
2013-07-31	$13.31	$15.00	32.5%	9.3%	23.9%	10.9%	0.0%	-2.6%	-18.1%	5.2K	-16.9K	-604	0.00	37.07	N/A	N/A	0	0	369	79