FSP Options History — August 2013

In August 2013, FSP traded between $11.96 and $13.18. ATM implied volatility averaged 22.5%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.1% (HV 20d: 22.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2013-08-30: Highest Volume — 36 contracts
2013-08-12: Largest IV spike — 39.3% change
2013-08-01: Highest IV Rank — 7.8%
2013-08-13: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.63	$11.96	$13.18	$13.18	$12.18
Max Pain	$12.73	$12.50	$15.00	$15.00	$12.50
ATM IV	22.5%	18.6%	26.8%	26.8%	23.8%
Expected Move	6.7%	5.3%	8.0%	7.7%	6.8%
HV 20d	22.7%	18.7%	25.4%	24.0%	20.1%
HV 60d	23.9%	23.0%	24.7%	24.3%	24.4%
IV Rank	5.4%	3.3%	7.8%	7.8%	6.1%
IV Percentile	30.7%	18.7%	40.5%	35.7%	37.7%
Term Structure	2.4%	-7.4%	21.8%	-7.4%	1.7%
VWIV	23.9%	22.5%	25.3%	22.5%	25.3%
Skew 25d	23.9%	-10.3%	91.7%	-10.3%	91.7%
Skew 10d	44.9%	-4.2%	122.8%	2.0%	122.8%
Call IV 25d	22.7%	17.4%	26.9%	26.9%	24.9%
Put IV 25d	46.6%	16.7%	116.7%	16.7%	116.7%
Bid-Ask Spread %	21.29	8.87	35.82	10.14	13.92
Gamma HHI	0.57	0.51	0.69	0.69	0.64
Net GEX	630	-2.2K	7.2K	7.2K	-2.2K
Net DEX	28.6K	-41.3K	60.8K	-41.3K	58.6K
Net VEX	-414	-750	-246	-750	-246
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	2.727	0	36	0	36
Total OI	440.591	433	452	448	436

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-08-01	$13.18	$15.00	26.8%	7.7%	24.0%	7.8%	0.0%	-10.3%	-7.4%	7.2K	-41.3K	-750	10.14	N/A	N/A	0	0	369	79
2013-08-02	$13.14	$15.00	19.1%	5.5%	23.8%	3.5%	0.0%	-1.4%	0.4%	5.4K	-10.8K	-621	8.87	N/A	N/A	0	0	369	79
2013-08-05	$13.10	$12.50	18.6%	5.8%	23.6%	3.3%	0.0%	1.7%	3.0%	2.7K	6.7K	-513	35.82	N/A	N/A	0	0	369	79
2013-08-06	$13.10	$12.50	19.4%	7.4%	23.4%	3.7%	0.0%	27.7%	-0.1%	3.9K	-99	-564	29.71	N/A	N/A	0	0	369	79
2013-08-07	$13.07	$12.50	19.1%	6.1%	23.3%	3.5%	0.0%	7.1%	5.8%	3.4K	4.7K	-541	22.38	N/A	N/A	0	0	369	79
2013-08-08	$13.07	$12.50	20.1%	6.8%	22.0%	4.1%	0.0%	19.7%	1.3%	1.7K	14.1K	-478	35.27	N/A	N/A	0	0	369	79
2013-08-09	$13.07	$12.50	19.2%	6.1%	22.0%	3.6%	0.0%	5.0%	4.3%	3.3K	3.8K	-502	26.72	N/A	N/A	0	4	369	79
2013-08-12	$13.08	$12.50	26.7%	6.5%	21.9%	7.7%	0.0%	7.6%	2.5%	2.3K	12.9K	-500	24.17	N/A	N/A	0	0	369	83
2013-08-13	$12.84	$12.50	22.4%	8.0%	22.5%	5.3%	22.5%	43.6%	-3.5%	2.1K	20.9K	-478	25.86	N/A	N/A	17	0	369	83
2013-08-14	$12.85	$12.50	22.1%	6.7%	22.2%	5.2%	0.0%	3.3%	1.3%	868	22.9K	-437	16.53	N/A	N/A	0	0	352	83
2013-08-15	$12.50	$12.50	23.5%	6.7%	22.8%	5.9%	0.0%	2.7%	1.8%	-748	39.6K	-377	20.80	N/A	N/A	0	0	352	83
2013-08-16	$12.25	$12.50	24.4%	7.0%	23.0%	6.4%	0.0%	1.4%	-0.3%	-1.1K	46.0K	-335	30.19	N/A	N/A	0	0	352	83
2013-08-19	$11.96	$12.50	23.1%	6.6%	22.9%	5.7%	0.0%	-3.2%	-3.6%	-1.4K	60.8K	-273	16.91	N/A	N/A	0	0	350	83
2013-08-20	$12.23	$12.50	23.9%	6.9%	25.4%	6.2%	0.0%	72.5%	3.0%	-2.0K	58.1K	-269	17.00	N/A	N/A	0	0	350	83
2013-08-21	$12.21	$12.50	25.8%	7.4%	23.3%	7.2%	0.0%	0.3%	1.3%	-1.6K	52.7K	-294	18.60	N/A	N/A	2	0	350	83
2013-08-22	$12.22	$12.50	18.6%	5.3%	23.0%	3.3%	0.0%	8.6%	12.2%	-1.9K	56.1K	-278	28.75	N/A	N/A	0	0	352	83
2013-08-23	$12.37	$12.50	21.6%	6.2%	23.9%	4.9%	0.0%	72.3%	2.4%	-2.1K	51.6K	-301	19.60	N/A	N/A	0	0	352	83
2013-08-26	$12.40	$12.50	25.3%	7.2%	24.1%	6.9%	25.3%	2.6%	21.8%	-614	26.3K	-431	19.14	N/A	N/A	1	0	352	83
2013-08-27	$12.38	$12.50	24.8%	7.1%	23.7%	6.6%	0.0%	7.1%	1.6%	-1.5K	45.2K	-319	16.27	N/A	N/A	0	0	353	83
2013-08-28	$12.25	$12.50	24.9%	7.2%	18.7%	6.7%	0.0%	83.0%	-0.5%	-1.9K	55.1K	-277	12.92	N/A	N/A	0	0	353	83
2013-08-29	$12.40	$12.50	22.9%	6.6%	19.4%	5.6%	0.0%	82.5%	3.8%	-1.9K	46.5K	-326	18.77	N/A	N/A	0	0	353	83
2013-08-30	$12.18	$12.50	23.8%	6.8%	20.1%	6.1%	0.0%	91.7%	1.7%	-2.2K	58.6K	-246	13.92	N/A	N/A	36	0	353	83