FSP Options History — September 2013 In September 2013, FSP traded between $11.78 and $13.10. ATM implied volatility averaged 23.0%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.0% (HV 20d: 24.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-13 : Highest Volume — 50 contracts2013-09-06 : Largest IV spike — 53.8% change2013-09-06 : Highest IV Rank — 8.3%2013-09-16 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.51 $11.78 $13.10 $11.96 $12.74 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 23.0% 18.1% 27.9% 21.4% 23.5% Expected Move 6.5% 5.2% 7.6% 6.1% 6.7% HV 20d 24.0% 19.9% 26.0% 20.8% 24.6% HV 60d 23.8% 22.2% 24.9% 24.5% 22.9% IV Rank 5.7% 3.0% 8.3% 4.8% 5.9% IV Percentile 35.7% 18.7% 46.0% 28.6% 39.3% Term Structure 2.1% -2.5% 8.6% -1.3% 2.4% Skew 25d 22.6% -6.5% 81.6% 18.1% -3.9% Skew 10d 35.4% -18.4% 121.1% 8.4% -5.7% Call IV 25d 23.9% 16.9% 28.2% 16.9% 27.7% Put IV 25d 46.4% 16.4% 106.5% 35.0% 23.8% Bid-Ask Spread % 28.69 8.18 58.73 8.18 15.65 Gamma HHI 0.60 0.50 0.72 0.64 0.55 Net GEX -1.9K -4.1K -211 -1.7K -1.2K Net DEX 42.6K 11.9K 72.5K 55.7K 34.0K Net VEX -354 -413 -272 -272 -326 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 5.25 0 50 18 3 Total OI 382.2 214 463 437 221
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 2013-09-03 $11.96 $12.50 21.4% 6.1% 20.8% 4.8% 0.0% 18.1% -1.3% -1.7K 55.7K -272 0.00 8.18 N/A N/A 0 18 354 83 2013-09-04 $12.03 $12.50 19.2% 5.5% 21.0% 3.6% 0.0% 10.0% 8.6% -2.6K 71.5K -317 0.00 12.95 N/A N/A 0 0 354 101 2013-09-05 $11.78 $12.50 18.1% 5.2% 21.8% 3.0% 0.0% 11.4% 7.5% -1.6K 72.5K -312 0.00 10.43 N/A N/A 8 0 354 101 2013-09-06 $11.99 $0.00 27.9% 6.5% 23.2% 8.3% 0.0% 60.5% -0.5% -2.0K 67.0K -331 0.00 22.90 N/A N/A 0 0 362 101 2013-09-09 $12.26 $0.00 27.3% 6.6% 25.1% 8.0% 0.0% 73.0% 2.5% -2.4K 56.1K -373 0.00 26.96 N/A N/A 0 0 362 101 2013-09-10 $12.22 $0.00 19.3% 6.8% 25.0% 3.6% 0.0% 1.1% 3.1% -2.6K 52.5K -403 0.00 31.89 N/A N/A 0 0 362 101 2013-09-11 $12.31 $0.00 24.4% 6.3% 24.6% 6.4% 0.0% 2.2% 1.2% -2.6K 53.7K -369 0.00 31.73 N/A N/A 0 0 362 101 2013-09-12 $12.26 $0.00 24.5% 7.0% 24.6% 6.5% 0.0% 1.7% -0.7% -3.3K 60.9K -351 0.00 18.63 N/A N/A 18 0 362 101 2013-09-13 $12.31 $0.00 22.9% 6.6% 22.8% 5.6% 0.0% 81.6% 0.4% -3.9K 62.3K -326 0.00 30.75 N/A N/A 50 0 353 101 2013-09-16 $12.44 $0.00 26.5% 7.6% 21.9% 7.6% 0.0% 77.0% -2.5% -4.0K 55.7K -335 0.00 38.17 N/A N/A 0 0 343 101 2013-09-17 $12.47 $0.00 24.3% 7.0% 19.9% 6.4% 0.0% 77.5% -0.7% -4.1K 54.6K -333 0.00 48.80 N/A N/A 0 0 343 101 2013-09-18 $13.10 $0.00 22.0% 6.3% 25.1% 5.1% 0.0% 4.6% -0.9% -1.5K 21.5K -380 0.00 42.82 N/A N/A 0 0 343 101 2013-09-19 $13.06 $0.00 23.8% 6.8% 25.2% 6.1% 0.0% 4.3% 3.8% -841 13.9K -402 0.00 24.41 N/A N/A 1 0 343 101 2013-09-20 $12.97 $0.00 20.8% 6.0% 25.4% 4.4% 0.0% -6.5% 1.5% -682 11.9K -413 0.00 36.52 N/A N/A 0 0 343 101 2013-09-23 $12.97 $0.00 24.8% 7.1% 25.2% 6.7% 0.0% 4.8% 7.2% -441 20.9K -359 0.00 45.58 N/A N/A 0 0 133 81 2013-09-24 $12.77 $0.00 24.6% 7.1% 26.0% 6.5% 0.0% -0.3% -0.7% -292 20.5K -372 0.00 58.73 N/A N/A 5 0 133 81 2013-09-25 $12.82 $0.00 23.3% 6.7% 26.0% 5.8% 0.0% -0.0% 5.6% -211 22.1K -384 0.00 27.65 N/A N/A 0 0 138 81 2013-09-26 $12.89 $0.00 18.3% 5.2% 25.6% 3.1% 0.0% -5.1% 2.3% -377 16.6K -366 0.00 25.22 N/A N/A 0 2 138 81 2013-09-27 $12.80 $0.00 23.2% 6.7% 25.5% 5.8% 0.0% 39.6% 3.3% -780 28.3K -353 0.00 15.92 N/A N/A 0 0 138 83 2013-09-30 $12.74 $0.00 23.5% 6.7% 24.6% 5.9% 0.0% -3.9% 2.4% -1.2K 34.0K -326 0.00 15.65 N/A N/A 3 0 138 83
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