FSP Options History — November 2013 In November 2013, FSP traded between $12.65 and $13.50. ATM implied volatility averaged 38.0%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 20.3% (HV 20d: 17.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 3 of 20 days.
Notable Days 2013-11-04 : Highest Volume — 10 contracts2013-11-14 : Largest IV spike — 235.9% change2013-11-19 : Highest IV Rank — 44.5%2013-11-19 : Largest Expected Move — 27.0%Monthly Statistics Metric Avg Min Max Open Close Price $13.04 $12.65 $13.50 $13.32 $12.86 Max Pain $13.95 $12.50 $15.00 $15.00 $12.50 ATM IV 38.0% 19.5% 94.2% 38.1% 23.8% Expected Move 15.7% 5.6% 27.0% 10.9% 6.8% HV 20d 17.7% 15.8% 19.7% 19.1% 16.1% HV 60d 20.6% 19.3% 21.9% 21.8% 19.3% IV Rank 13.9% 3.7% 44.5% 13.9% 6.1% IV Percentile 54.7% 25.8% 81.3% 68.7% 47.6% Term Structure -44.7% -143.4% 60.7% 60.7% -10.0% Skew 25d -4.4% -62.7% 65.6% -14.1% -6.2% Skew 10d 19.1% -59.0% 117.4% 7.5% 9.3% Call IV 25d 40.5% 17.4% 88.8% 36.3% 32.1% Put IV 25d 36.1% 19.9% 93.1% 22.1% 25.9% Bid-Ask Spread % 122.48 26.84 149.18 26.84 113.28 Gamma HHI 0.65 0.56 0.86 0.63 0.59 Net GEX -756 -4.6K 2.9K 2.4K -2.4K Net DEX -9.1K -65.0K 40.3K -55.4K 26.8K Net VEX -364 -563 -185 -529 -221 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.8 0 10 0 0 Total OI 289.3 279 293 279 293
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 2013-11-01 $13.32 $0.00 38.1% 10.9% 19.1% 13.9% 0.0% -14.1% 60.7% 2.4K -55.4K -529 0.00 26.84 N/A N/A 0 0 196 83 2013-11-04 $13.49 $15.00 26.4% 19.8% 19.3% 7.5% 0.0% -4.0% -49.0% 2.4K -65.0K -529 0.00 149.18 N/A N/A 0 10 196 83 2013-11-05 $13.47 $15.00 27.2% 20.1% 18.5% 8.0% 0.0% -1.0% -50.2% 2.2K -58.9K -563 0.00 146.74 N/A N/A 0 0 196 93 2013-11-06 $13.50 $15.00 29.1% 6.1% 18.4% 9.0% 0.0% 5.8% 44.5% 2.9K -20.1K -415 0.00 147.00 N/A N/A 0 0 196 93 2013-11-07 $13.40 $15.00 28.9% 20.7% 16.8% 8.9% 0.0% -14.0% -54.8% 2.1K -57.3K -552 0.00 146.19 N/A N/A 0 0 196 93 2013-11-08 $13.21 $15.00 27.1% 21.3% 17.7% 7.9% 0.0% -62.7% -57.8% 1.9K -48.7K -531 0.00 146.22 N/A N/A 0 0 196 93 2013-11-11 $12.94 $15.00 22.2% 22.6% 19.3% 5.2% 0.0% -3.8% -62.8% 1.6K -39.7K -510 0.00 107.29 N/A N/A 0 0 196 93 2013-11-12 $12.78 $15.00 25.3% 22.6% 19.7% 6.9% 0.0% -26.4% -88.1% 1.5K -32.4K -488 0.00 147.53 N/A N/A 0 0 196 93 2013-11-13 $12.85 $15.00 25.6% 23.3% 19.2% 7.1% 0.0% 6.6% -66.9% 1.6K -36.1K -499 0.00 148.28 N/A N/A 0 0 196 93 2013-11-14 $12.94 $15.00 85.9% 24.6% 18.0% 40.0% 0.0% -37.0% -127.2% -2.6K 24.6K -236 0.00 136.29 N/A N/A 0 0 196 93 2013-11-15 $12.96 $15.00 87.0% 24.9% 18.0% 40.6% 0.0% -34.6% -129.0% -2.5K 23.5K -242 0.00 144.68 N/A N/A 0 0 196 93 2013-11-18 $12.90 $15.00 89.5% 25.7% 18.0% 41.9% 0.0% -0.7% -139.2% 1.8K -37.3K -471 0.00 59.26 N/A N/A 0 0 196 93 2013-11-19 $12.76 $12.50 94.2% 27.0% 16.2% 44.5% 0.0% -54.8% -143.4% -4.0K 30.7K -217 0.00 67.18 N/A N/A 0 6 196 91 2013-11-20 $12.65 $12.50 24.4% 7.0% 16.3% 6.4% 0.0% 65.6% -4.3% -4.5K 40.3K -228 0.00 58.41 N/A N/A 0 0 196 97 2013-11-21 $12.83 $12.50 24.3% 7.0% 16.7% 6.4% 0.0% 43.6% -8.0% -3.7K 30.5K -232 0.00 138.54 N/A N/A 0 0 196 97 2013-11-22 $12.99 $12.50 22.0% 6.3% 16.9% 5.1% 0.0% 28.7% -3.4% -2.9K 21.8K -234 0.00 142.13 N/A N/A 0 0 196 97 2013-11-25 $12.96 $12.50 20.1% 5.8% 16.9% 4.1% 0.0% 26.3% 0.5% -4.6K 22.1K -196 0.00 143.53 N/A N/A 0 0 196 97 2013-11-26 $12.91 $12.50 20.0% 5.7% 16.8% 4.0% 0.0% -5.3% -3.0% -3.8K 29.0K -197 0.00 139.75 N/A N/A 0 0 196 97 2013-11-27 $13.02 $12.50 19.5% 5.6% 15.8% 3.7% 0.0% -0.2% -2.2% -4.5K 19.0K -185 0.00 141.34 N/A N/A 0 0 196 97 2013-11-29 $12.86 $12.50 23.8% 6.8% 16.1% 6.1% 0.0% -6.2% -10.0% -2.4K 26.8K -221 0.00 113.28 N/A N/A 0 0 196 97
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