FSP Options History — January 2014

In January 2014, FSP traded between $11.91 and $12.22. ATM implied volatility averaged 65.2%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 46.9% (HV 20d: 18.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2014-01-07: Highest Volume — 70 contracts
2014-01-16: Largest IV spike — 233.6% change
2014-01-29: Highest IV Rank — 97.4%
2014-01-29: Largest Expected Move — 52.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.05	$11.91	$12.22	$11.97	$11.99
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	65.2%	20.7%	182.9%	20.7%	24.8%
Expected Move	18.0%	5.1%	52.4%	5.9%	33.6%
HV 20d	18.3%	12.7%	24.2%	24.2%	14.2%
HV 60d	19.6%	18.8%	20.8%	20.7%	18.8%
IV Rank	30.0%	4.4%	97.4%	4.4%	7.0%
IV Percentile	74.5%	31.3%	99.6%	31.3%	56.0%
Term Structure	40.9%	-32.5%	123.9%	-7.1%	-32.5%
VWIV	18.3%	18.3%	18.3%	18.3%	18.3%
Skew 25d	16.8%	-76.0%	99.5%	13.5%	-5.6%
Skew 10d	3.6%	-116.5%	97.1%	-15.4%	-5.6%
Call IV 25d	45.7%	17.9%	180.9%	22.1%	48.7%
Put IV 25d	62.5%	22.4%	188.5%	35.6%	43.0%
Bid-Ask Spread %	102.79	26.70	153.70	26.70	126.33
Gamma HHI	0.91	0.69	1.00	1.00	0.88
Net GEX	1.9K	-858	3.8K	-351	3.7K
Net DEX	-26.2K	-61.2K	16.7K	16.7K	-44.8K
Net VEX	-169	-202	-87	-87	-189
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	4.048	0	70	0	0
Total OI	106.905	49	124	49	123

Daily Data (21 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	Call OI	Put OI
2014-01-02	$11.97	$12.50	20.7%	5.9%	24.2%	4.4%	0.0%	13.5%	-7.1%	-351	16.7K	-87	26.70	N/A	N/A	0	22	27
2014-01-03	$12.08	$12.50	34.0%	9.8%	23.8%	12.2%	0.0%	18.2%	-9.4%	-466	13.9K	-90	31.59	N/A	N/A	0	22	27
2014-01-06	$11.91	$0.00	21.1%	20.7%	24.1%	4.8%	0.0%	9.1%	15.7%	-440	6.7K	-98	140.65	N/A	N/A	0	22	27
2014-01-07	$12.01	$0.00	23.8%	5.1%	24.1%	6.3%	18.3%	5.9%	86.5%	-858	6.3K	-97	137.17	N/A	N/A	70	22	27
2014-01-08	$11.98	$12.50	28.0%	5.3%	23.2%	8.7%	0.0%	4.5%	6.9%	3.2K	-2.4K	-165	34.87	N/A	N/A	0	92	27
2014-01-09	$12.00	$12.50	33.1%	6.1%	22.1%	11.6%	0.0%	2.8%	4.3%	3.1K	-3.9K	-167	32.04	N/A	N/A	5	92	27
2014-01-10	$12.15	$12.50	110.0%	6.6%	20.3%	55.4%	0.0%	73.9%	-0.5%	3.8K	-19.3K	-186	30.54	N/A	N/A	0	97	27
2014-01-13	$12.02	$12.50	44.5%	6.5%	20.6%	18.1%	0.0%	3.5%	-1.1%	3.2K	-11.8K	-178	34.62	N/A	N/A	0	97	27
2014-01-14	$12.07	$12.50	25.4%	6.4%	20.5%	7.2%	0.0%	4.0%	3.2%	3.6K	-12.9K	-190	34.50	N/A	N/A	0	97	27
2014-01-15	$12.16	$12.50	25.9%	6.3%	20.7%	7.5%	0.0%	5.9%	3.0%	3.4K	-14.6K	-173	141.82	N/A	N/A	0	97	27
2014-01-16	$12.17	$12.50	86.4%	24.8%	20.6%	41.9%	0.0%	15.2%	1.3%	1.1K	-29.5K	-196	125.73	N/A	N/A	0	97	27
2014-01-17	$12.12	$12.50	56.9%	16.3%	19.0%	25.2%	0.0%	17.3%	115.2%	1.8K	-32.7K	-193	131.83	N/A	N/A	0	97	27
2014-01-21	$12.22	$12.50	97.6%	28.0%	16.7%	48.3%	0.0%	78.2%	107.8%	3.8K	-37.5K	-180	146.04	N/A	N/A	0	97	16
2014-01-22	$12.08	$12.50	95.6%	27.4%	13.4%	47.2%	0.0%	-76.0%	117.0%	1.2K	-52.5K	-187	146.41	N/A	N/A	0	97	16
2014-01-23	$12.15	$12.50	97.1%	27.8%	12.9%	48.0%	0.0%	22.0%	115.0%	1.2K	-53.8K	-188	132.15	N/A	N/A	0	97	16
2014-01-24	$12.04	$12.50	40.3%	11.5%	12.7%	15.8%	0.0%	3.3%	104.2%	2.7K	-43.2K	-178	151.91	N/A	N/A	10	97	16
2014-01-27	$11.94	$12.50	101.3%	29.0%	12.7%	50.7%	0.0%	99.5%	122.5%	1.4K	-57.7K	-202	153.70	N/A	N/A	0	107	16
2014-01-28	$12.01	$12.50	103.3%	29.6%	12.7%	51.9%	0.0%	22.8%	123.9%	1.4K	-61.2K	-201	121.58	N/A	N/A	0	107	16
2014-01-29	$11.94	$12.50	182.9%	52.4%	12.9%	97.4%	0.0%	22.0%	-13.2%	1.6K	-55.2K	-201	153.17	N/A	N/A	0	107	16
2014-01-30	$12.12	$12.50	117.2%	33.6%	13.6%	59.8%	0.0%	12.1%	-4.5%	1.8K	-60.8K	-198	125.29	N/A	N/A	0	107	16
2014-01-31	$11.99	$12.50	24.8%	0.0%	14.2%	7.0%	0.0%	-5.6%	-32.5%	3.7K	-44.8K	-189	126.33	N/A	N/A	0	107	16