FSP Options History — March 2014

In March 2014, FSP traded between $12.11 and $12.86. ATM implied volatility averaged 100.0%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded above realized volatility by 83.3% (HV 20d: 16.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2014-03-03: Highest Volume — 27 contracts
2014-03-12: Largest IV spike — 562.1% change
2014-03-24: Highest IV Rank — 100.0%
2014-03-24: Largest Expected Move — 57.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.38	$12.11	$12.86	$12.67	$12.60
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	100.0%	24.2%	200.5%	45.5%	30.6%
Expected Move	27.4%	5.0%	57.5%	13.0%	8.8%
HV 20d	16.7%	13.2%	19.7%	14.6%	19.6%
HV 60d	16.6%	14.6%	18.3%	18.2%	16.2%
IV Rank	49.1%	6.5%	100.0%	18.8%	9.6%
IV Percentile	86.3%	50.8%	100.0%	82.9%	71.0%
Term Structure	-23.4%	-130.7%	103.7%	-26.2%	-46.1%
VWIV	44.7%	44.7%	44.7%	44.7%	44.7%
Skew 25d	-20.2%	-123.7%	117.0%	-45.9%	-44.2%
Skew 10d	3.2%	-84.0%	128.0%	-72.4%	-27.3%
Call IV 25d	94.1%	21.0%	196.5%	70.1%	92.7%
Put IV 25d	73.9%	20.5%	198.2%	24.2%	48.5%
Bid-Ask Spread %	145.83	136.49	151.37	144.42	149.81
Gamma HHI	0.78	0.50	0.97	0.97	0.86
Net GEX	1.2K	-621	3.0K	2.4K	1.7K
Net DEX	-63.7K	-95.4K	-29.2K	-95.4K	-80.8K
Net VEX	-374	-426	-304	-339	-354
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	2.571	0	27	27	0
Total OI	175.714	152	209	155	152

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	Put Vol	Call OI	Put OI
2014-03-03	$12.67	$12.50	45.5%	13.0%	14.6%	18.8%	44.7%	-45.9%	-26.2%	2.4K	-95.4K	-339	144.42	N/A	N/A	0	27	139	16
2014-03-04	$12.86	$12.50	140.5%	0.0%	13.2%	73.2%	0.0%	9.6%	103.7%	1.1K	-87.4K	-426	148.06	N/A	N/A	1	0	139	43
2014-03-05	$12.67	$12.50	156.5%	44.9%	14.8%	82.3%	0.0%	-18.4%	-130.7%	775	-83.2K	-416	145.62	N/A	N/A	0	0	140	43
2014-03-06	$12.57	$12.50	130.1%	37.3%	15.0%	67.2%	0.0%	-14.6%	1.4%	789	-90.2K	-412	145.69	N/A	N/A	0	0	140	43
2014-03-07	$12.35	$0.00	28.2%	7.1%	16.8%	8.9%	0.0%	2.4%	-3.2%	3.0K	-66.2K	-394	140.80	N/A	N/A	0	0	140	43
2014-03-10	$12.28	$0.00	82.7%	5.0%	16.8%	40.1%	0.0%	37.6%	83.6%	2.5K	-57.8K	-395	150.55	N/A	N/A	0	0	140	43
2014-03-11	$12.28	$0.00	24.2%	27.6%	16.7%	6.6%	0.0%	117.0%	-22.5%	2.4K	-47.4K	-357	136.49	N/A	N/A	0	0	140	43
2014-03-12	$12.29	$0.00	160.3%	46.0%	15.8%	84.5%	0.0%	-119.7%	-56.4%	6	-63.9K	-386	148.16	N/A	N/A	0	0	140	43
2014-03-13	$12.23	$0.00	166.6%	47.8%	16.0%	88.1%	0.0%	-11.3%	-72.1%	201	-60.3K	-373	147.55	N/A	N/A	0	0	140	43
2014-03-14	$12.36	$0.00	154.9%	44.4%	16.3%	81.4%	0.0%	5.5%	-59.4%	-294	-64.8K	-380	144.67	N/A	N/A	0	0	140	43
2014-03-17	$12.35	$0.00	105.9%	30.4%	15.8%	53.4%	0.0%	-84.1%	-68.2%	-621	-67.1K	-365	144.79	N/A	N/A	0	0	140	43
2014-03-18	$12.35	$0.00	41.0%	11.7%	15.6%	16.2%	0.0%	1.0%	4.0%	2.1K	-47.1K	-360	140.09	N/A	N/A	0	10	140	43
2014-03-19	$12.11	$0.00	116.4%	33.4%	17.2%	59.4%	0.0%	-93.7%	-65.8%	89	-41.0K	-357	149.77	N/A	N/A	0	16	140	53
2014-03-20	$12.13	$0.00	107.7%	30.9%	17.2%	54.4%	0.0%	-19.1%	-79.5%	146	-31.5K	-394	140.18	N/A	N/A	0	0	140	69
2014-03-21	$12.27	$0.00	74.9%	21.5%	17.1%	35.7%	0.0%	1.9%	-44.4%	1.8K	-29.2K	-378	146.72	N/A	N/A	0	0	140	69
2014-03-24	$12.29	$0.00	200.5%	57.5%	17.0%	100.0%	0.0%	-17.5%	-62.5%	904	-77.0K	-364	151.37	N/A	N/A	0	0	116	36
2014-03-25	$12.47	$0.00	24.8%	7.1%	17.6%	6.5%	0.0%	-13.3%	0.7%	2.5K	-37.5K	-304	147.19	N/A	N/A	0	0	116	36
2014-03-26	$12.15	$0.00	108.5%	31.1%	19.6%	51.1%	0.0%	5.0%	96.5%	620	-73.7K	-369	148.92	N/A	N/A	0	0	116	36
2014-03-27	$12.23	$0.00	147.6%	0.0%	19.7%	71.8%	0.0%	1.7%	-17.2%	906	-76.3K	-359	147.51	N/A	N/A	0	0	116	36
2014-03-28	$12.40	$0.00	53.1%	15.2%	19.2%	21.6%	0.0%	-123.7%	-26.1%	1.4K	-59.5K	-366	144.06	N/A	N/A	0	0	116	36
2014-03-31	$12.60	$0.00	30.6%	8.8%	19.6%	9.6%	0.0%	-44.2%	-46.1%	1.7K	-80.8K	-354	149.81	N/A	N/A	0	0	116	36