FSP Options History — June 2014 In June 2014, FSP traded between $12.36 and $12.88. ATM implied volatility averaged 108.1%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 33.3%. IV traded above realized volatility by 93.1% (HV 20d: 15.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.43.
Notable Days 2014-06-20 : Highest Volume — 95 contracts2014-06-03 : Largest IV spike — 810.6% change2014-06-23 : Highest IV Rank — 93.9%2014-06-23 : Largest Expected Move — 54.2%Monthly Statistics Metric Avg Min Max Open Close Price $12.62 $12.36 $12.88 $12.63 $12.58 Max Pain $14.00 $12.50 $15.00 $12.50 $15.00 ATM IV 108.1% 13.5% 189.1% 15.8% 13.5% Expected Move 33.3% 3.9% 54.2% 4.5% 3.9% HV 20d 15.1% 13.8% 16.3% 16.0% 14.8% HV 60d 16.4% 15.3% 17.2% 16.7% 15.3% IV Rank 50.8% 0.5% 93.9% 1.7% 0.5% IV Percentile 67.6% 0.4% 98.0% 0.8% 0.4% Term Structure -59.5% -158.3% 130.7% -31.3% 130.7% VWIV 109.7% 109.7% 109.7% 109.7% 109.7% Skew 25d -11.0% -129.7% 100.3% -46.4% 49.3% Skew 10d 17.7% -40.2% 122.8% -40.2% 122.8% Call IV 25d 119.9% 22.6% 199.8% 190.6% 51.9% Put IV 25d 108.9% 22.9% 174.0% 144.2% 101.1% Bid-Ask Spread % 150.30 130.81 155.98 151.18 152.81 Gamma HHI 0.83 0.35 0.98 0.94 0.81 Net GEX 3.3K -958 7.2K 3.3K 1.2K Net DEX -54.8K -100.3K -2.6K -71.6K -7.7K Net VEX -180 -232 -107 -232 -187 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.36 2.50 0.36 2.50 Total Volume 6.857 0 95 0 0 Total OI 133.905 52 154 154 99
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-06-02 $12.63 $12.50 15.8% 4.5% 16.0% 1.7% 0.0% -46.4% -31.3% 3.3K -71.6K -232 0.00 151.18 N/A N/A 0 0 118 36 2014-06-03 $12.62 $12.50 143.7% 0.0% 15.9% 69.8% 0.0% -45.4% -40.3% 3.4K -71.0K -228 0.00 151.15 N/A N/A 0 0 118 36 2014-06-04 $12.60 $12.50 16.1% 4.6% 15.8% 1.8% 0.0% -46.5% -44.4% 3.6K -69.6K -223 0.00 151.15 N/A N/A 0 0 118 36 2014-06-05 $12.88 $12.50 21.9% 6.3% 14.6% 5.0% 0.0% -36.3% 97.7% 1.1K -76.0K -225 0.00 149.67 N/A N/A 0 0 118 36 2014-06-06 $12.84 $0.00 21.9% 42.2% 13.8% 5.0% 0.0% -40.7% -128.3% 3.3K -88.5K -208 0.00 154.09 N/A N/A 0 0 118 36 2014-06-09 $12.74 $0.00 153.2% 43.9% 14.1% 74.8% 0.0% -31.5% -134.6% 1.1K -73.2K -207 0.00 152.62 N/A N/A 0 0 118 36 2014-06-10 $12.57 $0.00 88.7% 45.3% 14.8% 40.5% 0.0% -10.3% -133.2% 5.3K -64.4K -179 0.00 149.95 N/A N/A 0 0 118 36 2014-06-11 $12.61 $0.00 158.2% 45.3% 14.4% 77.5% 0.0% -39.7% -133.6% 4.4K -72.2K -195 0.00 155.39 N/A N/A 0 0 118 36 2014-06-12 $12.46 $0.00 161.4% 46.3% 15.1% 79.2% 0.0% 7.3% -61.3% 4.7K -57.8K -189 0.00 154.32 N/A N/A 0 0 118 36 2014-06-13 $12.45 $0.00 163.7% 46.9% 15.1% 80.4% 0.0% -8.3% -63.1% 5.0K -55.5K -183 0.00 153.90 N/A N/A 0 0 118 36 2014-06-16 $12.36 $0.00 175.4% 50.3% 14.8% 86.7% 0.0% 100.3% -158.3% 6.1K -38.5K -162 0.00 155.05 N/A N/A 0 0 118 36 2014-06-17 $12.52 $0.00 173.1% 49.6% 15.5% 85.4% 0.0% 8.9% -70.2% 6.6K -65.3K -159 0.00 154.13 N/A N/A 0 0 118 36 2014-06-18 $12.60 $0.00 179.1% 51.3% 15.5% 88.6% 0.0% -10.7% -79.8% 7.2K -79.3K -149 0.00 155.98 N/A N/A 0 0 118 36 2014-06-19 $12.73 $0.00 177.0% 50.7% 15.9% 87.5% 0.0% 14.1% -72.1% 5.7K -100.3K -133 0.00 154.49 N/A N/A 0 0 118 36 2014-06-20 $12.77 $0.00 51.1% 14.6% 15.7% 20.5% 109.7% 47.8% -6.3% 5.9K -98.6K -111 0.36 144.45 N/A N/A 70 25 118 36 2014-06-23 $12.61 $15.00 189.1% 54.2% 16.3% 93.9% 0.0% -129.7% -65.1% 1.1K -26.2K -107 0.00 150.85 N/A N/A 0 8 43 9 2014-06-24 $12.56 $15.00 33.4% 9.6% 14.7% 11.1% 0.0% 0.1% 19.5% 530 -13.4K -112 2.50 143.50 N/A N/A 10 25 43 17 2014-06-25 $12.58 $15.00 133.8% 38.4% 14.3% 64.5% 0.0% -4.3% -63.5% -198 -12.7K -200 0.00 130.81 N/A N/A 0 6 51 42 2014-06-26 $12.55 $15.00 80.9% 23.2% 14.3% 36.3% 0.0% -18.0% -105.7% -958 -2.6K -192 0.00 137.48 N/A N/A 0 0 51 48 2014-06-27 $12.69 $15.00 119.7% 34.3% 14.7% 57.0% 0.0% 8.5% -107.2% -107 -5.5K -200 0.00 153.39 N/A N/A 0 0 51 48 2014-06-30 $12.58 $15.00 13.5% 3.9% 14.8% 0.5% 0.0% 49.3% 130.7% 1.2K -7.7K -187 0.00 152.81 N/A N/A 0 0 51 48
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