FSP Options History — August 2014 In August 2014, FSP traded between $12.08 and $12.43. ATM implied volatility averaged 25.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 14.4% (HV 20d: 10.9%). Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-08-19 : Highest Volume — 15 contracts2014-08-14 : Largest IV drop — 60.5% change2014-08-13 : Highest IV Rank — 16.0%2014-08-12 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.18 $12.08 $12.43 $12.11 $12.15 ATM IV 25.3% 15.6% 42.6% 30.4% 20.9% Expected Move 5.5% 4.6% 6.6% 5.9% 4.8% HV 20d 10.9% 9.6% 11.9% 10.6% 11.1% HV 60d 12.5% 11.5% 13.1% 12.9% 11.5% IV Rank 6.8% 1.6% 16.0% 9.4% 4.4% IV Percentile 27.5% 0.8% 60.7% 52.8% 11.9% Term Structure -1.4% -8.6% 18.3% -8.6% -4.1% Skew 25d 9.0% -2.8% 22.3% 11.3% 22.3% Skew 10d 6.3% -27.3% 20.0% 5.7% 20.0% Call IV 25d 23.4% 17.5% 38.8% 38.8% 19.8% Put IV 25d 32.4% 25.3% 50.1% 50.1% 42.0% Bid-Ask Spread % 110.96 83.51 117.67 116.73 106.21 Gamma HHI 0.78 0.50 0.93 0.64 0.93 Net GEX 697 -2.6K 4.1K -1.5K 3.5K Net DEX -10.3K -39.8K 16.4K 14.9K -31.9K Net VEX -146 -196 -104 -196 -110 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 1.19 0 15 0 0 Total OI 130.524 98 154 154 113
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 2014-08-01 $12.11 $0.00 30.4% 5.9% 10.6% 9.4% 0.0% 11.3% -8.6% -1.5K 14.9K -196 0.00 116.73 N/A N/A 0 0 56 98 2014-08-04 $12.20 $0.00 27.1% 5.8% 10.7% 7.7% 0.0% 6.3% 0.0% -2.4K 10.1K -153 0.00 115.42 N/A N/A 0 0 56 98 2014-08-05 $12.13 $0.00 29.5% 5.8% 10.7% 9.0% 0.0% 4.0% -1.2% -1.9K 16.4K -183 0.00 116.65 N/A N/A 0 0 56 98 2014-08-06 $12.15 $0.00 32.6% 5.7% 10.7% 10.6% 0.0% 5.5% -1.2% -1.8K 14.1K -183 0.00 117.00 N/A N/A 0 0 56 98 2014-08-07 $12.13 $0.00 32.6% 5.9% 10.7% 10.6% 0.0% 3.7% -2.1% -1.9K 15.8K -178 0.00 116.53 N/A N/A 0 0 56 98 2014-08-08 $12.13 $0.00 29.1% 5.8% 10.3% 8.8% 0.0% 6.2% -7.6% -2.2K 15.4K -166 0.00 117.13 N/A N/A 0 0 56 98 2014-08-11 $12.18 $0.00 37.4% 6.3% 10.4% 13.2% 0.0% 6.9% -4.0% -2.4K 12.6K -178 0.00 114.85 N/A N/A 0 0 56 98 2014-08-12 $12.11 $0.00 41.0% 6.6% 10.5% 15.1% 0.0% 5.5% -1.1% -1.9K 13.7K -144 0.00 107.73 N/A N/A 0 0 56 98 2014-08-13 $12.20 $0.00 42.6% 5.9% 10.9% 16.0% 0.0% 6.9% -1.6% -2.6K 15.0K -158 0.00 117.67 N/A N/A 0 10 56 98 2014-08-14 $12.15 $0.00 16.8% 5.9% 10.9% 2.2% 0.0% 0.9% -2.9% -814 9.3K -144 0.00 116.47 N/A N/A 0 0 56 88 2014-08-15 $12.18 $0.00 22.3% 5.9% 9.6% 5.1% 0.0% 6.7% -3.0% 1.5K -21.3K -134 0.00 117.09 N/A N/A 0 0 56 55 2014-08-18 $12.43 $0.00 22.7% 6.6% 11.9% 5.3% 0.0% 10.8% 18.3% 1.9K -32.6K -140 0.00 111.61 N/A N/A 0 0 56 42 2014-08-19 $12.37 $0.00 17.2% 5.2% 11.8% 2.4% 0.0% 14.7% 4.0% 2.9K -33.4K -104 0.00 109.43 N/A N/A 15 0 56 42 2014-08-20 $12.29 $0.00 20.0% 5.1% 11.1% 3.9% 0.0% 2.6% -2.9% 3.2K -39.8K -140 0.00 83.51 N/A N/A 0 0 71 42 2014-08-21 $12.30 $0.00 15.6% 4.9% 10.8% 1.6% 0.0% -2.8% 1.9% 4.1K -38.0K -138 0.00 109.58 N/A N/A 0 0 71 42 2014-08-22 $12.20 $0.00 16.5% 4.9% 11.1% 2.1% 0.0% 12.4% -1.3% 3.8K -35.2K -130 0.00 108.57 N/A N/A 0 0 71 42 2014-08-25 $12.08 $0.00 19.0% 4.9% 11.6% 3.4% 0.0% 20.6% -3.6% 3.2K -29.1K -122 0.00 105.74 N/A N/A 0 0 71 42 2014-08-26 $12.11 $0.00 19.5% 5.0% 11.6% 3.6% 0.0% 21.0% -2.2% 3.4K -30.9K -122 0.00 108.66 N/A N/A 0 0 71 42 2014-08-27 $12.13 $0.00 18.9% 4.9% 10.9% 3.3% 0.0% 5.8% -1.2% 3.3K -31.2K -128 0.00 107.79 N/A N/A 0 0 71 42 2014-08-28 $12.08 $0.00 20.2% 4.6% 10.9% 4.0% 0.0% 17.7% -4.3% 3.3K -29.4K -117 0.00 105.78 N/A N/A 0 0 71 42 2014-08-29 $12.15 $0.00 20.9% 4.8% 11.1% 4.4% 0.0% 22.3% -4.1% 3.5K -31.9K -110 0.00 106.21 N/A N/A 0 0 71 42
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