FSP Options History — September 2014 In September 2014, FSP traded between $11.19 and $12.19. ATM implied volatility averaged 25.5%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 14.4% (HV 20d: 11.1%). Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-09-25 : Highest Volume — 60 contracts2014-09-11 : Largest IV drop — 38.0% change2014-09-30 : Highest IV Rank — 13.4%2014-09-24 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $11.69 $11.19 $12.19 $12.14 $11.22 ATM IV 25.5% 15.7% 37.7% 21.9% 37.7% Expected Move 4.8% 4.0% 5.8% 4.4% 5.7% HV 20d 11.1% 10.1% 13.0% 10.7% 11.9% HV 60d 11.1% 10.7% 11.5% 11.5% 11.2% IV Rank 6.9% 1.6% 13.4% 4.9% 13.4% IV Percentile 30.4% 1.2% 57.9% 15.1% 57.9% Term Structure -0.5% -12.7% 102.5% -5.4% -12.7% Skew 25d 8.2% -4.6% 74.7% 13.4% -4.3% Skew 10d 3.3% -43.4% 101.9% -24.7% -2.2% Call IV 25d 25.2% 14.9% 34.6% 32.2% 34.6% Put IV 25d 33.4% 22.1% 97.2% 45.6% 30.3% Bid-Ask Spread % 89.80 49.26 111.78 110.24 107.88 Gamma HHI 0.73 0.50 0.97 0.95 0.53 Net GEX 1.9K -351 4.0K 3.8K 494 Net DEX -14.4K -32.8K 5.3K -32.8K 2.4K Net VEX -88 -116 -56 -112 -80 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 3 0 60 0 1 Total OI 106.619 67 128 113 128
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 2014-09-02 $12.14 $0.00 21.9% 4.4% 10.7% 4.9% 0.0% 13.4% -5.4% 3.8K -32.8K -112 0.00 110.24 N/A N/A 0 0 71 42 2014-09-03 $12.14 $0.00 22.5% 4.5% 10.5% 5.3% 0.0% 0.2% -5.8% 3.5K -32.6K -116 0.00 70.22 N/A N/A 0 0 71 42 2014-09-04 $12.06 $0.00 24.1% 5.3% 10.8% 6.1% 0.0% 11.8% -8.4% 3.6K -30.0K -105 0.00 57.37 N/A N/A 0 0 71 42 2014-09-05 $12.14 $0.00 20.0% 4.9% 11.0% 3.9% 0.0% 6.3% 2.8% 3.8K -29.2K -105 0.00 49.26 N/A N/A 0 0 71 42 2014-09-08 $12.19 $0.00 22.7% 5.4% 11.1% 5.3% 0.0% 74.7% -5.4% 4.0K -31.6K -97 0.00 54.62 N/A N/A 0 0 71 42 2014-09-09 $12.13 $0.00 21.7% 4.5% 11.2% 4.8% 0.0% 5.1% 2.0% 3.8K -28.3K -98 0.00 49.83 N/A N/A 0 0 71 42 2014-09-10 $12.05 $0.00 25.3% 4.6% 11.2% 6.7% 0.0% 13.6% 2.4% 3.4K -26.7K -95 0.00 59.10 N/A N/A 0 0 71 42 2014-09-11 $12.02 $0.00 15.7% 4.4% 10.9% 1.6% 0.0% 13.2% 1.5% 3.3K -28.0K -93 0.00 109.33 N/A N/A 0 0 71 42 2014-09-12 $11.77 $0.00 19.0% 4.6% 13.0% 3.4% 0.0% 9.1% -5.7% 2.1K -18.1K -97 0.00 105.60 N/A N/A 0 0 71 42 2014-09-15 $11.70 $0.00 19.4% 4.5% 13.0% 3.6% 0.0% 7.2% -6.7% 1.9K -16.4K -90 0.00 108.09 N/A N/A 0 0 71 42 2014-09-16 $11.72 $0.00 22.8% 4.6% 10.1% 5.4% 0.0% 10.4% -6.8% 1.9K -18.0K -94 0.00 108.76 N/A N/A 1 0 71 42 2014-09-17 $11.63 $0.00 21.5% 4.6% 10.3% 4.7% 0.0% 6.7% -7.6% 1.7K -16.1K -85 0.00 107.75 N/A N/A 0 0 72 42 2014-09-18 $11.51 $0.00 24.0% 4.4% 10.5% 6.1% 0.0% 0.6% -8.5% 284 -6.6K -69 0.00 64.06 N/A N/A 0 0 72 42 2014-09-19 $11.42 $0.00 24.7% 4.1% 10.5% 6.4% 0.0% 2.3% -9.4% 163 -5.7K -72 0.00 111.78 N/A N/A 0 0 72 42 2014-09-22 $11.40 $0.00 27.1% 4.0% 10.4% 7.7% 0.0% 3.9% -7.5% 53 1.6K -60 0.00 109.29 N/A N/A 0 0 31 36 2014-09-23 $11.23 $0.00 35.0% 5.6% 11.0% 11.9% 0.0% -0.1% 102.5% -243 3.8K -59 0.00 68.33 N/A N/A 0 1 31 36 2014-09-24 $11.24 $0.00 32.4% 5.8% 10.9% 10.5% 0.0% 5.5% -6.4% -163 4.6K -63 0.00 108.86 N/A N/A 0 0 31 37 2014-09-25 $11.19 $0.00 31.0% 5.7% 10.7% 9.8% 0.0% -4.6% -3.9% -351 5.3K -56 0.00 108.94 N/A N/A 60 0 31 37 2014-09-26 $11.32 $0.00 33.7% 4.3% 12.0% 11.2% 0.0% -0.2% -9.6% 1.0K -209 -100 0.00 108.01 N/A N/A 0 0 91 37 2014-09-29 $11.34 $0.00 33.8% 4.2% 11.7% 11.3% 0.0% -1.8% -11.1% 1.1K -669 -98 0.00 108.47 N/A N/A 0 0 91 37 2014-09-30 $11.22 $0.00 37.7% 5.7% 11.9% 13.4% 0.0% -4.3% -12.7% 494 2.4K -80 0.00 107.88 N/A N/A 1 0 91 37
« Aug 2014 | All History | Oct 2014 » Home FSP History September 2014