FSP Options History — October 2014

In October 2014, FSP traded between $11.28 and $11.98. ATM implied volatility averaged 33.6%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 17.0% (HV 20d: 16.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.23.

Notable Days

2014-10-14: Highest Volume — 74 contracts
2014-10-16: Largest IV drop — 66.4% change
2014-10-15: Highest IV Rank — 26.5%
2014-10-20: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.70	$11.28	$11.98	$11.28	$11.98
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	33.6%	17.5%	62.4%	38.0%	21.2%
Expected Move	4.4%	3.5%	4.8%	4.3%	4.3%
HV 20d	16.6%	12.3%	19.1%	12.3%	17.5%
HV 60d	13.4%	11.3%	14.3%	11.3%	14.3%
IV Rank	11.2%	2.6%	26.5%	13.5%	4.5%
IV Percentile	39.6%	3.6%	63.1%	58.3%	11.9%
Term Structure	-6.7%	-19.9%	4.1%	-19.0%	-6.5%
VWIV	17.1%	15.2%	17.9%	17.8%	16.1%
Skew 25d	3.6%	-8.3%	13.0%	-7.8%	11.8%
Skew 10d	-1.3%	-8.6%	11.8%	-8.4%	-1.9%
Call IV 25d	23.4%	14.1%	42.0%	40.2%	19.9%
Put IV 25d	27.0%	19.8%	36.0%	32.4%	31.7%
Bid-Ask Spread %	101.34	42.06	114.20	108.86	109.28
Gamma HHI	0.81	0.57	0.96	0.57	0.96
Net GEX	4.1K	811	7.7K	811	7.7K
Net DEX	-20.9K	-38.6K	913	913	-38.6K
Net VEX	-176	-242	-66	-88	-210
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.00	2.18	0.00	1.00
Total Volume	44.87	0	74	0	74
Total OI	154.609	129	168	129	168

Daily Data (23 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
2014-10-01	$11.28	$0.00	38.0%	4.3%	12.3%	13.5%	0.0%	-7.8%	-19.0%	811	913	-88	0.00	108.86	N/A	N/A	0	0	92	37
2014-10-02	$11.29	$0.00	39.3%	4.3%	12.4%	14.2%	0.0%	-8.3%	-19.9%	847	722	-88	0.00	108.07	N/A	N/A	0	0	92	37
2014-10-03	$11.41	$0.00	32.5%	4.0%	12.9%	10.5%	0.0%	4.0%	-10.7%	1.2K	-940	-85	0.00	108.72	N/A	N/A	2	0	92	37
2014-10-06	$11.50	$0.00	43.0%	3.5%	13.2%	16.1%	0.0%	-2.8%	-11.2%	1.2K	-949	-66	0.00	77.29	N/A	N/A	0	0	94	37
2014-10-07	$11.45	$0.00	38.8%	4.0%	13.2%	13.9%	0.0%	-4.7%	-11.6%	1.4K	-1.7K	-89	0.00	110.68	N/A	N/A	0	0	94	37
2014-10-08	$11.74	$0.00	41.0%	4.0%	16.4%	15.1%	0.0%	3.7%	-5.0%	3.0K	-12.7K	-141	2.18	79.57	N/A	N/A	17	37	94	37
2014-10-09	$11.50	$0.00	43.6%	4.6%	17.8%	16.5%	0.0%	-4.6%	-6.1%	2.6K	-20.2K	-209	2.18	105.65	N/A	N/A	17	37	111	37
2014-10-10	$11.58	$0.00	49.4%	4.6%	16.6%	19.6%	0.0%	-0.8%	-4.4%	2.9K	-12.5K	-153	2.18	111.32	N/A	N/A	17	37	111	37
2014-10-13	$11.68	$0.00	57.0%	4.3%	16.8%	23.6%	0.0%	-0.2%	-7.7%	3.3K	-12.6K	-144	2.18	109.32	N/A	N/A	17	37	111	37
2014-10-14	$11.90	$0.00	55.4%	4.6%	18.1%	22.8%	17.8%	5.3%	-4.1%	4.6K	-24.2K	-181	1.00	42.06	N/A	N/A	37	37	111	37
2014-10-15	$11.92	$12.50	62.4%	4.8%	17.8%	26.5%	17.6%	5.1%	-4.3%	5.5K	-27.2K	-215	1.00	108.01	N/A	N/A	37	37	131	37
2014-10-16	$11.89	$12.50	21.0%	4.3%	17.3%	4.4%	0.0%	4.2%	-3.0%	5.1K	-31.5K	-241	0.00	114.20	N/A	N/A	0	0	131	37
2014-10-17	$11.64	$12.50	23.4%	3.7%	18.9%	5.7%	0.0%	-1.1%	-5.3%	3.7K	-15.6K	-177	0.00	67.95	N/A	N/A	0	0	131	37
2014-10-20	$11.76	$12.50	24.3%	4.8%	19.1%	6.2%	17.5%	2.0%	2.6%	4.2K	-29.6K	-242	1.00	97.11	N/A	N/A	37	37	131	37
2014-10-21	$11.76	$12.50	23.7%	4.6%	18.1%	5.9%	17.9%	1.5%	-5.7%	4.5K	-21.8K	-191	1.00	104.93	N/A	N/A	37	37	131	37
2014-10-22	$11.74	$12.50	17.5%	4.5%	18.2%	2.6%	16.8%	13.0%	4.1%	5.4K	-29.2K	-218	1.00	106.82	N/A	N/A	37	37	131	37
2014-10-23	$11.80	$12.50	23.0%	4.7%	18.0%	5.5%	17.3%	8.4%	-5.3%	5.8K	-32.9K	-226	1.00	111.27	N/A	N/A	37	37	131	37
2014-10-24	$11.79	$12.50	23.3%	4.7%	17.7%	5.7%	17.3%	8.3%	-5.6%	5.7K	-32.4K	-215	1.00	111.26	N/A	N/A	37	37	131	37
2014-10-27	$11.85	$12.50	24.9%	4.6%	17.8%	6.5%	17.2%	11.1%	-6.0%	6.2K	-34.7K	-220	1.00	106.16	N/A	N/A	37	37	131	37
2014-10-28	$11.93	$12.50	22.7%	4.5%	17.2%	5.4%	0.0%	11.9%	-9.0%	7.1K	-35.8K	-216	0.00	110.38	N/A	N/A	0	0	131	37
2014-10-29	$11.83	$12.50	23.6%	4.4%	17.6%	5.8%	15.2%	11.8%	-4.3%	6.1K	-32.3K	-211	1.00	110.33	N/A	N/A	37	37	131	37
2014-10-30	$11.88	$12.50	24.5%	4.7%	17.6%	6.3%	16.9%	11.3%	-6.7%	6.5K	-35.7K	-213	1.00	111.62	N/A	N/A	37	37	131	37
2014-10-31	$11.98	$12.50	21.2%	4.3%	17.5%	4.5%	16.1%	11.8%	-6.5%	7.7K	-38.6K	-210	1.00	109.28	N/A	N/A	37	37	131	37