FSP Options History — November 2014

In November 2014, FSP traded between $11.73 and $12.18. ATM implied volatility averaged 21.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 8.1% (HV 20d: 13.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2014-11-20: Highest Volume — 124 contracts
2014-11-13: Largest IV drop — 45.4% change
2014-11-12: Highest IV Rank — 8.8%
2014-11-05: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.00	$11.73	$12.18	$12.02	$12.02
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	21.3%	16.0%	29.2%	20.5%	18.0%
Expected Move	4.4%	3.9%	4.9%	4.3%	4.5%
HV 20d	13.2%	11.0%	17.4%	17.4%	13.4%
HV 60d	14.4%	13.9%	14.9%	14.3%	14.9%
IV Rank	4.6%	1.8%	8.8%	4.2%	2.9%
IV Percentile	16.8%	2.0%	44.4%	9.9%	5.6%
Term Structure	-1.1%	-7.5%	4.2%	3.0%	-6.3%
VWIV	16.6%	15.8%	17.4%	16.1%	16.8%
Skew 25d	17.3%	4.4%	93.8%	15.3%	19.1%
Skew 10d	5.4%	-30.2%	121.2%	-17.4%	-14.7%
Call IV 25d	19.1%	13.6%	26.0%	16.3%	20.5%
Put IV 25d	36.3%	22.2%	114.4%	31.6%	39.6%
Bid-Ask Spread %	99.72	48.39	110.79	108.55	101.11
Gamma HHI	0.97	0.92	1.00	0.99	0.99
Net GEX	8.4K	5.5K	12.6K	7.9K	12.6K
Net DEX	-46.5K	-80.8K	-20.7K	-46.3K	-80.8K
Net VEX	-234	-477	-124	-216	-477
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.00	1.00	1.00	0.00
Total Volume	65.632	0	124	74	10
Total OI	182.947	151	269	168	269

Daily Data (19 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
2014-11-03	$12.02	$12.50	20.5%	4.3%	17.4%	4.2%	16.1%	15.3%	3.0%	7.9K	-46.3K	-216	1.00	108.55	N/A	N/A	37	37	131	37
2014-11-04	$11.99	$12.50	24.7%	4.2%	17.3%	6.4%	15.8%	14.1%	-2.4%	7.7K	-45.4K	-215	1.00	110.79	N/A	N/A	37	37	131	37
2014-11-05	$12.14	$12.50	23.7%	4.9%	15.6%	5.9%	17.4%	8.3%	-1.1%	8.5K	-48.4K	-220	1.00	108.20	N/A	N/A	37	37	131	37
2014-11-06	$12.10	$12.50	20.4%	4.3%	13.4%	4.2%	16.7%	15.2%	-3.6%	9.5K	-56.8K	-233	1.00	102.31	N/A	N/A	37	37	131	37
2014-11-07	$12.03	$12.50	24.6%	4.4%	13.6%	6.4%	16.9%	6.1%	-0.8%	8.6K	-49.5K	-216	1.00	104.15	N/A	N/A	37	37	131	37
2014-11-10	$12.15	$12.50	28.3%	4.8%	13.7%	8.3%	17.1%	93.8%	-0.9%	8.9K	-50.1K	-215	1.00	103.64	N/A	N/A	37	37	131	37
2014-11-11	$12.18	$12.50	26.7%	4.2%	12.2%	7.5%	16.3%	10.7%	4.2%	6.7K	-49.7K	-204	1.00	103.11	N/A	N/A	37	37	114	37
2014-11-12	$12.12	$12.50	29.2%	4.4%	12.4%	8.8%	16.6%	11.8%	3.6%	9.5K	-46.5K	-208	1.00	105.03	N/A	N/A	37	37	131	37
2014-11-13	$12.10	$12.50	16.0%	4.4%	12.3%	1.8%	17.0%	12.3%	3.6%	9.3K	-44.8K	-197	1.00	48.39	N/A	N/A	37	37	131	37
2014-11-14	$11.90	$12.50	17.0%	4.3%	11.3%	2.3%	0.0%	4.4%	-0.2%	7.2K	-31.6K	-174	0.00	71.05	N/A	N/A	0	0	131	37
2014-11-17	$11.84	$12.50	19.3%	4.6%	11.0%	3.6%	17.1%	11.0%	-0.5%	6.4K	-31.0K	-165	1.00	104.19	N/A	N/A	37	37	131	37
2014-11-18	$11.89	$12.50	17.9%	4.4%	11.1%	2.8%	16.7%	11.9%	3.5%	7.0K	-29.4K	-153	1.00	98.30	N/A	N/A	37	37	131	37
2014-11-19	$11.73	$12.50	18.1%	3.9%	12.1%	2.9%	0.0%	6.9%	-7.5%	5.5K	-20.7K	-124	0.00	107.67	N/A	N/A	0	0	131	37
2014-11-20	$11.87	$12.50	21.4%	4.4%	12.7%	4.7%	16.3%	13.7%	-1.8%	6.5K	-33.7K	-168	0.43	103.99	N/A	N/A	87	37	131	37
2014-11-21	$11.88	$12.50	19.9%	4.5%	12.7%	3.8%	16.4%	12.4%	-1.9%	8.6K	-50.5K	-313	0.43	105.53	N/A	N/A	87	37	181	37
2014-11-24	$11.96	$12.50	19.4%	4.4%	12.8%	3.6%	0.0%	18.7%	-5.5%	9.5K	-52.6K	-316	0.00	104.83	N/A	N/A	0	0	181	37
2014-11-25	$11.92	$12.50	21.6%	4.5%	12.7%	4.8%	16.8%	19.3%	-6.0%	8.9K	-53.7K	-312	0.43	104.92	N/A	N/A	87	37	181	37
2014-11-26	$12.09	$12.50	18.6%	4.7%	13.2%	3.2%	0.0%	22.9%	-1.0%	11.2K	-62.1K	-329	0.00	98.82	N/A	N/A	51	0	181	37
2014-11-28	$12.02	$12.50	18.0%	4.5%	13.4%	2.9%	0.0%	19.1%	-6.3%	12.6K	-80.8K	-477	0.00	101.11	N/A	N/A	10	0	232	37