FSP Options History — December 2014

In December 2014, FSP traded between $11.88 and $12.61. ATM implied volatility averaged 19.8%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.9% (HV 20d: 13.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2014-12-01: Highest Volume — 158 contracts
2014-12-11: Largest IV drop — 30.3% change
2014-12-09: Highest IV Rank — 9.5%
2014-12-30: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.20	$11.88	$12.61	$12.05	$12.27
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	19.8%	14.4%	30.5%	23.2%	17.6%
Expected Move	4.7%	4.3%	5.3%	4.3%	4.8%
HV 20d	13.8%	12.5%	17.5%	13.1%	17.5%
HV 60d	14.8%	14.2%	15.9%	14.8%	15.9%
IV Rank	3.8%	1.0%	9.5%	5.6%	2.7%
IV Percentile	15.1%	0.8%	46.8%	25.4%	7.9%
Term Structure	-0.2%	-8.5%	5.0%	-7.2%	1.4%
VWIV	17.1%	15.8%	18.8%	16.3%	17.9%
Skew 25d	1.8%	-52.9%	24.9%	22.5%	-38.7%
Skew 10d	-12.5%	-73.9%	9.6%	8.8%	-68.2%
Call IV 25d	28.7%	14.9%	66.4%	22.4%	57.6%
Put IV 25d	30.5%	13.6%	48.9%	44.9%	18.9%
Bid-Ask Spread %	103.89	99.21	107.46	104.66	105.16
Gamma HHI	0.99	0.97	1.00	0.98	1.00
Net GEX	15.1K	10.8K	20.5K	12.2K	11.2K
Net DEX	-133.8K	-159.5K	-92.0K	-92.0K	-128.0K
Net VEX	-814	-895	-522	-522	-792
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	1.37	0.31	0.00
Total Volume	64.227	0	158	158	10
Total OI	350.909	260	409	279	265

Daily Data (22 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
2014-12-01	$12.05	$12.50	23.2%	4.3%	13.1%	5.6%	16.3%	22.5%	-7.2%	12.2K	-92.0K	-522	0.31	104.66	N/A	N/A	121	37	242	37
2014-12-02	$12.12	$12.50	23.0%	4.5%	13.2%	5.5%	17.4%	21.6%	-7.1%	16.8K	-131.3K	-837	0.31	104.35	N/A	N/A	121	37	342	37
2014-12-03	$12.02	$12.50	23.1%	5.2%	13.5%	5.6%	18.1%	24.9%	-4.9%	15.8K	-128.7K	-815	1.19	103.94	N/A	N/A	31	37	342	37
2014-12-04	$12.05	$12.50	25.3%	4.4%	12.7%	6.7%	0.0%	24.2%	-8.5%	16.1K	-126.2K	-814	0.00	104.75	N/A	N/A	0	0	352	37
2014-12-05	$12.04	$12.50	24.7%	4.4%	12.7%	6.4%	16.7%	2.0%	-1.7%	16.5K	-123.4K	-819	1.37	103.93	N/A	N/A	27	37	352	37
2014-12-08	$12.04	$12.50	24.6%	4.3%	12.5%	6.4%	16.2%	7.3%	-1.5%	17.9K	-132.6K	-849	1.37	102.76	N/A	N/A	27	37	368	37
2014-12-09	$12.23	$12.50	30.5%	4.6%	13.3%	9.5%	16.5%	10.1%	5.0%	17.1K	-157.2K	-867	1.37	101.27	N/A	N/A	27	37	368	37
2014-12-10	$12.15	$12.50	26.2%	4.3%	13.5%	7.2%	16.5%	7.4%	3.8%	20.0K	-151.2K	-895	1.37	104.83	N/A	N/A	27	37	368	37
2014-12-11	$12.17	$12.50	18.3%	4.3%	13.4%	3.0%	15.8%	2.9%	-1.7%	20.5K	-159.5K	-870	0.77	105.69	N/A	N/A	48	37	368	37
2014-12-12	$12.10	$12.50	19.1%	4.5%	13.5%	3.4%	16.6%	0.1%	-1.8%	18.1K	-143.2K	-832	0.85	100.33	N/A	N/A	48	41	368	37
2014-12-15	$11.88	$12.50	18.7%	4.8%	13.8%	3.2%	18.8%	4.9%	-2.4%	14.9K	-108.3K	-762	0.85	99.21	N/A	N/A	48	41	368	41
2014-12-16	$11.92	$12.50	18.2%	4.6%	13.7%	3.0%	17.8%	12.5%	1.0%	15.1K	-119.1K	-766	0.85	102.81	N/A	N/A	48	41	368	41
2014-12-17	$12.08	$12.50	15.5%	5.1%	14.4%	1.5%	18.1%	15.1%	3.1%	16.7K	-136.6K	-822	0.85	99.59	N/A	N/A	48	41	368	41
2014-12-18	$12.11	$12.50	15.0%	5.0%	13.4%	1.2%	17.9%	19.3%	3.1%	18.1K	-142.4K	-828	0.85	100.79	N/A	N/A	48	41	368	41
2014-12-19	$12.15	$12.50	14.4%	4.8%	12.9%	1.0%	0.0%	14.6%	2.8%	17.8K	-158.6K	-824	0.00	100.23	N/A	N/A	0	0	368	41
2014-12-22	$12.43	$0.00	16.2%	4.8%	15.0%	1.9%	0.0%	9.5%	4.4%	10.8K	-124.8K	-833	0.09	107.46	N/A	N/A	47	4	256	4
2014-12-23	$12.42	$0.00	16.1%	4.8%	14.9%	1.8%	0.0%	-13.1%	0.2%	10.9K	-125.7K	-814	0.09	107.23	N/A	N/A	47	4	256	4
2014-12-24	$12.41	$0.00	18.2%	4.9%	14.8%	3.0%	0.0%	6.3%	-1.1%	10.9K	-126.1K	-814	0.09	107.20	N/A	N/A	47	4	256	4
2014-12-26	$12.50	$0.00	16.3%	5.2%	14.3%	2.0%	0.0%	-17.2%	3.9%	11.0K	-135.8K	-834	0.11	106.10	N/A	N/A	36	4	256	4
2014-12-29	$12.58	$0.00	16.2%	5.0%	14.1%	1.9%	0.0%	-43.2%	2.2%	11.6K	-141.5K	-835	0.11	107.04	N/A	N/A	36	4	261	4
2014-12-30	$12.61	$0.00	14.5%	5.3%	14.1%	1.0%	0.0%	-52.9%	3.1%	11.5K	-152.5K	-855	0.00	106.34	N/A	N/A	0	0	261	4
2014-12-31	$12.27	$0.00	17.6%	4.8%	17.5%	2.7%	0.0%	-38.7%	1.4%	11.2K	-128.0K	-792	0.00	105.16	N/A	N/A	10	0	261	4