FSP Options History — January 2015 In January 2015, FSP traded between $12.48 and $13.46. ATM implied volatility averaged 23.7%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.5% (HV 20d: 19.2%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.31.
Notable Days 2015-01-30 : Highest Volume — 26 contracts2015-01-07 : Largest IV spike — 59.7% change2015-01-13 : Highest IV Rank — 18.6%2015-01-20 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $12.94 $12.48 $13.46 $12.48 $12.91 ATM IV 23.7% 16.0% 47.6% 16.0% 17.2% Expected Move 5.8% 4.8% 8.5% 5.1% 4.9% HV 20d 19.2% 17.2% 21.4% 18.1% 19.3% HV 60d 15.5% 14.4% 16.6% 16.2% 16.6% IV Rank 5.9% 1.8% 18.6% 1.8% 2.4% IV Percentile 26.5% 4.0% 63.9% 4.0% 8.3% Term Structure -1.0% -8.0% 4.3% 1.7% 0.2% Skew 25d -2.4% -46.7% 86.4% -46.7% -11.9% Skew 10d 0.4% -76.8% 132.1% -76.8% -15.9% Call IV 25d 29.0% 19.0% 62.7% 62.7% 29.8% Put IV 25d 26.6% 16.0% 112.9% 16.0% 17.9% Bid-Ask Spread % 100.59 37.87 115.60 104.79 106.21 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 11.1K 8.9K 13.1K 11.7K 11.6K Net DEX -197.7K -260.9K -137.1K -137.1K -207.6K Net VEX -813 -877 -729 -849 -750 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.31 0.00 1.17 0.27 1.17 Total Volume 12.35 0 26 19 26 Total OI 271.65 261 280 275 261
Daily Data (20 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 2015-01-02 $12.48 $0.00 16.0% 5.1% 18.1% 1.8% 0.0% -46.7% 1.7% 11.7K -137.1K -849 0.27 104.79 N/A N/A 15 4 271 4 2015-01-05 $12.66 $0.00 18.9% 5.1% 18.6% 3.3% 0.0% 1.6% -0.9% 12.3K -173.7K -872 0.00 103.71 N/A N/A 0 0 271 4 2015-01-06 $12.61 $0.00 18.5% 5.3% 18.7% 3.1% 0.0% -0.5% -0.4% 12.4K -170.7K -870 0.00 107.46 N/A N/A 7 0 271 4 2015-01-07 $12.72 $0.00 29.5% 5.5% 18.8% 9.0% 0.0% 86.4% 1.9% 13.1K -147.8K -831 0.00 111.59 N/A N/A 0 0 276 4 2015-01-08 $12.69 $0.00 28.1% 5.0% 18.2% 8.2% 0.0% 2.1% -0.6% 10.3K -174.3K -877 0.24 37.87 N/A N/A 17 4 276 4 2015-01-09 $12.58 $0.00 32.0% 6.7% 18.4% 10.3% 0.0% -4.7% -1.0% 9.6K -165.6K -864 0.24 64.09 N/A N/A 17 4 276 4 2015-01-12 $12.70 $0.00 37.6% 6.8% 18.6% 13.3% 0.0% 2.6% -2.1% 10.2K -170.2K -864 0.24 67.87 N/A N/A 17 4 276 4 2015-01-13 $12.86 $0.00 47.6% 7.0% 18.7% 18.6% 0.0% -6.5% -3.3% 12.8K -172.9K -853 0.24 115.60 N/A N/A 17 4 276 4 2015-01-14 $13.03 $0.00 22.9% 6.6% 17.2% 5.5% 0.0% -7.0% -1.4% 13.0K -196.4K -861 0.24 110.35 N/A N/A 17 4 276 4 2015-01-15 $13.33 $0.00 21.0% 6.0% 18.4% 4.5% 0.0% -0.6% 0.1% 10.2K -223.5K -842 0.24 109.01 N/A N/A 17 4 276 4 2015-01-16 $13.46 $0.00 24.0% 6.9% 18.2% 6.0% 0.0% -3.9% -4.7% 10.8K -260.9K -781 0.00 108.38 N/A N/A 0 0 276 4 2015-01-20 $13.26 $0.00 29.5% 8.5% 19.6% 9.0% 0.0% -4.5% -8.0% 11.8K -229.1K -827 0.00 109.04 N/A N/A 0 0 276 4 2015-01-21 $13.00 $0.00 23.9% 6.8% 21.4% 6.0% 0.0% -2.6% -3.1% 8.9K -209.4K -785 0.00 111.76 N/A N/A 0 0 257 4 2015-01-22 $13.08 $0.00 19.2% 5.5% 20.2% 3.5% 0.0% -10.4% -3.5% 10.9K -220.9K -763 0.24 109.73 N/A N/A 17 4 257 4 2015-01-23 $13.06 $0.00 17.7% 5.1% 20.2% 2.7% 0.0% -13.6% 1.3% 9.0K -211.3K -784 0.33 110.98 N/A N/A 12 4 257 4 2015-01-26 $13.15 $0.00 16.9% 4.8% 20.2% 2.2% 0.0% -5.8% 4.3% 11.1K -220.3K -748 0.00 105.97 N/A N/A 0 0 257 4 2015-01-27 $13.09 $0.00 17.8% 5.1% 20.3% 2.8% 0.0% -7.7% -0.0% 11.2K -223.1K -746 0.00 105.86 N/A N/A 0 0 257 4 2015-01-28 $13.04 $0.00 17.6% 5.0% 20.4% 2.6% 0.0% -8.6% 3.2% 11.1K -212.3K -757 0.33 106.00 N/A N/A 12 4 257 4 2015-01-29 $13.17 $0.00 17.7% 5.1% 20.6% 2.7% 0.0% -5.9% -3.3% 10.6K -226.1K -729 0.33 105.44 N/A N/A 12 4 257 4 2015-01-30 $12.91 $0.00 17.2% 4.9% 19.3% 2.4% 0.0% -11.9% 0.2% 11.6K -207.6K -750 1.17 106.21 N/A N/A 12 14 257 4
« Dec 2014 | All History | Feb 2015 » Home FSP History January 2015