FSP Options History — March 2015

In March 2015, FSP traded between $12.20 and $13.06. ATM implied volatility averaged 24.8%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.5% (HV 20d: 20.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-03-30: Highest Volume — 336 contracts
  • 2015-03-11: Largest IV drop — 25.6% change
  • 2015-03-06: Highest IV Rank — 9.5%
  • 2015-03-02: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.66$12.20$13.06$12.67$12.79
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV24.8%19.7%30.5%28.8%25.9%
Expected Move6.6%4.6%8.3%8.3%7.4%
HV 20d20.3%18.6%22.2%20.6%20.3%
HV 60d20.0%18.9%20.5%19.0%19.6%
IV Rank6.5%3.8%9.5%8.6%7.1%
IV Percentile45.4%21.4%60.3%55.6%55.6%
Term Structure-4.2%-13.3%1.8%-13.3%-3.1%
VWIV27.6%25.0%29.0%29.0%25.0%
Skew 25d5.8%-10.1%67.3%-2.0%-1.2%
Skew 10d15.7%-14.2%122.4%-2.7%9.9%
Call IV 25d28.1%21.2%37.1%30.6%35.3%
Put IV 25d33.9%24.7%88.5%28.6%34.0%
Bid-Ask Spread %109.7651.91116.36107.94113.12
Gamma HHI1.001.001.001.001.00
Net GEX26.8K9.7K47.5K30.3K18.3K
Net DEX-240.1K-458.1K-104.0K-297.5K-252.1K
Net VEX-883-1.1K-704-1.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.112.830.150.11
Total Volume90.7730336255336
Total OI459.227291528527439

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$12.67$5.0028.8%8.3%20.6%8.6%29.0%-2.0%-13.3%30.3K-297.5K-1.1K0.15107.94N/AN/A2213446859
2015-03-03$12.77$5.0026.8%7.7%20.9%7.5%28.9%-7.2%-8.5%47.5K-328.7K-1.0K0.1551.91N/AN/A2223446859
2015-03-04$12.65$5.0024.8%7.1%20.5%6.5%25.0%10.9%-7.4%33.0K-300.1K-1.1K0.15109.81N/AN/A2223446959
2015-03-05$12.66$0.0028.4%4.6%20.5%8.4%0.0%67.3%1.4%30.0K-297.1K-1.1K0.15108.03N/AN/A2223446959
2015-03-06$12.24$0.0030.5%6.2%22.2%9.5%0.0%7.1%-3.8%27.1K-235.7K-1.0K0.15111.74N/AN/A2223446959
2015-03-09$12.29$0.0027.2%5.7%20.4%7.8%0.0%5.9%-9.3%33.3K-175.8K-9270.00113.74N/AN/A0046959
2015-03-10$12.27$0.0028.5%6.0%20.4%8.4%0.0%7.9%-7.0%30.9K-171.4K-9030.00115.36N/AN/A0046959
2015-03-11$12.20$0.0021.2%6.1%20.4%4.5%0.0%5.8%-10.7%30.3K-144.3K-8540.00113.11N/AN/A0046959
2015-03-12$12.47$0.0019.7%5.7%22.1%3.8%0.0%9.2%-2.1%38.6K-219.0K-9230.00112.50N/AN/A0046959
2015-03-13$12.51$0.0021.9%6.3%20.3%4.9%0.0%8.1%-2.7%33.5K-255.2K-9390.00115.16N/AN/A0046959
2015-03-16$12.65$0.0022.6%6.5%20.8%5.3%0.0%9.0%-4.9%41.4K-298.3K-8950.00116.36N/AN/A0046959
2015-03-17$12.65$0.0023.0%6.6%20.5%5.5%0.0%9.2%-0.7%36.5K-303.9K-8800.00114.86N/AN/A0046959
2015-03-18$12.83$0.0022.0%6.3%21.1%5.0%0.0%5.3%0.7%36.4K-367.5K-8280.00113.02N/AN/A0046959
2015-03-19$12.79$0.0023.4%6.7%19.7%5.7%0.0%5.1%-2.9%37.6K-362.5K-8240.00113.37N/AN/A0046959
2015-03-20$12.98$0.0023.0%6.6%20.1%5.5%0.0%1.2%-5.8%9.7K-458.1K-7630.00111.41N/AN/A0046959
2015-03-23$13.06$0.0023.8%6.8%19.3%6.0%0.0%0.1%-1.0%12.6K-175.9K-7040.00111.87N/AN/A0023259
2015-03-24$12.98$0.0023.8%6.8%18.6%5.9%0.0%-6.8%-1.4%10.4K-155.1K-7440.00112.07N/AN/A0023259
2015-03-25$12.75$0.0023.4%6.7%19.8%5.8%0.0%9.4%1.8%15.8K-127.6K-7530.00106.08N/AN/A0023259
2015-03-26$12.67$0.0027.3%7.8%19.4%7.9%0.0%-10.1%-6.0%14.4K-104.0K-7432.83113.20N/AN/A123423259
2015-03-27$12.71$0.0024.6%7.1%19.5%6.4%0.0%0.3%-1.9%11.0K-117.9K-7450.00115.24N/AN/A0023259
2015-03-30$12.91$0.0025.6%7.4%20.1%7.0%0.0%-6.7%-2.7%10.4K-134.2K-7240.11114.92N/AN/A3023423259
2015-03-31$12.79$0.0025.9%7.4%20.3%7.1%0.0%-1.2%-3.1%18.3K-252.1K-1.1K0.11113.12N/AN/A3023438059