FSP Options History — April 2015

In April 2015, FSP traded between $11.85 and $13.00. ATM implied volatility averaged 25.8%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 9.8% (HV 20d: 16.0%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2015-04-01: Highest Volume — 336 contracts
  • 2015-04-08: Largest IV drop — 26.1% change
  • 2015-04-06: Highest IV Rank — 10.4%
  • 2015-04-27: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.55$11.85$13.00$12.84$11.85
ATM IV25.8%20.9%32.0%27.6%27.4%
Expected Move7.2%6.0%8.9%7.9%7.8%
HV 20d16.0%12.3%20.0%20.0%16.2%
HV 60d19.0%17.9%20.1%19.4%18.9%
IV Rank7.1%4.4%10.4%8.0%7.9%
IV Percentile52.5%25.4%71.8%60.3%64.7%
Term Structure-6.0%-12.8%-0.0%-4.6%-11.4%
Skew 25d5.5%-11.2%16.3%-4.9%16.3%
Skew 10d8.4%-18.6%17.2%10.7%6.0%
Call IV 25d30.7%24.0%40.9%40.3%29.7%
Put IV 25d36.3%26.0%46.0%35.4%46.0%
Bid-Ask Spread %107.3469.50115.36114.95107.78
Gamma HHI1.001.001.001.001.00
Net GEX27.0K16.1K47.6K17.9K37.1K
Net DEX-244.4K-315.2K-178.0K-241.3K-200.7K
Net VEX-1.2K-1.4K-1.0K-1.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.080.120.110.12
Total Volume264.7620336336226
Total OI539439659439659

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$12.84$0.0027.6%7.9%20.0%8.0%0.0%-4.9%-4.6%17.9K-241.3K-1.1K0.11114.95N/AN/A3023438059
2015-04-02$12.90$0.0025.6%6.5%20.0%7.0%0.0%0.3%-12.8%24.8K-269.6K-1.0K0.11110.83N/AN/A3023438059
2015-04-06$13.00$0.0032.0%7.3%15.4%10.4%0.0%10.9%-4.5%18.6K-267.8K-1.0K0.11110.00N/AN/A3023438059
2015-04-07$12.81$0.0030.5%6.6%16.6%9.6%0.0%7.9%-1.6%18.4K-232.4K-1.0K0.11112.64N/AN/A3023438059
2015-04-08$12.81$0.0022.5%6.5%16.6%5.3%0.0%5.4%-2.7%16.1K-231.2K-1.0K0.00105.01N/AN/A0038059
2015-04-09$12.51$0.0021.6%6.2%18.8%4.8%0.0%7.1%-4.8%22.1K-200.5K-1.0K0.08109.14N/AN/A3022438059
2015-04-10$12.56$0.0025.6%7.3%17.2%6.9%0.0%8.7%-8.5%22.4K-187.3K-1.1K0.08110.10N/AN/A3022438079
2015-04-13$12.53$0.0023.7%6.8%17.2%5.9%0.0%8.4%-2.7%17.8K-205.2K-1.0K0.08113.42N/AN/A3022438079
2015-04-14$12.55$0.0027.2%7.8%16.7%7.8%0.0%9.2%-7.3%19.6K-180.5K-1.0K0.08109.31N/AN/A3022438079
2015-04-15$12.56$0.0025.7%7.4%16.7%7.0%0.0%7.9%-3.4%17.2K-199.4K-1.0K0.08108.95N/AN/A3022438079
2015-04-16$12.54$0.0021.7%6.2%15.8%4.9%0.0%10.3%-1.9%21.6K-207.9K-1.0K0.08112.62N/AN/A3022438079
2015-04-17$12.50$0.0020.9%6.0%15.8%4.4%0.0%7.7%-0.0%18.7K-178.0K-1.0K0.12111.36N/AN/A2022438079
2015-04-20$12.54$0.0025.7%7.4%14.7%7.0%0.0%8.3%-9.4%39.5K-247.6K-1.4K0.12112.90N/AN/A2022458079
2015-04-21$12.60$0.0026.1%7.5%14.7%7.2%0.0%5.1%-8.8%40.1K-271.0K-1.4K0.1276.36N/AN/A2022458079
2015-04-22$12.45$0.0023.0%6.6%15.0%5.6%0.0%5.3%-2.2%31.4K-311.0K-1.4K0.12113.91N/AN/A2022458079
2015-04-23$12.45$0.0024.5%7.0%13.8%6.4%0.0%6.3%-9.1%47.6K-287.0K-1.4K0.1269.50N/AN/A2022458079
2015-04-24$12.51$0.0027.1%7.8%13.8%7.8%0.0%-9.8%-1.6%26.1K-312.6K-1.4K0.12111.10N/AN/A2022458079
2015-04-27$12.46$0.0031.2%8.9%13.8%10.0%0.0%4.4%-12.1%36.7K-315.2K-1.3K0.12108.64N/AN/A2022458079
2015-04-28$12.44$0.0028.8%8.3%12.3%8.7%0.0%-11.2%-12.3%42.2K-291.9K-1.3K0.12110.28N/AN/A2022458079
2015-04-29$12.16$0.0023.3%6.7%14.2%5.7%0.0%13.0%-4.2%30.1K-293.4K-1.3K0.12115.36N/AN/A2022458079
2015-04-30$11.85$0.0027.4%7.8%16.2%7.9%0.0%16.3%-11.4%37.1K-200.7K-1.2K0.12107.78N/AN/A2022458079