FSP Options History — May 2015

In May 2015, FSP traded between $11.53 and $11.86. ATM implied volatility averaged 32.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 14.8% (HV 20d: 17.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.53.

Notable Days

2015-05-12: Highest Volume — 236 contracts
2015-05-13: Largest IV drop — 71.1% change
2015-05-12: Highest IV Rank — 36.3%
2015-05-28: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.69	$11.53	$11.86	$11.85	$11.56
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	32.5%	18.8%	80.0%	20.1%	26.5%
Expected Move	7.0%	4.1%	12.5%	5.7%	7.6%
HV 20d	17.8%	14.9%	19.3%	16.0%	14.9%
HV 60d	18.0%	17.2%	18.9%	18.9%	17.2%
IV Rank	10.7%	3.3%	36.3%	4.0%	7.8%
IV Percentile	59.7%	16.7%	88.1%	23.4%	64.3%
Term Structure	-2.2%	-22.0%	11.4%	-0.6%	2.9%
VWIV	24.9%	14.5%	44.0%	14.5%	24.9%
Skew 25d	10.0%	-0.9%	21.9%	14.5%	17.5%
Skew 10d	11.5%	-1.1%	24.5%	17.9%	18.8%
Call IV 25d	24.4%	14.7%	41.2%	20.2%	24.7%
Put IV 25d	34.4%	17.6%	47.8%	34.8%	42.2%
Bid-Ask Spread %	94.93	17.24	107.67	78.98	77.71
Gamma HHI	0.99	0.99	1.00	1.00	0.99
Net GEX	21.7K	13.1K	28.6K	28.6K	18.0K
Net DEX	-73.3K	-211.3K	25.7K	-59.8K	-27.4K
Net VEX	-764	-953	-450	-844	-535
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.00	3.30	0.12	3.30
Total Volume	156.05	0	236	226	43
Total OI	665.5	659	670	659	670

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
2015-05-01	$11.85	$0.00	20.1%	5.7%	16.0%	4.0%	0.0%	14.5%	-0.6%	28.6K	-59.8K	-844	0.12	78.98	N/A	N/A	202	24	580	79
2015-05-04	$11.86	$12.50	23.3%	5.2%	15.4%	5.7%	0.0%	1.6%	1.3%	27.7K	-92.3K	-953	0.00	87.66	N/A	N/A	1	0	580	79
2015-05-05	$11.53	$12.50	25.3%	4.1%	17.3%	6.8%	14.5%	-0.9%	0.6%	13.1K	25.7K	-450	0.12	17.24	N/A	N/A	203	24	581	79
2015-05-06	$11.56	$12.50	33.3%	6.8%	17.4%	11.1%	25.1%	5.3%	-0.6%	19.0K	-66.0K	-798	0.12	106.66	N/A	N/A	203	24	581	79
2015-05-07	$11.72	$12.50	45.6%	7.1%	17.2%	17.7%	23.6%	9.3%	-4.4%	21.7K	-100.5K	-900	0.12	104.28	N/A	N/A	203	24	581	79
2015-05-08	$11.79	$12.50	43.3%	6.3%	17.3%	16.5%	0.0%	7.0%	-4.0%	24.1K	-102.1K	-903	0.00	105.42	N/A	N/A	0	0	581	79
2015-05-11	$11.62	$12.50	65.3%	7.0%	17.7%	28.4%	0.0%	4.5%	-6.6%	20.0K	-69.3K	-784	0.00	105.08	N/A	N/A	0	3	581	79
2015-05-12	$11.68	$12.50	80.0%	7.2%	17.9%	36.3%	23.8%	10.6%	-4.0%	21.3K	-82.3K	-857	0.16	103.91	N/A	N/A	203	33	581	82
2015-05-13	$11.58	$12.50	23.1%	6.6%	17.9%	5.6%	23.5%	6.8%	-3.1%	19.2K	-46.7K	-756	0.16	105.00	N/A	N/A	203	33	581	88
2015-05-14	$11.70	$12.50	19.3%	5.5%	18.6%	3.6%	14.7%	17.7%	8.1%	22.8K	-40.0K	-701	0.16	99.32	N/A	N/A	203	33	581	88
2015-05-15	$11.83	$12.50	21.4%	6.2%	19.3%	4.7%	19.2%	16.0%	1.8%	26.1K	-89.9K	-860	0.16	106.56	N/A	N/A	203	33	581	88
2015-05-18	$11.78	$12.50	26.0%	7.5%	19.2%	7.2%	0.0%	9.0%	-4.4%	23.3K	-103.5K	-825	0.00	92.43	N/A	N/A	0	0	581	88
2015-05-19	$11.75	$12.50	26.3%	7.5%	19.0%	7.3%	0.0%	12.6%	-2.8%	22.6K	-95.2K	-808	0.00	107.67	N/A	N/A	0	0	581	88
2015-05-20	$11.74	$12.50	26.6%	7.6%	18.7%	7.5%	26.0%	12.3%	-3.1%	22.2K	-91.8K	-796	0.16	87.77	N/A	N/A	203	33	581	88
2015-05-21	$11.70	$12.50	18.8%	5.4%	18.7%	3.3%	26.9%	21.9%	11.4%	22.1K	-13.6K	-603	0.16	100.21	N/A	N/A	203	33	581	88
2015-05-22	$11.65	$12.50	26.0%	7.4%	18.5%	7.2%	28.0%	7.1%	-5.3%	20.9K	-68.0K	-737	0.16	105.91	N/A	N/A	203	33	581	88
2015-05-26	$11.64	$12.50	30.3%	8.7%	18.5%	9.5%	30.5%	9.4%	-6.7%	20.4K	-75.6K	-688	0.16	105.91	N/A	N/A	203	33	581	88
2015-05-27	$11.68	$12.50	26.5%	7.6%	18.6%	7.5%	23.6%	11.5%	-1.4%	22.2K	-56.9K	-637	0.16	106.01	N/A	N/A	203	33	581	88
2015-05-28	$11.66	$12.50	43.4%	12.5%	17.1%	16.6%	44.0%	6.6%	-22.0%	19.0K	-211.3K	-849	3.30	94.80	N/A	N/A	10	33	581	88
2015-05-29	$11.56	$12.50	26.5%	7.6%	14.9%	7.8%	24.9%	17.5%	2.9%	18.0K	-27.4K	-535	3.30	77.71	N/A	N/A	10	33	582	88