FSP Options History — June 2015

In June 2015, FSP traded between $11.38 and $11.83. ATM implied volatility averaged 30.1%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 17.5% (HV 20d: 12.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.03.

Notable Days

2015-06-16: Highest Volume — 48 contracts
2015-06-29: Largest IV spike — 38.5% change
2015-06-30: Highest IV Rank — 16.9%
2015-06-30: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.59	$11.38	$11.83	$11.73	$11.38
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	30.1%	23.2%	42.7%	31.8%	37.7%
Expected Move	8.0%	6.6%	10.8%	9.1%	10.8%
HV 20d	12.6%	10.2%	16.0%	16.0%	13.3%
HV 60d	15.5%	14.9%	17.5%	17.5%	14.9%
IV Rank	10.0%	6.3%	16.9%	10.8%	16.9%
IV Percentile	71.2%	42.1%	89.7%	78.6%	89.7%
Term Structure	-5.9%	-13.2%	6.2%	-8.4%	-11.3%
VWIV	32.1%	31.6%	32.6%	31.6%	32.6%
Skew 25d	7.3%	-6.3%	15.3%	15.3%	6.2%
Skew 10d	3.9%	-8.3%	13.9%	13.9%	10.5%
Call IV 25d	29.1%	22.0%	39.5%	31.3%	39.5%
Put IV 25d	36.5%	21.1%	46.6%	46.6%	45.6%
Bid-Ask Spread %	102.28	64.15	113.32	104.37	64.15
Gamma HHI	0.99	0.99	1.00	0.99	1.00
Net GEX	10.3K	-2.4K	22.6K	22.6K	-1.7K
Net DEX	-5.4K	-116.3K	71.1K	-80.7K	59.9K
Net VEX	-314	-648	-118	-648	-126
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.03	2.00	4.14	3.30	3.50
Total Volume	36.864	0	48	43	18
Total OI	483.227	81	675	670	81

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
2015-06-01	$11.73	$12.50	31.8%	9.1%	16.0%	10.8%	31.6%	15.3%	-8.4%	22.6K	-80.7K	-648	3.30	104.37	N/A	N/A	10	33	582	88
2015-06-02	$11.69	$12.50	25.0%	7.2%	16.0%	6.6%	0.0%	10.3%	2.1%	21.7K	-7.3K	-438	0.00	92.87	N/A	N/A	0	0	581	88
2015-06-03	$11.66	$12.50	33.1%	9.5%	12.3%	11.2%	32.6%	13.6%	-12.5%	21.0K	-63.3K	-579	3.30	104.68	N/A	N/A	10	33	582	88
2015-06-04	$11.59	$0.00	36.4%	6.9%	12.5%	13.1%	0.0%	5.8%	-0.4%	19.3K	-68.6K	-583	3.30	87.57	N/A	N/A	10	33	582	88
2015-06-05	$11.47	$0.00	36.3%	7.5%	11.9%	13.0%	0.0%	4.7%	-13.2%	16.6K	-8.1K	-409	3.30	105.91	N/A	N/A	10	33	582	88
2015-06-08	$11.47	$0.00	42.7%	7.6%	11.6%	16.6%	0.0%	6.4%	-4.2%	17.0K	-34.9K	-426	3.30	112.04	N/A	N/A	10	33	582	88
2015-06-09	$11.46	$0.00	36.3%	7.7%	10.6%	13.0%	0.0%	-6.3%	-4.4%	12.2K	39.7K	-264	3.30	106.27	N/A	N/A	10	33	582	88
2015-06-10	$11.59	$0.00	25.0%	7.2%	11.2%	6.6%	0.0%	8.3%	-10.9%	19.5K	-26.9K	-382	3.30	110.92	N/A	N/A	10	33	582	88
2015-06-11	$11.64	$0.00	25.7%	7.4%	10.9%	6.9%	0.0%	7.5%	-4.9%	19.4K	-87.4K	-461	3.30	112.29	N/A	N/A	10	33	582	88
2015-06-12	$11.66	$0.00	27.1%	7.8%	10.2%	7.7%	0.0%	8.8%	-6.1%	19.5K	-96.2K	-451	3.30	112.29	N/A	N/A	10	33	582	88
2015-06-15	$11.49	$0.00	26.3%	7.5%	10.6%	7.3%	0.0%	6.0%	-6.0%	17.0K	-10.6K	-282	3.30	105.38	N/A	N/A	10	33	582	88
2015-06-16	$11.65	$0.00	27.7%	7.9%	11.8%	8.1%	0.0%	2.9%	-5.4%	19.4K	-91.2K	-343	2.20	108.61	N/A	N/A	15	33	582	88
2015-06-17	$11.69	$0.00	26.4%	7.6%	11.9%	7.3%	0.0%	11.2%	-5.5%	19.3K	-116.3K	-333	2.20	109.84	N/A	N/A	15	33	587	88
2015-06-18	$11.83	$0.00	24.6%	7.1%	12.6%	6.3%	0.0%	11.5%	-5.1%	-2.4K	71.1K	-167	2.20	90.38	N/A	N/A	15	33	587	88
2015-06-19	$11.82	$0.00	27.0%	7.7%	12.6%	7.7%	0.0%	9.4%	-2.6%	-2.3K	64.3K	-182	2.20	100.50	N/A	N/A	15	33	587	88
2015-06-22	$11.76	$0.00	27.1%	7.8%	12.6%	7.8%	0.0%	10.7%	-4.0%	-2.3K	47.4K	-173	4.14	113.32	N/A	N/A	7	29	8	73
2015-06-23	$11.56	$0.00	30.9%	8.9%	14.1%	9.9%	0.0%	6.9%	-6.9%	-2.0K	56.7K	-146	4.14	111.97	N/A	N/A	7	29	8	73
2015-06-24	$11.55	$0.00	29.0%	8.3%	14.0%	10.8%	0.0%	5.2%	-7.4%	-2.0K	57.7K	-133	4.14	84.82	N/A	N/A	7	29	8	73
2015-06-25	$11.49	$0.00	31.7%	9.1%	14.1%	12.6%	0.0%	4.9%	-8.3%	-1.9K	58.4K	-133	2.00	110.81	N/A	N/A	7	14	8	73
2015-06-26	$11.52	$0.00	23.2%	6.6%	13.8%	6.7%	0.0%	7.9%	6.2%	-1.9K	58.2K	-135	2.00	92.07	N/A	N/A	7	14	8	73
2015-06-29	$11.38	$0.00	32.1%	9.2%	13.3%	13.0%	0.0%	3.8%	-10.5%	-1.7K	59.5K	-118	2.00	109.04	N/A	N/A	7	14	8	73
2015-06-30	$11.38	$0.00	37.7%	10.8%	13.3%	16.9%	0.0%	6.2%	-11.3%	-1.7K	59.9K	-126	3.50	64.15	N/A	N/A	4	14	8	73