FSP Options History — July 2015

In July 2015, FSP traded between $11.39 and $11.96. ATM implied volatility averaged 35.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 22.6% (HV 20d: 12.4%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 3.56.

Notable Days

  • 2015-07-27: Highest Volume — 19 contracts
  • 2015-07-15: Largest IV drop — 66.5% change
  • 2015-07-14: Highest IV Rank — 51.3%
  • 2015-07-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.68$11.39$11.96$11.42$11.73
ATM IV35.0%21.9%76.9%37.8%29.4%
Expected Move7.7%6.3%10.8%10.8%8.4%
HV 20d12.4%10.9%13.8%13.4%11.8%
HV 60d14.3%12.4%15.2%14.8%12.4%
IV Rank21.2%11.3%51.3%16.4%22.9%
IV Percentile73.9%30.6%99.2%90.1%75.0%
Term Structure-7.1%-17.2%-1.3%-10.3%-17.2%
Skew 25d6.2%-9.3%12.3%7.7%0.7%
Skew 10d2.8%-11.1%9.6%9.0%-11.1%
Call IV 25d28.5%18.7%42.7%39.6%31.7%
Put IV 25d34.8%20.3%47.3%47.3%32.3%
Bid-Ask Spread %104.6055.68114.07109.7375.99
Gamma HHI0.970.950.990.960.98
Net GEX-2.4K-3.0K-1.7K-1.8K-2.9K
Net DEX54.5K40.0K62.1K55.9K56.5K
Net VEX-127-147-101-124-110
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.563.503.753.503.75
Total Volume18.22718191819
Total OI8383838383

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$11.42$0.0037.8%10.8%13.4%16.4%0.0%7.7%-10.3%-1.8K55.9K-1243.50109.73N/AN/A4141073
2015-07-02$11.39$0.0033.5%9.6%13.3%13.4%0.0%3.3%-13.2%-1.7K58.5K-1293.50104.93N/AN/A4141073
2015-07-06$11.49$0.0043.0%6.6%13.2%20.0%0.0%1.9%-4.7%-1.7K62.1K-1103.50109.06N/AN/A4141073
2015-07-07$11.62$0.0045.0%7.7%13.8%21.4%0.0%3.8%-4.3%-2.1K55.6K-1443.50111.24N/AN/A4141073
2015-07-08$11.58$0.0034.5%7.0%13.8%14.1%0.0%3.2%-2.4%-2.0K57.2K-1333.5055.68N/AN/A4141073
2015-07-09$11.58$0.0047.7%7.5%13.2%27.3%0.0%2.2%-3.4%-2.0K55.6K-1443.50110.24N/AN/A4141073
2015-07-10$11.65$0.0047.7%7.0%13.3%27.3%0.0%5.0%-8.4%-2.1K58.1K-1343.50109.49N/AN/A4141073
2015-07-13$11.67$0.0060.6%7.3%13.3%37.9%0.0%-9.3%-5.2%-2.2K57.4K-1303.50106.03N/AN/A4141073
2015-07-14$11.68$0.0076.9%6.6%12.1%51.3%0.0%10.5%-4.9%-2.2K58.8K-1233.50114.07N/AN/A4141073
2015-07-15$11.76$0.0025.8%7.4%11.4%17.2%0.0%7.8%-3.5%-2.3K53.9K-1463.50113.57N/AN/A4141073
2015-07-16$11.94$0.0025.2%7.2%12.5%16.4%0.0%9.9%-13.2%-2.9K54.6K-1333.50103.75N/AN/A4141073
2015-07-17$11.92$0.0024.6%7.0%11.8%15.4%0.0%8.8%-3.9%-2.7K48.6K-1203.5086.31N/AN/A4141073
2015-07-20$11.96$0.0025.0%7.2%11.9%16.1%0.0%12.3%-2.5%-2.8K48.0K-1173.50110.99N/AN/A4141073
2015-07-21$11.93$0.0025.2%7.2%11.7%16.4%0.0%9.0%-4.8%-2.7K49.6K-1383.50111.12N/AN/A4141073
2015-07-22$11.78$0.0024.9%7.1%10.9%15.9%0.0%9.8%-3.6%-3.0K40.0K-1473.50111.93N/AN/A4141073
2015-07-23$11.59$0.0024.9%7.2%12.5%16.0%0.0%4.9%-5.9%-2.4K52.5K-1183.50109.03N/AN/A4141073
2015-07-24$11.64$0.0027.0%7.7%12.4%19.1%0.0%7.7%-5.3%-2.4K53.1K-1363.50111.00N/AN/A4141073
2015-07-27$11.65$0.0029.7%8.5%12.4%23.3%0.0%9.2%-6.3%-2.5K52.5K-1253.75112.99N/AN/A4151073
2015-07-28$11.68$0.0028.3%8.1%11.4%21.1%0.0%9.1%-15.9%-2.7K56.6K-1113.75111.23N/AN/A4151073
2015-07-29$11.73$0.0021.9%6.3%11.5%11.3%0.0%9.6%-1.3%-2.8K55.2K-1203.75101.07N/AN/A4151073
2015-07-30$11.66$0.0031.8%9.1%11.8%26.4%0.0%10.4%-17.1%-2.6K58.5K-1013.75111.66N/AN/A4151073
2015-07-31$11.73$0.0029.4%8.4%11.8%22.9%0.0%0.7%-17.2%-2.9K56.5K-1103.7575.99N/AN/A4151073