FSP Options History — August 2015

In August 2015, FSP traded between $10.37 and $11.84. ATM implied volatility averaged 29.3%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 13.5% (HV 20d: 15.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.25.

Notable Days

2015-08-18: Highest Volume — 23 contracts
2015-08-21: Largest IV spike — 81.9% change
2015-08-11: Highest IV Rank — 45.8%
2015-08-21: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.25	$10.37	$11.84	$11.84	$10.43
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	29.3%	18.9%	44.5%	25.9%	33.2%
Expected Move	7.3%	5.0%	10.3%	7.4%	9.5%
HV 20d	15.8%	10.4%	24.6%	11.8%	24.0%
HV 60d	13.8%	11.9%	17.8%	12.2%	17.8%
IV Rank	22.6%	6.7%	45.8%	17.5%	28.5%
IV Percentile	62.8%	15.1%	94.8%	59.9%	82.9%
Term Structure	-4.6%	-20.6%	2.2%	-5.1%	-5.2%
VWIV	27.2%	19.2%	39.5%	20.4%	36.7%
Skew 25d	5.9%	-10.6%	27.3%	27.3%	-10.6%
Skew 10d	10.6%	1.7%	21.1%	11.6%	21.1%
Call IV 25d	26.0%	17.7%	40.9%	19.9%	40.9%
Put IV 25d	31.9%	21.0%	47.2%	47.2%	30.2%
Bid-Ask Spread %	92.11	16.43	110.18	109.88	109.16
Gamma HHI	0.85	0.50	0.99	0.99	0.51
Net GEX	-1.5K	-3.2K	-10	-3.2K	-17
Net DEX	62.4K	53.5K	67.2K	53.5K	66.3K
Net VEX	-68	-121	-36	-121	-36
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.25	3.75	4.75	3.75	4.75
Total Volume	18	0	23	0	23
Total OI	82.857	82	83	82	83

Daily Data (21 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
2015-08-03	$11.84	$0.00	25.9%	7.4%	11.8%	17.5%	0.0%	27.3%	-5.1%	-3.2K	53.5K	-121	0.00	109.88	N/A	N/A	0	0	9	73
2015-08-04	$11.67	$0.00	30.7%	8.8%	12.5%	24.8%	0.0%	8.7%	-20.6%	-2.7K	56.1K	-93	3.75	84.05	N/A	N/A	4	15	10	73
2015-08-05	$11.55	$0.00	31.9%	9.2%	13.0%	26.6%	0.0%	9.4%	-16.9%	-2.2K	59.4K	-82	3.75	90.32	N/A	N/A	4	15	10	73
2015-08-06	$11.55	$12.50	36.0%	5.3%	13.0%	32.8%	20.4%	12.3%	-1.1%	-2.2K	60.3K	-91	3.75	103.84	N/A	N/A	4	15	10	73
2015-08-07	$11.63	$12.50	33.5%	5.0%	13.1%	29.0%	19.2%	13.0%	0.0%	-2.5K	59.5K	-89	3.75	108.32	N/A	N/A	4	15	10	73
2015-08-10	$11.57	$12.50	40.5%	5.9%	13.2%	39.8%	23.5%	13.5%	-0.6%	-2.4K	58.8K	-94	3.75	105.26	N/A	N/A	4	15	10	73
2015-08-11	$11.58	$12.50	44.5%	6.0%	13.2%	45.8%	0.0%	14.0%	-2.7%	-2.4K	59.5K	-90	0.00	98.25	N/A	N/A	0	0	9	73
2015-08-12	$11.43	$12.50	18.9%	5.4%	13.6%	6.7%	19.9%	6.7%	1.5%	-1.7K	63.7K	-75	3.75	108.44	N/A	N/A	4	15	10	73
2015-08-13	$11.45	$12.50	19.1%	5.5%	12.2%	7.1%	23.1%	3.3%	-0.2%	-1.5K	64.0K	-62	3.75	16.43	N/A	N/A	4	15	10	73
2015-08-14	$11.49	$12.50	21.6%	6.2%	12.4%	10.9%	27.2%	4.6%	1.0%	-1.9K	62.6K	-69	3.75	54.95	N/A	N/A	4	15	10	73
2015-08-17	$11.55	$12.50	22.5%	6.5%	12.5%	12.3%	25.0%	13.4%	-3.1%	-2.3K	59.7K	-78	3.75	109.05	N/A	N/A	4	15	10	73
2015-08-18	$11.57	$12.50	20.5%	5.9%	12.5%	9.3%	25.2%	6.0%	-3.8%	-2.1K	62.6K	-61	4.75	70.24	N/A	N/A	4	19	10	73
2015-08-19	$11.54	$12.50	21.7%	6.2%	11.9%	11.1%	0.0%	5.8%	-2.9%	-2.1K	63.4K	-65	0.00	28.51	N/A	N/A	0	0	9	73
2015-08-20	$11.52	$12.50	19.7%	5.7%	10.4%	8.1%	24.0%	4.0%	2.2%	-1.8K	63.9K	-65	4.75	85.70	N/A	N/A	4	19	10	73
2015-08-21	$11.21	$12.50	35.9%	10.3%	14.0%	32.7%	26.4%	5.0%	-12.6%	-1.1K	65.0K	-58	4.75	103.12	N/A	N/A	4	19	10	73
2015-08-24	$10.66	$12.50	33.8%	9.7%	22.1%	29.4%	36.7%	-2.0%	-7.9%	-118	66.5K	-38	4.75	109.47	N/A	N/A	4	19	10	73
2015-08-25	$10.37	$12.50	33.9%	9.7%	23.4%	29.6%	39.5%	-2.9%	-6.1%	-179	65.6K	-42	4.75	109.13	N/A	N/A	4	19	10	73
2015-08-26	$10.51	$12.50	30.0%	8.6%	24.1%	23.8%	27.4%	-0.5%	-2.4%	-10	67.2K	-37	4.75	109.79	N/A	N/A	4	19	10	73
2015-08-27	$10.59	$12.50	31.3%	9.0%	24.6%	25.7%	33.3%	-4.6%	-9.0%	-36	66.7K	-37	4.75	110.18	N/A	N/A	4	19	10	73
2015-08-28	$10.60	$12.50	29.2%	8.4%	24.3%	22.5%	27.9%	-2.9%	-1.5%	-33	66.8K	-38	4.75	110.16	N/A	N/A	4	19	10	73
2015-08-31	$10.43	$12.50	33.2%	9.5%	24.0%	28.5%	36.7%	-10.6%	-5.2%	-17	66.3K	-36	4.75	109.16	N/A	N/A	4	19	10	73