FSP Options History — September 2015

In September 2015, FSP traded between $10.24 and $10.79. ATM implied volatility averaged 32.6%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.2% (HV 20d: 22.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 5.62.

Notable Days

2015-09-01: Highest Volume — 23 contracts
2015-09-09: Largest IV drop — 28.2% change
2015-09-08: Highest IV Rank — 38.9%
2015-09-30: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.54	$10.24	$10.79	$10.24	$10.79
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	32.6%	26.9%	39.9%	37.4%	39.1%
Expected Move	8.9%	7.0%	11.2%	10.7%	11.2%
HV 20d	22.4%	12.8%	27.3%	24.2%	12.8%
HV 60d	18.2%	18.0%	18.4%	18.1%	18.2%
IV Rank	27.7%	18.9%	38.9%	34.9%	37.5%
IV Percentile	77.4%	58.3%	91.3%	88.5%	90.5%
Term Structure	-2.9%	-9.5%	7.7%	-8.8%	-1.9%
VWIV	36.3%	35.3%	37.4%	35.3%	37.4%
Skew 25d	5.6%	-9.3%	55.7%	-3.4%	-9.0%
Skew 10d	22.7%	-12.3%	112.5%	-6.7%	0.2%
Call IV 25d	36.5%	24.9%	47.2%	43.0%	47.2%
Put IV 25d	42.1%	27.8%	89.7%	39.6%	38.2%
Bid-Ask Spread %	106.61	75.31	112.95	110.73	108.55
Gamma HHI	0.57	0.50	0.67	0.50	0.67
Net GEX	-27	-75	30	9	-74
Net DEX	42.8K	3.4K	67.6K	66.4K	3.7K
Net VEX	-32	-37	-29	-35	-30
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.62	4.75	7.00	4.75	6.50
Total Volume	18	0	23	23	15
Total OI	58.905	20	83	83	20

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
2015-09-01	$10.24	$12.50	37.4%	10.7%	24.2%	34.9%	35.3%	-3.4%	-8.8%	9	66.4K	-35	4.75	110.73	N/A	N/A	4	19	10	73
2015-09-02	$10.37	$12.50	36.0%	10.3%	25.1%	32.8%	37.4%	-9.3%	-9.5%	1	66.8K	-37	4.75	109.57	N/A	N/A	4	19	10	73
2015-09-03	$10.41	$0.00	34.9%	8.5%	25.3%	31.2%	0.0%	40.1%	2.7%	5	66.9K	-36	4.75	109.20	N/A	N/A	4	19	10	73
2015-09-04	$10.26	$0.00	37.3%	8.0%	25.0%	34.9%	0.0%	55.7%	2.3%	8	66.2K	-36	4.75	107.13	N/A	N/A	4	19	10	73
2015-09-08	$10.31	$0.00	39.9%	7.0%	25.3%	38.9%	0.0%	-2.6%	7.5%	-55	67.2K	-35	0.00	111.38	N/A	N/A	0	0	9	73
2015-09-09	$10.28	$0.00	28.7%	8.2%	25.2%	21.7%	0.0%	50.0%	1.2%	30	66.4K	-33	4.75	108.34	N/A	N/A	4	19	10	73
2015-09-10	$10.34	$0.00	31.6%	9.1%	25.4%	26.2%	0.0%	10.3%	-0.3%	21	66.2K	-34	4.75	107.87	N/A	N/A	4	19	10	73
2015-09-11	$10.47	$0.00	30.8%	8.8%	26.1%	25.0%	0.0%	-4.4%	-5.7%	26	67.1K	-32	4.75	108.48	N/A	N/A	4	19	10	73
2015-09-14	$10.45	$0.00	33.9%	9.7%	25.9%	29.7%	0.0%	27.6%	-9.5%	21	66.7K	-32	4.75	75.31	N/A	N/A	4	19	10	73
2015-09-15	$10.47	$0.00	29.4%	8.4%	25.8%	22.8%	0.0%	-2.6%	-6.0%	-31	67.6K	-31	0.00	112.95	N/A	N/A	0	0	9	73
2015-09-16	$10.65	$0.00	29.7%	8.5%	26.9%	23.3%	0.0%	-3.1%	-4.7%	-4	67.5K	-31	4.75	110.25	N/A	N/A	4	19	10	73
2015-09-17	$10.75	$0.00	30.6%	8.8%	27.3%	24.6%	0.0%	-6.6%	-6.0%	-66	67.3K	-34	4.75	110.27	N/A	N/A	4	19	10	73
2015-09-18	$10.69	$0.00	26.9%	7.7%	27.3%	18.9%	0.0%	-4.8%	-8.2%	-47	66.4K	-30	4.75	109.57	N/A	N/A	4	19	10	73
2015-09-21	$10.72	$0.00	28.1%	8.1%	25.9%	20.9%	0.0%	-7.9%	7.7%	-70	3.7K	-33	7.00	108.65	N/A	N/A	2	14	7	13
2015-09-22	$10.61	$0.00	31.0%	8.9%	19.0%	25.3%	0.0%	-7.7%	-1.3%	-60	3.5K	-29	7.00	109.15	N/A	N/A	2	14	7	13
2015-09-23	$10.66	$0.00	30.0%	8.6%	16.1%	23.7%	0.0%	6.5%	-5.8%	-49	4.3K	-31	7.00	93.55	N/A	N/A	2	14	7	13
2015-09-24	$10.66	$0.00	30.6%	8.8%	15.5%	24.7%	0.0%	7.0%	-1.1%	-51	4.0K	-31	7.00	105.00	N/A	N/A	2	14	7	13
2015-09-25	$10.77	$0.00	31.5%	9.0%	15.7%	26.0%	0.0%	-3.6%	-2.5%	-58	4.1K	-30	7.00	109.08	N/A	N/A	2	14	7	13
2015-09-28	$10.70	$0.00	31.9%	9.1%	15.9%	26.6%	0.0%	-8.0%	-4.9%	-55	3.7K	-29	6.50	104.43	N/A	N/A	2	13	7	13
2015-09-29	$10.78	$0.00	34.9%	10.0%	14.8%	31.2%	0.0%	-7.0%	-6.2%	-75	3.4K	-31	6.50	109.36	N/A	N/A	2	13	7	13
2015-09-30	$10.79	$0.00	39.1%	11.2%	12.8%	37.5%	0.0%	-9.0%	-1.9%	-74	3.7K	-30	6.50	108.55	N/A	N/A	2	13	7	13