FSP Options History — October 2015

In October 2015, FSP traded between $10.43 and $11.70. ATM implied volatility averaged 38.3%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 20.7% (HV 20d: 17.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.84.

Notable Days

2015-10-08: Highest Volume — 35 contracts
2015-10-14: Largest IV drop — 67.5% change
2015-10-13: Highest IV Rank — 100.0%
2015-10-02: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.23	$10.43	$11.70	$10.69	$10.43
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	38.3%	19.0%	84.5%	36.5%	26.7%
Expected Move	8.1%	5.5%	11.2%	10.5%	7.6%
HV 20d	17.6%	12.9%	34.9%	12.9%	34.5%
HV 60d	20.2%	18.3%	26.0%	18.3%	26.0%
IV Rank	35.3%	6.5%	100.0%	33.7%	17.4%
IV Percentile	75.4%	14.3%	100.0%	87.3%	53.6%
Term Structure	-5.5%	-13.7%	10.7%	-8.2%	-7.4%
VWIV	27.0%	22.1%	37.5%	37.5%	22.1%
Skew 25d	-0.1%	-18.9%	13.1%	-9.4%	-18.9%
Skew 10d	7.9%	-13.6%	27.2%	-13.6%	7.1%
Call IV 25d	30.8%	18.7%	48.3%	48.3%	41.6%
Put IV 25d	30.8%	22.7%	44.7%	38.9%	22.7%
Bid-Ask Spread %	102.67	46.12	112.80	109.76	112.47
Gamma HHI	0.73	0.51	0.91	0.63	0.51
Net GEX	-207	-389	-35	-62	-389
Net DEX	802	-9.0K	7.9K	3.7K	7.5K
Net VEX	-32	-41	-21	-30	-37
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.84	0.59	6.50	6.50	3.14
Total Volume	22.864	0	35	15	29
Total OI	26.591	17	34	20	34

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
2015-10-01	$10.69	$0.00	36.5%	10.5%	12.9%	33.7%	0.0%	-9.4%	-8.2%	-62	3.7K	-30	6.50	109.76	N/A	N/A	2	13	7	13
2015-10-02	$10.86	$0.00	38.9%	11.2%	13.8%	37.3%	0.0%	11.6%	-10.4%	-41	4.0K	-26	6.50	51.40	N/A	N/A	2	13	7	13
2015-10-05	$11.06	$0.00	43.5%	7.2%	13.5%	44.3%	0.0%	-2.9%	-3.7%	-35	-914	-24	0.00	98.26	N/A	N/A	0	0	7	10
2015-10-06	$11.07	$0.00	48.1%	7.5%	13.5%	51.3%	0.0%	-3.2%	-6.0%	-105	2.4K	-30	6.50	104.47	N/A	N/A	2	13	7	13
2015-10-07	$11.28	$0.00	54.3%	8.4%	14.3%	60.8%	0.0%	1.6%	-12.0%	-76	1.9K	-23	6.50	111.09	N/A	N/A	2	13	7	13
2015-10-08	$11.33	$0.00	45.0%	7.3%	14.3%	46.6%	0.0%	-0.5%	-8.6%	-130	1.2K	-23	0.59	103.50	N/A	N/A	22	13	7	13
2015-10-09	$11.27	$0.00	58.8%	6.1%	14.4%	67.6%	0.0%	11.3%	10.7%	-153	-5.2K	-41	0.59	106.09	N/A	N/A	22	13	16	17
2015-10-12	$11.45	$0.00	67.4%	7.7%	14.8%	80.7%	0.0%	1.1%	-5.8%	-95	-4.4K	-32	0.59	110.59	N/A	N/A	22	13	16	17
2015-10-13	$11.44	$0.00	84.5%	8.0%	14.9%	100.0%	0.0%	1.1%	-1.6%	-113	-4.0K	-21	0.59	111.09	N/A	N/A	22	13	16	17
2015-10-14	$11.32	$0.00	27.5%	7.9%	15.0%	18.6%	0.0%	-4.1%	-13.7%	-99	-8.4K	-40	0.59	110.97	N/A	N/A	22	13	16	17
2015-10-15	$11.50	$0.00	29.2%	8.4%	15.6%	21.1%	0.0%	-0.5%	-5.8%	-247	-9.0K	-41	0.59	103.84	N/A	N/A	22	13	16	17
2015-10-16	$11.63	$0.00	27.6%	7.9%	15.4%	18.8%	0.0%	1.2%	-4.2%	-311	-8.6K	-40	0.59	110.35	N/A	N/A	22	13	16	17
2015-10-19	$11.70	$0.00	27.4%	7.9%	15.4%	18.5%	0.0%	2.1%	-4.7%	-369	3.5K	-37	6.50	111.55	N/A	N/A	2	13	7	17
2015-10-20	$11.65	$0.00	19.0%	5.5%	14.8%	6.5%	0.0%	13.1%	7.2%	-343	3.6K	-32	6.50	105.02	N/A	N/A	2	13	7	17
2015-10-21	$11.48	$0.00	26.0%	7.4%	16.3%	16.5%	0.0%	5.4%	-5.6%	-306	3.7K	-32	6.50	112.80	N/A	N/A	2	13	7	17
2015-10-22	$11.53	$0.00	30.0%	8.6%	16.3%	22.2%	0.0%	4.3%	-5.5%	-273	3.7K	-31	6.50	112.80	N/A	N/A	2	13	7	17
2015-10-23	$11.48	$0.00	31.3%	9.0%	16.3%	24.0%	0.0%	3.6%	-6.0%	-249	1.8K	-38	6.50	111.23	N/A	N/A	2	13	7	17
2015-10-26	$11.46	$0.00	32.9%	9.4%	16.0%	26.4%	0.0%	3.1%	-8.7%	-252	3.6K	-34	6.50	112.13	N/A	N/A	2	13	7	17
2015-10-27	$11.41	$0.00	33.2%	9.5%	16.2%	26.8%	37.5%	1.2%	-7.8%	-244	2.0K	-38	2.57	111.87	N/A	N/A	7	18	7	17
2015-10-28	$10.49	$10.00	27.6%	7.9%	34.9%	18.8%	24.8%	-16.0%	-6.6%	-323	7.9K	-33	2.57	91.36	N/A	N/A	7	18	12	22
2015-10-29	$10.56	$10.00	27.6%	7.9%	34.8%	18.7%	23.8%	-7.4%	-7.1%	-330	7.7K	-29	3.14	46.12	N/A	N/A	7	22	12	22
2015-10-30	$10.43	$10.00	26.7%	7.6%	34.5%	17.4%	22.1%	-18.9%	-7.4%	-389	7.5K	-37	3.14	112.47	N/A	N/A	7	22	12	22