FSP Options History — November 2015

In November 2015, FSP traded between $10.08 and $10.60. ATM implied volatility averaged 27.9%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.3% (HV 20d: 31.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 3.91.

Notable Days

2015-11-02: Highest Volume — 29 contracts
2015-11-30: Largest IV spike — 59.8% change
2015-11-18: Highest IV Rank — 27.1%
2015-11-18: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.34	$10.08	$10.60	$10.51	$10.47
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	27.9%	20.6%	33.4%	26.6%	32.9%
Expected Move	7.8%	5.6%	9.6%	7.6%	9.4%
HV 20d	31.2%	17.0%	34.2%	33.9%	18.1%
HV 60d	25.2%	23.3%	26.8%	26.0%	23.6%
IV Rank	19.1%	8.7%	27.1%	17.3%	26.3%
IV Percentile	56.9%	16.7%	82.1%	52.8%	79.8%
Term Structure	-0.8%	-14.5%	16.4%	-4.8%	-4.9%
VWIV	27.2%	19.8%	33.6%	25.4%	19.8%
Skew 25d	3.2%	-40.8%	53.2%	-14.9%	-12.5%
Skew 10d	23.1%	-64.5%	106.7%	-21.1%	12.7%
Call IV 25d	38.3%	26.3%	76.8%	42.6%	46.2%
Put IV 25d	41.5%	24.8%	86.5%	27.7%	33.7%
Bid-Ask Spread %	86.40	19.20	113.84	112.89	110.35
Gamma HHI	0.63	0.50	0.82	0.55	0.57
Net GEX	-303	-634	20	-305	-61
Net DEX	7.6K	2.9K	11.0K	8.0K	2.9K
Net VEX	-24	-35	-13	-28	-21
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.91	3.14	8.50	3.14	8.50
Total Volume	19.3	0	29	29	0
Total OI	30.6	21	34	34	21

Daily Data (20 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
2015-11-02	$10.51	$10.00	26.6%	7.6%	33.9%	17.3%	25.4%	-14.9%	-4.8%	-305	8.0K	-28	3.14	112.89	N/A	N/A	7	22	12	22
2015-11-03	$10.49	$10.00	27.5%	7.9%	33.9%	18.6%	25.7%	-16.4%	-7.6%	-315	7.8K	-28	3.14	91.59	N/A	N/A	7	22	12	22
2015-11-04	$10.39	$10.00	29.4%	8.4%	33.0%	21.3%	24.4%	-25.2%	-7.4%	-376	8.6K	-35	3.14	113.54	N/A	N/A	7	22	12	22
2015-11-05	$10.52	$10.00	29.0%	8.2%	33.4%	20.7%	31.8%	36.7%	8.4%	-339	8.4K	-30	3.14	110.86	N/A	N/A	7	22	12	22
2015-11-06	$10.29	$10.00	25.8%	5.6%	34.0%	16.2%	0.0%	-2.6%	12.3%	-386	5.9K	-29	0.00	113.64	N/A	N/A	0	0	12	19
2015-11-09	$10.12	$10.00	30.3%	7.1%	33.4%	22.6%	0.0%	2.2%	-0.5%	-399	8.1K	-27	0.00	113.84	N/A	N/A	0	0	12	19
2015-11-10	$10.28	$10.00	26.7%	6.5%	34.2%	17.5%	24.4%	49.1%	16.4%	-438	9.2K	-32	3.14	101.31	N/A	N/A	7	22	12	22
2015-11-11	$10.28	$10.00	32.7%	9.4%	34.2%	26.1%	32.9%	4.0%	6.5%	-417	9.4K	-30	3.14	109.43	N/A	N/A	7	22	12	22
2015-11-12	$10.19	$10.00	25.7%	7.4%	33.4%	16.1%	25.7%	37.0%	-5.5%	-503	10.4K	-25	3.14	91.45	N/A	N/A	7	22	12	22
2015-11-13	$10.08	$10.00	26.7%	7.7%	32.8%	17.5%	26.7%	4.0%	6.6%	-498	10.5K	-32	3.14	84.71	N/A	N/A	7	22	12	22
2015-11-16	$10.12	$10.00	28.0%	8.0%	32.7%	19.3%	0.0%	2.8%	11.2%	-634	7.0K	-27	0.00	107.83	N/A	N/A	0	0	12	19
2015-11-17	$10.14	$10.00	32.1%	9.2%	32.8%	25.2%	32.1%	-2.1%	-14.5%	-469	11.0K	-20	3.14	92.99	N/A	N/A	7	22	12	22
2015-11-18	$10.23	$10.00	33.4%	9.6%	33.1%	27.1%	33.6%	53.2%	-12.8%	-482	10.5K	-21	3.14	32.76	N/A	N/A	7	22	12	22
2015-11-19	$10.34	$10.00	22.4%	6.4%	33.5%	11.3%	22.1%	16.6%	7.6%	-330	7.8K	-21	3.14	28.39	N/A	N/A	7	22	12	22
2015-11-20	$10.49	$10.00	28.4%	8.1%	34.2%	19.9%	28.1%	-10.7%	-12.6%	10	6.9K	-16	3.14	110.11	N/A	N/A	7	22	12	22
2015-11-23	$10.41	$10.00	28.3%	8.1%	34.2%	19.8%	0.0%	-2.8%	-4.2%	-28	4.2K	-18	0.00	36.60	N/A	N/A	0	0	7	14
2015-11-24	$10.41	$10.00	22.6%	6.5%	34.2%	11.6%	0.0%	-3.1%	-2.9%	-22	3.5K	-17	0.00	35.25	N/A	N/A	0	0	7	14
2015-11-25	$10.41	$10.00	28.2%	8.1%	17.0%	19.7%	28.4%	-11.0%	-2.5%	20	7.5K	-13	8.50	111.19	N/A	N/A	2	17	7	17
2015-11-27	$10.60	$10.00	20.6%	5.9%	18.1%	8.7%	19.8%	-40.8%	-3.8%	-81	4.8K	-17	8.50	19.20	N/A	N/A	2	17	7	17
2015-11-30	$10.47	$10.00	32.9%	9.4%	18.1%	26.3%	0.0%	-12.5%	-4.9%	-61	2.9K	-21	0.00	110.35	N/A	N/A	0	0	7	14