FSP Options History — December 2015

In December 2015, FSP traded between $9.54 and $10.58. ATM implied volatility averaged 27.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.0% (HV 20d: 23.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 6.54.

Notable Days

2015-12-02: Highest Volume — 19 contracts
2015-12-29: Largest IV spike — 62.9% change
2015-12-01: Highest IV Rank — 28.2%
2015-12-01: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.11	$9.54	$10.58	$10.58	$10.39
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	27.1%	18.8%	34.2%	34.2%	27.2%
Expected Move	7.3%	5.4%	9.8%	9.8%	7.8%
HV 20d	23.1%	18.3%	25.9%	18.3%	20.1%
HV 60d	25.5%	23.5%	26.4%	23.5%	26.0%
IV Rank	18.0%	6.2%	28.2%	28.2%	16.6%
IV Percentile	48.6%	6.0%	84.1%	84.1%	49.2%
Term Structure	-2.8%	-13.5%	11.7%	-6.7%	-9.0%
VWIV	32.8%	32.8%	32.8%	32.8%	32.8%
Skew 25d	5.0%	-44.3%	61.7%	5.1%	-40.1%
Skew 10d	13.0%	-65.8%	106.2%	14.1%	-57.9%
Call IV 25d	35.1%	23.8%	73.1%	32.8%	73.1%
Put IV 25d	40.1%	23.5%	94.0%	37.9%	33.0%
Bid-Ask Spread %	54.41	26.87	114.88	36.61	41.65
Gamma HHI	0.82	0.50	1.00	0.52	1.00
Net GEX	-21	-80	67	-24	-40
Net DEX	8.9K	3.2K	12.7K	3.2K	8.0K
Net VEX	-8	-22	-2	-13	-3
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.54	1.71	8.50	8.50	1.71
Total Volume	12.364	0	19	0	8
Total OI	18.045	8	25	21	8

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
2015-12-01	$10.58	$10.00	34.2%	9.8%	18.3%	28.2%	0.0%	5.1%	-6.7%	-24	3.2K	-13	0.00	36.61	N/A	N/A	0	0	7	14
2015-12-02	$10.18	$10.00	33.8%	9.7%	22.9%	27.7%	32.8%	2.3%	-10.7%	-37	8.0K	-22	8.50	42.43	N/A	N/A	2	17	7	17
2015-12-03	$10.03	$0.00	33.4%	6.3%	23.2%	27.1%	0.0%	1.3%	-1.4%	-5	9.8K	-15	8.50	38.00	N/A	N/A	2	17	7	17
2015-12-04	$10.01	$0.00	33.0%	7.7%	22.6%	26.4%	0.0%	3.9%	-7.1%	11	9.5K	-14	8.50	42.41	N/A	N/A	2	17	7	17
2015-12-07	$9.89	$0.00	33.3%	5.4%	21.7%	27.0%	0.0%	8.5%	10.0%	22	7.4K	-12	0.00	114.88	N/A	N/A	0	0	7	14
2015-12-08	$9.85	$0.00	24.6%	5.7%	21.1%	14.4%	0.0%	4.4%	-0.0%	67	11.3K	-10	8.50	26.87	N/A	N/A	2	17	7	17
2015-12-09	$9.80	$0.00	21.0%	6.0%	20.1%	9.4%	0.0%	4.3%	-0.3%	46	10.2K	-9	8.50	31.02	N/A	N/A	2	17	7	17
2015-12-10	$9.80	$0.00	26.1%	7.5%	20.1%	16.6%	0.0%	0.2%	-8.7%	43	11.8K	-9	8.50	85.06	N/A	N/A	2	17	7	17
2015-12-11	$9.66	$0.00	20.7%	5.9%	20.4%	8.9%	0.0%	3.0%	-1.1%	32	12.6K	-8	6.00	39.64	N/A	N/A	2	12	7	17
2015-12-14	$9.54	$0.00	22.1%	6.3%	20.5%	10.9%	0.0%	7.3%	6.6%	-28	12.7K	-7	6.00	107.65	N/A	N/A	2	12	7	18
2015-12-15	$9.87	$0.00	30.8%	8.8%	24.3%	23.4%	0.0%	13.8%	-4.0%	-21	12.1K	-7	6.00	112.95	N/A	N/A	2	12	7	18
2015-12-16	$10.11	$0.00	26.1%	7.5%	25.9%	16.6%	0.0%	61.7%	-1.7%	-47	9.5K	-9	6.00	82.81	N/A	N/A	2	12	7	18
2015-12-17	$10.09	$0.00	26.2%	7.5%	25.6%	16.7%	0.0%	60.7%	-11.8%	-23	9.5K	-5	1.71	61.19	N/A	N/A	7	12	7	18
2015-12-18	$10.23	$0.00	22.6%	6.5%	25.8%	11.6%	0.0%	39.1%	-1.2%	-51	5.9K	-4	1.71	38.97	N/A	N/A	7	12	5	18
2015-12-21	$10.24	$0.00	22.8%	6.5%	25.3%	12.0%	0.0%	11.0%	11.7%	-32	8.0K	-2	0.00	44.84	N/A	N/A	0	8	0	8
2015-12-22	$10.28	$0.00	27.2%	7.8%	25.2%	18.2%	0.0%	0.2%	-3.1%	-62	7.7K	-6	0.00	54.23	N/A	N/A	0	8	0	8
2015-12-23	$10.22	$0.00	29.4%	8.4%	25.3%	21.3%	0.0%	-0.4%	-13.5%	-47	7.8K	-5	0.00	43.99	N/A	N/A	0	8	0	8
2015-12-24	$10.30	$0.00	24.4%	7.0%	25.4%	14.1%	0.0%	-1.7%	-2.9%	-53	7.9K	-4	0.00	41.66	N/A	N/A	0	8	0	8
2015-12-28	$10.38	$0.00	18.8%	5.4%	24.7%	6.2%	0.0%	-44.3%	-1.9%	-59	8.0K	-4	0.00	27.49	N/A	N/A	0	8	0	8
2015-12-29	$10.49	$0.00	30.6%	8.8%	24.6%	23.0%	0.0%	4.3%	-5.3%	-63	8.1K	-4	0.00	41.72	N/A	N/A	0	8	0	8
2015-12-30	$10.40	$0.00	27.8%	8.0%	24.5%	19.1%	0.0%	-33.5%	1.3%	-80	7.8K	-6	0.00	40.90	N/A	N/A	0	8	0	8
2015-12-31	$10.39	$0.00	27.2%	7.8%	20.1%	16.6%	0.0%	-40.1%	-9.0%	-40	8.0K	-3	0.00	41.65	N/A	N/A	0	8	0	8