FSP Options History — February 2016

In February 2016, FSP traded between $8.82 and $9.61. ATM implied volatility averaged 32.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.2% (HV 20d: 29.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.75.

Notable Days

2016-02-25: Highest Volume — 153 contracts
2016-02-10: Largest IV drop — 53.2% change
2016-02-09: Highest IV Rank — 53.7%
2016-02-03: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.23	$8.82	$9.61	$9.61	$9.47
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	32.8%	21.7%	54.0%	36.1%	32.5%
Expected Move	8.5%	6.2%	11.5%	10.4%	9.3%
HV 20d	29.6%	24.0%	33.4%	33.3%	25.8%
HV 60d	26.6%	25.1%	27.8%	25.8%	27.7%
IV Rank	22.2%	4.5%	53.7%	29.6%	20.9%
IV Percentile	63.0%	8.3%	96.8%	85.7%	72.2%
Term Structure	-4.9%	-18.3%	11.3%	-16.8%	-18.3%
VWIV	62.2%	47.3%	88.6%	48.5%	64.3%
Skew 25d	10.5%	-4.4%	22.1%	-4.4%	19.7%
Skew 10d	6.9%	-23.6%	22.7%	-11.4%	22.7%
Call IV 25d	31.3%	16.8%	50.0%	48.0%	37.4%
Put IV 25d	41.8%	24.6%	61.1%	43.6%	57.1%
Bid-Ask Spread %	72.53	18.93	112.42	106.52	58.55
Gamma HHI	0.71	0.50	1.00	1.00	0.98
Net GEX	313	-32	3.4K	-17	2.9K
Net DEX	6.4K	-36.1K	11.2K	7.6K	-24.9K
Net VEX	-37	-352	-1	-1	-309
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.75	0.09	12.00	12.00	0.09
Total Volume	36.1	12	153	12	153
Total OI	26.15	8	147	8	147

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
2016-02-01	$9.61	$0.00	36.1%	10.4%	33.3%	29.6%	0.0%	-4.4%	-16.8%	-17	7.6K	-1	0.00	106.52	N/A	N/A	0	12	0	8
2016-02-02	$9.48	$0.00	35.1%	10.1%	33.4%	28.2%	0.0%	18.5%	-9.0%	-28	11.2K	-3	0.00	112.42	N/A	N/A	0	12	0	12
2016-02-03	$9.42	$0.00	40.2%	11.5%	32.1%	35.6%	48.5%	11.1%	-13.1%	-29	11.1K	-3	12.00	108.67	N/A	N/A	1	12	0	12
2016-02-04	$9.33	$12.50	30.5%	8.3%	32.2%	21.5%	59.1%	-3.7%	-9.9%	-28	11.0K	-3	12.00	96.68	N/A	N/A	1	12	0	12
2016-02-05	$9.21	$12.50	37.3%	6.2%	30.9%	31.4%	47.3%	-3.5%	-2.5%	-32	10.8K	-4	12.00	73.26	N/A	N/A	1	12	0	12
2016-02-08	$9.21	$12.50	46.8%	7.4%	30.5%	42.8%	59.7%	10.3%	5.6%	36	10.3K	-8	3.00	18.93	N/A	N/A	4	12	3	12
2016-02-09	$8.84	$12.50	54.0%	8.7%	30.8%	53.7%	50.0%	1.6%	-6.0%	23	9.6K	-10	2.40	97.03	N/A	N/A	5	12	3	12
2016-02-10	$8.94	$12.50	25.3%	7.2%	30.9%	10.1%	55.6%	14.1%	-1.2%	3	10.3K	-4	2.40	97.25	N/A	N/A	5	12	1	12
2016-02-11	$8.82	$12.50	33.5%	9.6%	30.9%	22.7%	68.3%	5.5%	-10.4%	10	10.4K	-2	2.40	103.31	N/A	N/A	5	12	1	12
2016-02-12	$8.82	$12.50	27.2%	7.8%	29.8%	13.0%	63.7%	16.5%	-4.6%	13	10.4K	-2	2.40	73.78	N/A	N/A	5	12	1	12
2016-02-16	$8.99	$12.50	35.0%	10.0%	31.1%	24.9%	69.0%	10.7%	-10.4%	-20	10.0K	-8	2.40	105.00	N/A	N/A	5	12	1	12
2016-02-17	$9.22	$12.50	29.7%	8.5%	32.9%	16.8%	62.6%	11.1%	-10.1%	9	10.8K	-3	2.40	99.37	N/A	N/A	5	12	1	12
2016-02-18	$9.12	$12.50	34.7%	9.9%	28.6%	24.4%	58.9%	11.5%	-9.5%	-3	10.7K	-3	2.40	104.72	N/A	N/A	5	12	1	12
2016-02-19	$9.21	$12.50	24.8%	7.1%	28.5%	9.4%	64.3%	11.0%	4.5%	3	10.7K	-4	2.40	21.32	N/A	N/A	5	12	1	12
2016-02-22	$9.27	$12.50	24.1%	6.9%	27.4%	8.1%	64.5%	12.2%	10.3%	6	10.8K	-4	3.00	20.66	N/A	N/A	4	12	1	12
2016-02-23	$9.27	$12.50	32.2%	9.2%	26.8%	20.4%	65.6%	17.9%	-5.9%	1	10.8K	-4	3.00	54.38	N/A	N/A	4	12	1	12
2016-02-24	$9.28	$12.50	26.7%	7.6%	24.0%	12.0%	67.8%	22.1%	8.3%	6	10.8K	-4	3.00	39.78	N/A	N/A	4	12	1	12
2016-02-25	$9.59	$12.50	21.7%	6.2%	25.6%	4.5%	0.0%	20.4%	11.3%	-7	10.9K	-6	0.09	19.29	N/A	N/A	141	12	1	12
2016-02-26	$9.49	$12.50	28.5%	8.2%	25.9%	14.8%	88.6%	7.1%	-10.0%	3.4K	-36.1K	-352	0.09	39.75	N/A	N/A	141	12	135	12
2016-02-29	$9.47	$12.50	32.5%	9.3%	25.8%	20.9%	64.3%	19.7%	-18.3%	2.9K	-24.9K	-309	0.09	58.55	N/A	N/A	141	12	135	12