FSP Options History — March 2016

In March 2016, FSP traded between $9.54 and $10.70. ATM implied volatility averaged 28.1%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.5% (HV 20d: 22.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.28.

Notable Days

2016-03-01: Highest Volume — 153 contracts
2016-03-09: Largest IV drop — 51.0% change
2016-03-08: Highest IV Rank — 34.4%
2016-03-29: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.05	$9.54	$10.70	$9.54	$10.64
Max Pain	$10.36	$10.00	$12.50	$12.50	$10.00
ATM IV	28.1%	18.9%	41.4%	35.5%	25.3%
Expected Move	7.5%	4.8%	11.5%	10.2%	7.2%
HV 20d	22.6%	19.4%	25.9%	25.7%	25.5%
HV 60d	26.9%	26.0%	28.6%	26.7%	28.5%
IV Rank	14.3%	0.3%	34.4%	25.5%	9.9%
IV Percentile	42.2%	1.2%	90.5%	82.5%	23.0%
Term Structure	-4.8%	-13.5%	4.9%	-11.9%	-13.0%
VWIV	32.3%	18.5%	73.3%	70.7%	19.5%
Skew 25d	18.6%	-32.5%	74.1%	12.8%	-28.6%
Skew 10d	31.8%	-51.8%	112.5%	12.6%	-51.8%
Call IV 25d	35.8%	22.2%	64.5%	38.2%	64.5%
Put IV 25d	54.4%	26.8%	105.3%	51.1%	35.8%
Bid-Ask Spread %	57.80	24.24	111.56	59.11	28.17
Gamma HHI	0.98	0.96	0.99	0.99	0.97
Net GEX	3.6K	2.6K	4.8K	3.2K	3.2K
Net DEX	-51.3K	-80.5K	-24.2K	-30.8K	-80.5K
Net VEX	-439	-503	-344	-344	-499
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.09	1.61	0.09	1.61
Total Volume	58.636	22	153	153	81
Total OI	183	147	215	147	215

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
2016-03-01	$9.54	$12.50	35.5%	10.2%	25.7%	25.5%	70.7%	12.8%	-11.9%	3.2K	-30.8K	-344	0.09	59.11	N/A	N/A	141	12	135	12
2016-03-02	$9.68	$12.50	32.5%	9.3%	25.7%	20.9%	73.3%	6.6%	-12.2%	3.3K	-35.8K	-359	1.20	44.09	N/A	N/A	10	12	135	12
2016-03-03	$9.80	$0.00	35.5%	7.6%	25.9%	25.5%	0.0%	-1.7%	-5.2%	4.5K	-44.5K	-400	1.20	73.89	N/A	N/A	10	12	144	12
2016-03-04	$9.81	$0.00	21.4%	6.4%	25.5%	4.0%	0.0%	59.8%	-1.2%	3.7K	-39.7K	-388	1.20	27.86	N/A	N/A	10	12	144	12
2016-03-07	$9.96	$0.00	31.6%	4.8%	25.2%	19.5%	0.0%	55.8%	1.5%	3.7K	-46.5K	-400	1.20	52.03	N/A	N/A	10	12	144	12
2016-03-08	$9.95	$0.00	41.4%	6.4%	25.2%	34.4%	0.0%	3.8%	4.9%	4.7K	-57.9K	-410	1.09	111.56	N/A	N/A	23	25	144	12
2016-03-09	$9.88	$0.00	20.3%	5.8%	19.4%	2.3%	0.0%	-8.2%	1.4%	3.6K	-46.3K	-447	1.09	44.24	N/A	N/A	23	25	157	25
2016-03-10	$9.69	$0.00	23.6%	6.8%	21.2%	7.4%	0.0%	3.3%	-3.6%	3.8K	-36.3K	-413	1.09	48.02	N/A	N/A	23	25	157	25
2016-03-11	$9.94	$0.00	23.1%	6.6%	21.4%	6.6%	0.0%	74.1%	-3.0%	3.8K	-44.3K	-450	1.09	111.52	N/A	N/A	23	25	157	25
2016-03-14	$9.90	$0.00	21.7%	6.2%	21.6%	4.5%	21.9%	62.6%	-3.6%	4.3K	-42.0K	-438	1.48	57.79	N/A	N/A	23	34	157	25
2016-03-15	$9.89	$10.00	25.0%	7.2%	21.2%	9.5%	25.0%	63.3%	-5.2%	3.6K	-24.2K	-401	1.48	61.58	N/A	N/A	23	34	157	34
2016-03-16	$9.96	$10.00	28.3%	8.1%	19.8%	14.6%	27.0%	-5.3%	-6.5%	3.0K	-50.9K	-463	1.48	72.42	N/A	N/A	23	34	157	34
2016-03-17	$10.21	$10.00	18.9%	5.4%	20.3%	0.3%	18.7%	14.7%	-2.8%	3.0K	-52.5K	-463	1.48	40.87	N/A	N/A	23	34	157	34
2016-03-18	$10.19	$10.00	26.7%	7.6%	20.4%	12.0%	26.5%	1.2%	-9.7%	4.8K	-59.8K	-469	1.48	60.66	N/A	N/A	23	34	157	34
2016-03-21	$10.24	$10.00	26.6%	7.6%	20.4%	11.8%	25.3%	-6.6%	1.0%	3.4K	-62.6K	-465	1.30	63.80	N/A	N/A	23	30	157	30
2016-03-22	$10.27	$10.00	27.1%	7.8%	20.3%	12.6%	25.8%	29.4%	-4.8%	3.9K	-65.8K	-467	1.30	71.13	N/A	N/A	23	30	157	30
2016-03-23	$10.05	$10.00	28.3%	8.1%	22.4%	14.4%	28.5%	-2.3%	-2.4%	3.4K	-61.5K	-454	0.97	69.49	N/A	N/A	31	30	157	30
2016-03-24	$10.05	$10.00	26.9%	7.7%	19.7%	12.4%	30.5%	48.6%	-0.8%	3.2K	-44.2K	-431	1.61	40.39	N/A	N/A	31	50	165	30
2016-03-28	$10.18	$10.00	34.4%	9.9%	19.4%	23.8%	35.3%	55.1%	-3.6%	2.6K	-47.6K	-502	1.61	69.29	N/A	N/A	31	50	165	50
2016-03-29	$10.70	$10.00	40.2%	11.5%	25.3%	32.5%	37.9%	2.4%	-13.5%	3.1K	-77.3K	-499	1.61	39.37	N/A	N/A	31	50	165	50
2016-03-30	$10.62	$10.00	24.7%	7.1%	25.7%	9.1%	18.5%	-32.5%	-11.3%	3.3K	-77.1K	-503	1.61	24.24	N/A	N/A	31	50	165	50
2016-03-31	$10.64	$10.00	25.3%	7.2%	25.5%	9.9%	19.5%	-28.6%	-13.0%	3.2K	-80.5K	-499	1.61	28.17	N/A	N/A	31	50	165	50