FSP Options History — April 2016 In April 2016, FSP traded between $10.42 and $11.14. ATM implied volatility averaged 32.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.5% (HV 20d: 24.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.81.
Notable Days 2016-04-11 : Highest Volume — 85 contracts2016-04-15 : Largest IV spike — 59.5% change2016-04-12 : Highest IV Rank — 70.7%2016-04-19 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $10.76 $10.42 $11.14 $10.62 $10.61 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 32.7% 16.9% 65.2% 33.8% 30.5% Expected Move 7.8% 4.9% 9.9% 9.7% 8.7% HV 20d 24.3% 19.6% 26.8% 25.4% 22.1% HV 60d 25.5% 23.5% 28.3% 28.2% 24.2% IV Rank 22.4% 0.0% 70.7% 22.9% 20.1% IV Percentile 55.8% 0.0% 98.0% 76.2% 55.6% Term Structure -5.7% -13.5% -1.5% -10.3% -2.3% VWIV 34.5% 34.5% 34.5% 34.5% 34.5% Skew 25d -1.1% -23.7% 23.7% -7.6% -4.3% Skew 10d 8.2% -41.4% 70.8% -13.1% 0.5% Call IV 25d 31.5% 21.7% 55.4% 44.8% 38.8% Put IV 25d 30.4% 17.5% 47.8% 37.2% 34.6% Bid-Ask Spread % 55.61 11.57 112.65 66.78 60.76 Gamma HHI 0.95 0.90 0.97 0.96 0.96 Net GEX 2.8K 2.1K 3.5K 3.2K 2.5K Net DEX -87.3K -109.8K -70.8K -79.2K -79.5K Net VEX -453 -498 -367 -498 -434 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 1.61 1.96 1.61 1.96 Total Volume 75.762 68 85 81 68 Total OI 214.81 206 232 215 206
Daily Data (21 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 2016-04-01 $10.62 $10.00 33.8% 9.7% 25.4% 22.9% 34.5% -7.6% -10.3% 3.2K -79.2K -498 1.61 66.78 N/A N/A 31 50 165 50 2016-04-04 $10.69 $0.00 34.8% 7.9% 25.4% 24.4% 0.0% 23.7% -1.5% 3.5K -75.4K -483 1.61 43.58 N/A N/A 31 50 165 50 2016-04-05 $10.65 $0.00 39.5% 7.5% 25.3% 31.6% 0.0% 19.3% -4.2% 3.2K -83.8K -489 1.61 55.30 N/A N/A 31 50 165 50 2016-04-06 $10.66 $0.00 41.3% 8.8% 25.2% 34.3% 0.0% 1.8% -2.4% 2.9K -84.0K -485 1.61 50.83 N/A N/A 31 50 165 50 2016-04-07 $10.42 $0.00 31.9% 6.8% 26.7% 20.0% 0.0% 5.6% -2.9% 3.2K -70.8K -488 1.61 39.60 N/A N/A 31 50 165 50 2016-04-08 $10.48 $0.00 45.5% 8.5% 25.4% 40.7% 0.0% 4.5% -4.4% 3.3K -73.6K -484 1.61 105.82 N/A N/A 31 50 165 50 2016-04-11 $10.59 $0.00 47.1% 6.6% 24.2% 43.1% 0.0% 3.6% -2.9% 3.2K -77.5K -480 1.74 33.95 N/A N/A 31 54 165 50 2016-04-12 $10.71 $0.00 65.2% 7.2% 24.2% 70.7% 0.0% -5.8% -5.3% 2.7K -85.2K -488 1.74 47.47 N/A N/A 31 54 165 67 2016-04-13 $10.75 $0.00 27.3% 7.8% 24.1% 13.0% 0.0% -5.1% -6.5% 2.2K -93.8K -462 1.74 59.53 N/A N/A 31 54 165 67 2016-04-14 $10.82 $0.00 17.6% 5.0% 24.1% 0.0% 0.0% -4.2% -3.7% 2.9K -91.8K -470 1.74 17.20 N/A N/A 31 54 165 67 2016-04-15 $11.03 $0.00 28.0% 8.0% 23.6% 15.6% 0.0% -5.7% -5.5% 2.6K -96.0K -461 1.74 57.43 N/A N/A 31 54 165 67 2016-04-18 $11.04 $0.00 25.3% 7.3% 23.5% 11.5% 0.0% -0.1% -9.5% 3.1K -97.5K -468 1.96 16.14 N/A N/A 23 45 157 58 2016-04-19 $11.14 $0.00 34.5% 9.9% 23.6% 25.4% 0.0% 1.7% -13.5% 2.5K -98.8K -459 1.96 112.65 N/A N/A 23 45 157 58 2016-04-20 $10.79 $0.00 30.9% 8.9% 26.8% 19.9% 0.0% -3.0% -5.5% 2.1K -88.1K -440 1.96 56.96 N/A N/A 23 45 148 58 2016-04-21 $10.69 $0.00 24.9% 7.1% 25.7% 11.0% 0.0% -15.3% -9.0% 2.3K -78.7K -435 1.96 47.23 N/A N/A 23 45 148 58 2016-04-22 $10.81 $0.00 33.0% 9.4% 25.8% 23.0% 0.0% -1.9% -10.0% 2.5K -87.8K -428 1.96 60.39 N/A N/A 23 45 148 58 2016-04-25 $10.88 $0.00 16.9% 4.9% 25.6% 0.0% 0.0% -23.7% -2.6% 2.7K -103.7K -377 1.96 11.57 N/A N/A 23 45 148 58 2016-04-26 $11.06 $0.00 23.6% 6.8% 19.6% 9.8% 0.0% 0.4% -4.6% 2.5K -109.8K -367 1.96 20.41 N/A N/A 23 45 148 58 2016-04-27 $10.80 $0.00 28.1% 8.1% 21.4% 16.5% 0.0% 2.7% -3.0% 2.7K -86.7K -424 1.96 98.48 N/A N/A 23 45 148 58 2016-04-28 $10.65 $0.00 27.9% 8.0% 22.0% 16.3% 0.0% -9.1% -9.5% 2.5K -91.7K -400 1.96 105.79 N/A N/A 23 45 148 58 2016-04-29 $10.61 $0.00 30.5% 8.7% 22.1% 20.1% 0.0% -4.3% -2.3% 2.5K -79.5K -434 1.96 60.76 N/A N/A 23 45 148 58
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