FSP Options History — May 2016

In May 2016, FSP traded between $10.67 and $11.41. ATM implied volatility averaged 32.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.8% (HV 20d: 24.9%). 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 0.90.

Notable Days

  • 2016-05-18: Highest Volume — 514 contracts
  • 2016-05-04: Largest IV spike — 105.3% change
  • 2016-05-09: Highest IV Rank — 45.6%
  • 2016-05-04: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.09$10.67$11.41$10.93$11.41
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV32.7%19.8%47.7%38.0%36.6%
Expected Move8.4%5.1%11.7%10.9%10.5%
HV 20d24.9%23.0%28.3%24.4%25.4%
HV 60d23.7%22.2%24.8%24.8%24.7%
IV Rank23.3%4.3%45.6%31.2%29.2%
IV Percentile57.3%4.0%95.2%85.3%83.3%
Term Structure-8.7%-16.9%-2.6%-10.8%-12.8%
VWIV28.7%22.7%40.6%30.1%34.0%
Skew 25d-3.0%-20.3%6.8%2.6%-8.0%
Skew 10d-0.1%-46.0%14.1%1.0%-8.7%
Call IV 25d32.7%20.0%66.8%39.7%38.2%
Put IV 25d29.6%18.6%46.5%42.3%30.2%
Bid-Ask Spread %78.8313.94112.3856.62105.46
Gamma HHI0.800.600.950.950.91
Net GEX5.6K1.8K10.2K3.1K7.5K
Net DEX-137.9K-215.9K-85.0K-92.1K-202.4K
Net VEX-856-1.4K-285-387-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.131.961.960.51
Total Volume334.6196851468514
Total OI436.095206602206602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$10.93$0.0038.0%10.9%24.4%31.2%0.0%2.6%-10.8%3.1K-92.1K-3871.9656.62N/AN/A234514858
2016-05-03$10.90$0.0019.8%5.7%24.4%4.3%0.0%-20.3%-3.9%2.9K-106.3K-3601.9613.94N/AN/A234514858
2016-05-04$11.02$0.0040.6%11.7%24.6%35.1%0.0%1.3%-13.3%2.5K-109.8K-3541.9690.10N/AN/A234514858
2016-05-05$10.95$10.0044.7%8.7%23.1%41.2%30.1%-1.6%-8.6%2.5K-99.5K-3871.96112.38N/AN/A234514858
2016-05-06$11.11$10.0033.5%6.5%23.5%24.6%22.7%-6.9%-7.0%2.5K-112.1K-3401.96106.64N/AN/A234514858
2016-05-09$11.31$10.0047.7%8.1%23.9%45.6%24.0%-8.5%-16.9%2.1K-111.4K-3561.96105.11N/AN/A234514858
2016-05-10$11.28$10.0047.6%5.1%23.8%45.4%24.7%-1.7%-5.1%1.8K-125.8K-2851.9638.16N/AN/A234514858
2016-05-11$11.21$10.0023.9%6.9%24.0%10.3%23.4%0.1%-8.6%2.2K-119.2K-3120.1355.07N/AN/A3404514858
2016-05-12$11.23$10.0030.3%8.7%24.0%19.8%29.5%0.5%-10.7%9.5K-215.9K-1.3K0.13109.99N/AN/A3404546558
2016-05-13$11.18$10.0029.0%8.3%23.1%17.9%28.9%-2.2%-5.5%8.4K-167.6K-1.1K0.13110.08N/AN/A3404546558
2016-05-16$11.20$10.0033.7%9.7%23.1%24.8%33.6%5.2%-12.6%9.3K-184.6K-1.0K0.13105.55N/AN/A3404546558
2016-05-17$11.17$10.0025.3%7.3%23.0%12.4%24.6%-1.3%-2.6%10.2K-198.7K-1.2K0.1338.95N/AN/A3404546558
2016-05-18$10.69$10.0023.6%6.8%25.4%9.8%23.1%-12.4%-8.3%5.8K-115.5K-1.2K0.5149.77N/AN/A340174465137
2016-05-19$10.67$10.0026.6%7.6%25.2%14.3%26.7%-6.7%-5.9%4.6K-85.0K-1.0K0.51111.88N/AN/A340174465137
2016-05-20$10.88$10.0026.0%7.4%25.9%13.4%26.3%-2.0%-5.5%6.5K-113.9K-1.1K0.51109.77N/AN/A340174465137
2016-05-23$10.82$10.0030.9%8.9%25.9%20.7%30.6%-4.6%-10.4%6.3K-112.5K-1.0K0.51110.10N/AN/A340174465137
2016-05-24$11.21$10.0031.6%9.1%28.3%21.7%32.3%1.8%-7.1%7.4K-128.4K-1.0K0.5150.31N/AN/A340174465137
2016-05-25$11.08$10.0029.5%8.4%27.2%18.6%28.4%-4.2%-10.6%7.4K-171.3K-1.4K0.5118.45N/AN/A340174465137
2016-05-26$11.21$10.0033.1%9.5%26.8%24.0%33.2%-1.9%-7.1%7.1K-143.9K-1.2K0.51103.12N/AN/A340174465137
2016-05-27$11.41$10.0034.2%9.8%27.2%25.6%40.6%6.8%-10.1%8.0K-179.4K-1.3K0.5153.92N/AN/A340174465137
2016-05-31$11.41$10.0036.6%10.5%25.4%29.2%34.0%-8.0%-12.8%7.5K-202.4K-1.3K0.51105.46N/AN/A340174465137