FSP Options History — June 2016

In June 2016, FSP traded between $11.53 and $12.24. ATM implied volatility averaged 24.0%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.1% (HV 20d: 21.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.11.

Notable Days

  • 2016-06-01: Highest Volume — 514 contracts
  • 2016-06-21: Largest IV spike — 65.4% change
  • 2016-06-01: Highest IV Rank — 30.5%
  • 2016-06-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.90$11.53$12.24$11.53$12.24
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV24.0%12.7%37.5%37.5%23.2%
Expected Move6.4%3.6%10.8%10.8%6.6%
HV 20d21.9%14.4%26.3%25.5%20.2%
HV 60d23.5%21.4%24.7%24.7%23.1%
IV Rank14.2%0.0%30.5%30.5%14.5%
IV Percentile24.8%0.0%84.5%84.5%14.7%
Term Structure-2.2%-14.6%9.0%-14.6%-0.0%
VWIV45.8%45.8%45.8%45.8%45.8%
Skew 25d10.6%-1.6%21.9%11.7%16.2%
Skew 10d6.0%-3.3%18.2%6.3%9.1%
Call IV 25d22.9%10.3%37.1%37.1%30.4%
Put IV 25d33.6%18.8%48.8%48.8%46.6%
Bid-Ask Spread %77.9015.34150.59109.28115.06
Gamma HHI0.900.780.990.930.90
Net GEX9.8K7.6K12.9K7.6K12.2K
Net DEX-268.9K-329.9K-177.6K-177.6K-294.1K
Net VEX-1.2K-1.6K-948-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.497.090.514.11
Total Volume214.5916751451497
Total OI627.682602681602638

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$11.53$10.0037.5%10.8%25.5%30.5%45.8%11.7%-14.6%7.6K-177.6K-1.2K0.51109.28N/AN/A340174465137
2016-06-02$11.59$0.0028.4%4.0%25.3%17.0%0.0%3.4%-0.7%8.3K-234.5K-1.2K0.5115.34N/AN/A340174465137
2016-06-03$11.75$0.0028.5%6.5%25.4%17.2%0.0%9.4%-2.6%8.7K-252.3K-1.2K0.51110.88N/AN/A340174465137
2016-06-06$11.68$0.0029.3%6.1%25.3%18.3%0.0%-1.6%-10.6%9.8K-235.9K-1.2K0.4943.44N/AN/A331163465137
2016-06-07$11.76$0.0030.1%5.8%24.7%19.5%0.0%10.0%-8.6%9.8K-228.4K-1.2K0.4999.37N/AN/A331163469137
2016-06-08$12.00$0.0013.6%3.9%25.4%0.0%0.0%12.2%7.1%10.6K-279.3K-9480.4920.81N/AN/A331163465137
2016-06-09$12.20$0.0014.0%4.0%25.6%0.5%0.0%9.7%6.2%9.8K-329.9K-1.1K6.7922.32N/AN/A24163465137
2016-06-10$12.14$0.0023.0%6.6%25.8%13.3%0.0%12.6%-3.8%9.5K-324.3K-1.1K7.0965.97N/AN/A23163475137
2016-06-13$12.05$0.0017.6%5.0%26.0%5.5%0.0%3.2%0.8%11.5K-312.1K-1.3K1.9130.13N/AN/A2344484137
2016-06-14$11.95$0.0025.9%7.4%26.3%17.4%0.0%5.5%-5.8%9.9K-298.5K-1.4K1.91108.16N/AN/A2344484147
2016-06-15$11.99$0.0024.9%7.1%26.2%15.8%0.0%8.7%-3.2%7.9K-312.4K-1.4K3.65116.08N/AN/A2384484147
2016-06-16$12.00$0.0019.5%5.6%19.4%8.3%0.0%19.8%4.2%10.5K-297.4K-1.2K3.65112.29N/AN/A2384484197
2016-06-17$11.91$0.0019.2%5.5%19.8%7.9%0.0%10.8%5.3%10.6K-268.9K-1.3K3.6524.61N/AN/A2384484197
2016-06-20$11.94$0.0012.7%3.6%19.1%0.0%0.0%6.6%9.0%9.7K-278.4K-1.3K3.8924.32N/AN/A1974471163
2016-06-21$11.93$0.0021.1%6.0%18.8%11.6%0.0%16.1%1.1%9.3K-268.7K-1.3K4.11112.69N/AN/A1978471163
2016-06-22$11.87$0.0027.8%8.0%15.3%21.1%0.0%12.8%-5.5%9.2K-256.4K-1.4K4.11113.49N/AN/A1978471167
2016-06-23$11.98$0.0025.7%7.4%14.4%18.0%0.0%15.3%-4.7%8.8K-271.3K-1.3K4.11115.26N/AN/A1978471167
2016-06-24$11.69$0.0031.7%9.1%17.3%26.5%0.0%4.2%-13.6%8.7K-245.0K-1.6K4.11150.59N/AN/A1978471167
2016-06-27$11.59$0.0025.9%7.4%16.6%18.4%0.0%7.9%-4.4%8.1K-188.8K-1.4K4.1120.41N/AN/A1978471167
2016-06-28$11.94$0.0025.1%7.2%19.5%17.3%0.0%17.8%-7.5%12.7K-271.1K-1.1K4.1168.48N/AN/A1978471167
2016-06-29$12.16$0.0023.3%6.7%20.2%14.7%0.0%21.9%3.8%12.9K-291.4K-1.1K4.11114.91N/AN/A1978471167
2016-06-30$12.24$0.0023.2%6.6%20.2%14.5%0.0%16.2%-0.0%12.2K-294.1K-1.1K4.11115.06N/AN/A1978471167