FSP Options History — July 2016

In July 2016, FSP traded between $12.00 and $12.78. ATM implied volatility averaged 26.8%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.2% (HV 20d: 20.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.51.

Notable Days

  • 2016-07-19: Highest Volume — 100 contracts
  • 2016-07-13: Largest IV drop — 61.3% change
  • 2016-07-12: Highest IV Rank — 51.2%
  • 2016-07-29: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.40$12.00$12.78$12.20$12.78
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV26.8%14.8%49.5%29.1%30.8%
Expected Move6.3%4.3%8.8%8.4%8.8%
HV 20d20.6%18.5%21.9%19.9%21.4%
HV 60d22.3%21.0%23.4%22.5%22.0%
IV Rank19.6%2.9%51.2%22.9%25.2%
IV Percentile34.4%1.2%96.8%48.4%60.3%
Term Structure-2.9%-8.1%8.6%-7.9%-8.1%
VWIV22.6%15.0%31.1%15.0%31.1%
Skew 25d24.0%-4.2%103.9%3.1%-0.9%
Skew 10d34.9%-13.4%145.1%2.1%6.2%
Call IV 25d27.1%20.0%36.0%33.6%36.0%
Put IV 25d51.1%19.4%125.0%36.7%35.2%
Bid-Ask Spread %80.3323.79113.6353.36104.07
Gamma HHI0.900.751.000.800.86
Net GEX13.2K8.8K19.4K9.1K12.7K
Net DEX-350.0K-466.1K-283.3K-302.2K-466.1K
Net VEX-1.2K-1.5K-1.0K-1.4K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.494.114.110.73
Total Volume78.8521009778
Total OI654.95638686638686

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$12.20$0.0029.1%8.4%19.9%22.9%0.0%3.1%-7.9%9.1K-302.2K-1.4K4.1153.36N/AN/A1978471167
2016-07-05$12.27$0.0026.9%5.9%19.7%19.8%0.0%-0.3%-4.0%11.2K-327.0K-1.3K4.11109.75N/AN/A1978471167
2016-07-06$12.25$0.0029.9%6.7%19.7%24.0%0.0%-0.7%0.2%9.5K-283.3K-1.5K4.1194.66N/AN/A1978471167
2016-07-07$12.00$0.0033.4%6.3%20.0%28.8%0.0%-0.8%-6.2%10.2K-287.8K-1.0K4.11109.43N/AN/A1978471167
2016-07-08$12.25$0.0033.9%6.5%20.5%29.6%0.0%-2.5%-4.1%10.9K-328.9K-1.1K4.11110.06N/AN/A1978471167
2016-07-11$12.48$0.0045.0%5.4%21.4%44.9%0.0%-3.4%-0.4%12.1K-334.2K-1.1K4.11107.29N/AN/A1978471167
2016-07-12$12.49$0.0049.5%5.4%21.1%51.2%0.0%73.3%1.8%13.2K-326.8K-1.0K4.1199.26N/AN/A1978471167
2016-07-13$12.47$0.0019.1%5.5%20.8%8.9%0.0%103.9%0.1%13.1K-352.7K-1.1K4.1180.23N/AN/A1978471167
2016-07-14$12.34$0.0023.1%6.6%21.3%14.5%0.0%3.5%-4.5%13.8K-331.2K-1.1K4.1146.14N/AN/A1978471167
2016-07-15$12.47$0.0024.1%6.9%21.6%15.8%0.0%-0.6%-3.0%12.9K-326.0K-1.0K1.74110.53N/AN/A1933471167
2016-07-18$12.56$0.0020.6%5.9%21.3%11.0%0.0%-4.1%2.1%8.8K-348.4K-1.3K1.74113.63N/AN/A1933471167
2016-07-19$12.55$0.0014.8%4.3%21.4%2.9%15.0%73.2%8.6%14.6K-356.6K-1.1K0.4942.44N/AN/A6733471167
2016-07-20$12.46$12.5019.2%5.5%21.6%9.0%19.2%74.3%-3.5%16.0K-372.3K-1.2K1.1833.75N/AN/A2833511167
2016-07-21$12.57$12.5019.6%5.6%21.6%9.6%19.0%68.7%-1.3%14.6K-396.4K-1.3K1.1844.92N/AN/A2833512167
2016-07-22$12.44$12.5023.6%6.8%21.9%15.1%27.5%-4.2%-6.3%13.8K-422.4K-1.2K1.18109.78N/AN/A2833512167
2016-07-25$12.44$12.5023.2%6.7%19.6%14.6%23.1%3.1%-5.4%16.5K-381.6K-1.2K1.1823.79N/AN/A2833512167
2016-07-26$12.40$12.5021.7%6.2%19.3%12.5%22.3%4.7%-6.4%19.4K-358.8K-1.1K1.1856.35N/AN/A2833512167
2016-07-27$12.14$12.5026.9%7.7%18.5%19.7%25.8%4.0%-6.5%13.5K-331.3K-1.2K1.38111.09N/AN/A2433512167
2016-07-28$12.44$12.5020.6%5.9%19.4%11.0%20.9%86.2%-3.5%17.9K-366.8K-1.1K1.2746.09N/AN/A2633517167
2016-07-29$12.78$12.5030.8%8.8%21.4%25.2%31.1%-0.9%-8.1%12.7K-466.1K-1.2K0.73104.07N/AN/A4533519167