FSP Options History — August 2016

In August 2016, FSP traded between $12.37 and $13.14. ATM implied volatility averaged 23.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.8% (HV 20d: 25.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-08-11: Highest Volume — 255 contracts
  • 2016-08-22: Largest IV spike — 44.4% change
  • 2016-08-08: Highest IV Rank — 23.8%
  • 2016-08-18: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.68$12.37$13.14$12.92$12.64
Max Pain$10.33$10.00$12.50$12.50$10.00
ATM IV23.4%15.8%29.8%24.3%24.4%
Expected Move6.3%4.5%7.6%7.0%7.0%
HV 20d25.3%18.6%29.4%21.5%25.5%
HV 60d22.5%21.8%25.4%22.0%22.2%
IV Rank14.9%4.3%23.8%16.1%16.3%
IV Percentile21.7%1.6%55.6%21.8%24.2%
Term Structure-2.6%-10.2%5.5%-10.2%-2.5%
VWIV22.0%15.8%29.2%24.7%23.8%
Skew 25d15.4%-32.3%56.5%-16.4%56.5%
Skew 10d37.3%-27.3%102.8%-21.2%102.8%
Call IV 25d33.1%24.1%58.1%40.3%39.8%
Put IV 25d48.5%21.3%96.3%23.9%96.3%
Bid-Ask Spread %99.6743.80119.1763.24114.83
Gamma HHI0.920.821.000.821.00
Net GEX21.6K13.0K43.1K13.0K20.9K
Net DEX-431.9K-603.7K-253.7K-426.4K-407.0K
Net VEX-1.2K-1.4K-1.0K-1.3K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.200.730.730.71
Total Volume99.13025578125
Total OI719.478581905666729

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$12.92$12.5024.3%7.0%21.5%16.1%24.7%-16.4%-10.2%13.0K-426.4K-1.3K0.7363.24N/AN/A4533499167
2016-08-02$12.76$12.5026.0%7.5%22.1%18.5%25.9%-5.7%-8.3%14.1K-427.2K-1.2K0.73110.58N/AN/A4533499167
2016-08-03$12.75$12.5019.6%5.6%22.1%9.5%19.5%-32.3%-3.3%13.8K-424.0K-1.2K0.7366.06N/AN/A4533499162
2016-08-04$12.78$10.0026.3%5.5%20.4%19.0%19.8%29.4%5.5%13.4K-433.6K-1.1K0.73113.53N/AN/A4533499162
2016-08-05$12.79$10.0025.9%5.2%19.4%18.4%17.9%-1.2%-1.2%16.9K-436.7K-1.1K0.73111.68N/AN/A4533499162
2016-08-08$12.91$10.0029.8%5.5%18.6%23.8%19.9%19.0%4.3%14.6K-447.6K-1.1K0.73113.11N/AN/A4533499162
2016-08-09$13.06$10.0028.0%6.0%18.9%21.2%21.4%6.6%1.0%14.4K-468.8K-1.1K0.73107.95N/AN/A4533499162
2016-08-10$13.14$10.0025.6%7.3%18.9%17.9%25.5%-4.2%-7.4%16.0K-493.0K-1.0K0.7365.94N/AN/A4533499162
2016-08-11$12.37$10.0020.2%5.8%29.1%10.4%20.7%0.0%-3.8%18.2K-388.1K-1.1K0.20100.41N/AN/A21243499162
2016-08-12$12.52$10.0022.4%6.4%29.1%13.4%22.3%27.0%-6.7%43.1K-516.0K-1.3K0.4263.06N/AN/A10343693172
2016-08-15$12.50$10.0025.4%7.3%29.0%17.7%26.2%1.8%-6.4%37.2K-549.9K-1.3K0.42112.69N/AN/A10343733172
2016-08-16$12.55$10.0023.1%6.6%29.1%14.4%22.0%49.1%1.8%30.1K-483.8K-1.4K0.42113.11N/AN/A10343693172
2016-08-17$12.47$10.0020.9%6.0%29.0%11.5%0.0%52.9%-1.2%42.5K-307.8K-1.3K0.00113.65N/AN/A00558168
2016-08-18$12.57$10.0026.5%7.6%29.0%19.2%0.0%45.2%-3.1%42.1K-332.0K-1.4K0.00112.33N/AN/A00558168
2016-08-19$12.59$10.0015.8%4.5%28.7%4.3%15.8%37.7%2.5%20.1K-603.7K-1.2K0.59110.00N/AN/A7343693172
2016-08-22$12.49$10.0022.9%6.6%28.9%14.1%23.2%2.4%-0.8%13.3K-402.3K-1.3K0.6898.57N/AN/A6343538172
2016-08-23$12.68$10.0017.0%4.9%29.4%6.0%17.0%16.5%0.3%20.7K-421.8K-1.1K0.59116.14N/AN/A7343538172
2016-08-24$12.64$10.0019.7%5.7%28.2%9.8%0.0%-5.6%-4.4%17.5K-253.7K-1.2K0.00119.17N/AN/A00413168
2016-08-25$12.76$10.0020.2%5.8%27.1%10.4%16.9%38.4%1.5%20.7K-449.1K-1.2K0.71110.62N/AN/A7352548172
2016-08-26$12.55$10.0025.4%7.3%26.0%17.7%29.2%0.4%-7.2%15.4K-424.1K-1.3K0.71103.44N/AN/A7352548181
2016-08-29$12.63$10.0026.3%7.5%25.8%18.9%26.2%40.3%-8.3%19.0K-432.9K-1.1K0.7143.80N/AN/A7352548181
2016-08-30$12.63$10.0023.1%6.6%25.5%14.4%22.6%-3.2%-2.8%20.5K-405.1K-1.1K0.71108.55N/AN/A7352548181
2016-08-31$12.64$10.0024.4%7.0%25.5%16.3%23.8%56.5%-2.5%20.9K-407.0K-1.1K0.71114.83N/AN/A7352548181