FSP Options History — September 2016

In September 2016, FSP traded between $12.27 and $13.06. ATM implied volatility averaged 28.4%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.8% (HV 20d: 25.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-09-16: Highest Volume — 189 contracts
  • 2016-09-14: Largest IV drop — 56.8% change
  • 2016-09-13: Highest IV Rank — 50.6%
  • 2016-09-16: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.66$12.27$13.06$12.63$12.60
Max Pain$12.26$10.00$12.50$10.00$12.50
ATM IV28.4%17.8%49.0%25.4%27.6%
Expected Move6.7%4.8%8.5%7.3%7.9%
HV 20d25.6%22.4%28.3%25.4%28.3%
HV 60d24.0%21.8%25.0%21.9%24.6%
IV Rank21.9%7.0%50.6%17.6%20.8%
IV Percentile44.0%3.6%97.2%29.4%50.8%
Term Structure-2.9%-15.8%4.5%-3.7%-15.8%
VWIV23.0%17.7%30.0%24.7%22.7%
Skew 25d16.0%-9.6%89.4%60.5%1.7%
Skew 10d29.3%-9.5%129.6%107.1%10.0%
Call IV 25d30.7%19.3%40.9%40.9%37.6%
Put IV 25d46.7%20.4%116.4%101.4%39.3%
Bid-Ask Spread %88.2631.39115.16115.16113.42
Gamma HHI0.950.801.000.830.95
Net GEX20.2K13.0K26.3K17.0K23.9K
Net DEX-341.0K-493.9K-216.1K-387.2K-280.2K
Net VEX-1.1K-1.3K-1.0K-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.550.920.710.70
Total Volume127.619102189125134
Total OI684.714602744729663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$12.63$10.0025.4%7.3%25.4%17.6%24.7%60.5%-3.7%17.0K-387.2K-1.2K0.71115.16N/AN/A7352548181
2016-09-02$12.81$10.0024.5%7.0%26.0%16.4%24.2%-9.6%-2.8%20.2K-449.0K-1.1K0.71111.94N/AN/A7352548181
2016-09-06$12.91$12.5028.1%6.2%25.9%21.5%22.5%2.0%0.4%19.4K-469.5K-1.1K0.71107.20N/AN/A7352548181
2016-09-07$13.05$12.5038.1%5.9%25.9%35.4%19.2%49.2%3.8%17.5K-493.9K-1.1K0.71104.86N/AN/A7352548181
2016-09-08$12.97$12.5037.8%6.9%25.8%35.0%23.0%-0.7%-1.9%20.7K-478.1K-1.0K0.7148.87N/AN/A7352548181
2016-09-09$12.35$12.5032.7%4.8%22.4%27.8%17.7%1.1%1.4%21.2K-406.5K-1.1K0.7137.22N/AN/A7352548181
2016-09-12$12.56$12.5044.1%6.2%22.8%43.7%21.5%89.4%-1.6%20.2K-367.6K-1.0K0.92109.23N/AN/A7367548196
2016-09-13$12.27$12.5049.0%5.7%24.3%50.6%20.1%3.3%-1.4%19.9K-352.9K-1.0K0.92109.57N/AN/A7367548196
2016-09-14$12.37$12.5021.2%6.1%24.5%11.8%21.2%76.2%-1.2%20.4K-342.2K-1.0K0.9231.39N/AN/A7367548196
2016-09-15$12.32$12.5024.5%7.0%24.4%16.5%24.5%-6.9%-8.1%21.9K-350.2K-1.0K0.9285.62N/AN/A7367548196
2016-09-16$12.36$12.5029.6%8.5%24.2%23.5%30.0%4.0%-6.6%13.0K-315.9K-1.1K0.5552.58N/AN/A12267548196
2016-09-19$12.54$12.5024.5%7.0%24.8%16.4%24.5%4.0%-4.0%16.1K-221.9K-1.2K0.64110.43N/AN/A6743430172
2016-09-20$12.47$12.5017.8%5.1%24.8%7.0%17.9%2.7%4.5%17.4K-216.1K-1.2K0.7335.84N/AN/A5943433172
2016-09-21$12.67$12.5022.9%6.6%24.8%14.2%23.0%66.4%-2.1%22.4K-231.7K-1.1K0.6664.49N/AN/A6543435172
2016-09-22$13.05$12.5025.3%7.3%26.9%17.6%27.4%-3.4%-0.7%26.3K-321.8K-1.1K0.66108.50N/AN/A6543441172
2016-09-23$13.06$12.5025.9%7.4%26.7%18.3%26.9%-5.0%-4.9%23.8K-322.3K-1.1K0.66109.31N/AN/A6543451172
2016-09-26$12.93$12.5026.9%7.7%26.3%19.7%28.1%1.2%-1.0%19.3K-331.6K-1.1K0.65108.31N/AN/A6643451172
2016-09-27$12.62$12.5020.8%6.0%27.7%11.3%18.4%-3.0%1.3%19.1K-267.0K-1.2K0.7061.69N/AN/A7955451172
2016-09-28$12.76$12.5025.6%7.3%28.0%18.0%25.1%2.9%-7.8%23.2K-284.5K-1.3K0.70113.03N/AN/A7955469194
2016-09-29$12.63$12.5024.7%7.1%28.3%16.6%20.5%-0.4%-8.8%20.8K-270.2K-1.3K0.70114.78N/AN/A7955469194
2016-09-30$12.60$12.5027.6%7.9%28.3%20.8%22.7%1.7%-15.8%23.9K-280.2K-1.3K0.70113.42N/AN/A7955469194