FSP Options History — October 2016

In October 2016, FSP traded between $11.10 and $12.27. ATM implied volatility averaged 31.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.2% (HV 20d: 27.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2016-10-18: Highest Volume — 219 contracts
  • 2016-10-24: Largest IV spike — 59.9% change
  • 2016-10-24: Highest IV Rank — 59.0%
  • 2016-10-24: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.73$11.10$12.27$12.27$11.53
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV31.5%20.0%51.3%27.6%32.6%
Expected Move8.1%5.7%12.5%7.9%9.4%
HV 20d27.3%23.5%30.5%29.2%30.5%
HV 60d26.3%24.9%28.2%24.9%28.2%
IV Rank31.1%13.9%59.0%20.8%37.9%
IV Percentile57.5%8.3%98.4%50.8%74.6%
Term Structure-2.8%-16.9%7.1%-6.6%-9.1%
VWIV30.7%20.2%45.3%28.5%29.0%
Skew 25d8.6%-0.7%20.8%6.3%12.1%
Skew 10d5.2%-8.2%12.3%8.6%5.9%
Call IV 25d28.5%17.3%46.4%38.3%31.1%
Put IV 25d37.1%30.0%47.6%44.7%43.2%
Bid-Ask Spread %110.16102.89111.61109.65109.66
Gamma HHI0.820.590.970.970.80
Net GEX16.4K4.6K22.7K22.7K16.1K
Net DEX-127.9K-247.3K6.7K-247.3K-78.8K
Net VEX-1.2K-1.4K-569-1.2K-928
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.170.700.700.35
Total Volume192.429120219134120
Total OI735.952663756663741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$12.27$12.5027.6%7.9%29.2%20.8%28.5%6.3%-6.6%22.7K-247.3K-1.2K0.70109.65N/AN/A7955469194
2016-10-04$11.98$12.5027.3%7.8%29.9%20.3%23.2%10.5%-13.2%18.9K-141.1K-1.1K0.70108.64N/AN/A7955469194
2016-10-05$11.69$12.5038.1%10.9%30.3%35.4%37.1%6.4%-12.4%16.9K-146.8K-1.1K0.35109.03N/AN/A15655469194
2016-10-06$11.72$0.0038.2%7.5%30.4%35.5%0.0%7.2%2.8%13.7K-128.8K-1.4K0.35111.14N/AN/A15755559194
2016-10-07$11.58$0.0041.1%7.1%25.8%39.5%0.0%-0.3%-4.0%17.0K-166.2K-1.4K0.35111.61N/AN/A15755562194
2016-10-10$11.78$0.0042.0%6.2%25.9%40.8%0.0%13.9%5.4%16.1K-96.1K-1.2K0.35110.39N/AN/A15755562194
2016-10-11$11.50$0.0051.3%9.0%25.9%53.7%0.0%-0.1%-5.8%16.1K-125.0K-1.3K0.35110.72N/AN/A15755562194
2016-10-12$11.76$0.0026.7%7.7%27.2%19.5%0.0%8.0%-12.3%16.5K-81.4K-1.1K0.35111.32N/AN/A15755562194
2016-10-13$11.87$0.0024.9%7.1%27.5%23.2%0.0%10.0%2.9%15.3K-135.4K-1.3K0.35110.51N/AN/A15755562194
2016-10-14$11.89$0.0021.5%6.2%27.5%16.7%0.0%12.8%6.0%18.8K-124.2K-1.2K0.35110.76N/AN/A15755562194
2016-10-17$11.95$0.0020.0%5.7%27.0%13.9%0.0%16.7%6.7%18.9K-156.2K-1.3K0.35111.54N/AN/A15755562194
2016-10-18$12.01$0.0022.6%6.5%27.1%18.8%0.0%13.6%7.0%19.8K-143.4K-1.3K0.34111.59N/AN/A16455562194
2016-10-19$11.83$0.0020.2%5.8%26.6%14.2%0.0%11.8%7.1%18.9K-137.1K-1.3K0.34111.56N/AN/A16455562194
2016-10-20$11.78$0.0024.3%7.0%23.6%22.1%0.0%16.9%4.2%18.1K-157.4K-1.3K0.34110.67N/AN/A16455562194
2016-10-21$11.70$0.0027.4%7.8%23.5%27.8%0.0%0.4%-2.6%17.8K-184.4K-1.3K0.34111.04N/AN/A16455562170
2016-10-24$11.95$0.0043.7%12.5%25.2%59.0%45.3%-0.7%-16.9%18.1K-188.7K-1.3K0.17102.89N/AN/A17931546170
2016-10-25$11.87$12.5025.0%7.2%24.1%23.4%20.2%20.8%6.9%20.3K-199.7K-1.3K0.17111.55N/AN/A17931571170
2016-10-26$11.31$12.5030.4%8.7%28.3%33.6%28.9%7.9%-1.2%11.9K-43.8K-8640.17109.51N/AN/A17931571170
2016-10-27$11.10$12.5040.6%11.6%28.6%53.0%32.5%0.7%-14.7%4.6K6.7K-5690.35110.08N/AN/A8931571170
2016-10-28$11.21$12.5035.4%10.2%29.2%43.2%31.7%5.3%-9.6%8.7K-10.2K-6650.35109.59N/AN/A8931571170
2016-10-31$11.53$12.5032.6%9.4%30.5%37.9%29.0%12.1%-9.1%16.1K-78.8K-9280.35109.66N/AN/A8931571170