FSP Options History — November 2016

In November 2016, FSP traded between $10.81 and $12.77. ATM implied volatility averaged 28.6%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.2% (HV 20d: 32.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2016-11-01: Highest Volume — 120 contracts
2016-11-29: Largest IV spike — 55.5% change
2016-11-01: Highest IV Rank — 59.7%
2016-11-01: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.82	$10.81	$12.77	$11.13	$12.57
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	28.6%	17.1%	44.1%	44.1%	27.3%
Expected Move	7.2%	4.9%	12.6%	12.6%	7.8%
HV 20d	32.8%	28.6%	36.9%	31.7%	28.6%
HV 60d	28.8%	26.7%	30.5%	28.9%	30.5%
IV Rank	30.2%	8.4%	59.7%	59.7%	27.7%
IV Percentile	44.7%	2.8%	94.8%	94.8%	51.6%
Term Structure	1.2%	-15.3%	17.4%	-15.3%	-1.8%
VWIV	22.5%	12.4%	38.5%	36.5%	26.5%
Skew 25d	6.2%	-35.5%	72.8%	4.0%	-11.8%
Skew 10d	5.9%	-55.6%	118.8%	6.2%	-19.5%
Call IV 25d	28.0%	15.6%	55.4%	38.6%	40.2%
Put IV 25d	34.2%	17.6%	101.3%	42.6%	28.4%
Bid-Ask Spread %	104.48	69.69	114.53	109.69	113.98
Gamma HHI	0.82	0.50	1.00	0.66	1.00
Net GEX	22.8K	-1.1K	55.5K	8.0K	40.3K
Net DEX	-159.8K	-456.8K	37.5K	-17.9K	-326.3K
Net VEX	-777	-1.0K	-274	-716	-939
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.35	1.66	0.35	1.66
Total Volume	100.333	70	120	120	93
Total OI	737.619	720	743	741	743

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-11-01	$11.13	$12.50	44.1%	12.6%	31.7%	59.7%	36.5%	4.0%	-15.3%	8.0K	-17.9K	-716	0.35	109.69	N/A	N/A	89	31	571	170
2016-11-02	$11.08	$12.50	41.3%	11.8%	30.8%	54.4%	38.5%	2.4%	-12.7%	5.4K	5.6K	-585	0.35	110.88	N/A	N/A	89	31	571	170
2016-11-03	$10.81	$12.50	41.7%	8.2%	31.7%	55.2%	25.5%	2.2%	-5.7%	656	25.7K	-479	0.35	110.93	N/A	N/A	89	31	571	170
2016-11-04	$10.96	$12.50	42.7%	5.5%	32.1%	57.0%	17.8%	0.7%	5.7%	-1.1K	37.5K	-274	0.35	69.69	N/A	N/A	89	31	571	170
2016-11-07	$11.20	$12.50	44.1%	6.5%	32.5%	59.7%	17.9%	3.7%	-7.2%	4.7K	-12.1K	-563	0.35	98.73	N/A	N/A	89	31	571	170
2016-11-08	$11.27	$12.50	38.7%	6.3%	31.7%	49.4%	17.4%	3.7%	10.5%	6.4K	1.3K	-486	0.35	96.84	N/A	N/A	89	31	571	170
2016-11-09	$11.29	$12.50	22.3%	6.4%	30.5%	18.3%	18.3%	13.5%	15.1%	7.7K	-11.9K	-573	0.35	70.76	N/A	N/A	89	31	571	170
2016-11-10	$11.22	$12.50	30.4%	8.7%	30.2%	33.6%	19.0%	7.1%	-10.1%	6.2K	-816	-508	0.35	104.18	N/A	N/A	89	31	571	170
2016-11-11	$11.63	$12.50	19.8%	5.7%	33.2%	13.6%	15.0%	19.7%	13.3%	18.4K	-72.3K	-739	0.35	104.02	N/A	N/A	89	31	571	170
2016-11-14	$11.94	$12.50	21.8%	6.2%	34.5%	17.3%	12.4%	19.7%	17.4%	21.2K	-202.5K	-1.0K	0.35	104.28	N/A	N/A	89	31	571	170
2016-11-15	$11.77	$12.50	23.5%	6.7%	34.8%	20.5%	24.0%	9.9%	-0.9%	22.1K	-125.6K	-877	0.52	111.33	N/A	N/A	60	31	571	170
2016-11-16	$11.77	$12.50	23.9%	6.8%	34.4%	21.2%	23.4%	16.5%	1.7%	22.1K	-122.0K	-856	0.52	111.70	N/A	N/A	60	31	571	170
2016-11-17	$11.90	$12.50	24.9%	7.1%	34.6%	23.2%	26.4%	9.2%	-1.4%	24.2K	-162.3K	-928	0.52	110.71	N/A	N/A	60	31	571	170
2016-11-18	$12.22	$12.50	23.0%	6.6%	35.7%	19.5%	21.0%	10.5%	4.3%	28.3K	-230.5K	-1.0K	0.58	111.28	N/A	N/A	60	35	571	170
2016-11-21	$12.33	$12.50	22.4%	6.4%	35.1%	18.5%	23.2%	6.0%	0.7%	35.2K	-262.3K	-994	1.00	107.23	N/A	N/A	35	35	546	174
2016-11-22	$12.77	$12.50	17.1%	4.9%	36.9%	8.4%	16.8%	-12.3%	3.4%	42.8K	-456.8K	-924	1.00	103.48	N/A	N/A	35	35	546	174
2016-11-23	$12.46	$12.50	20.6%	5.9%	33.2%	15.0%	20.7%	-11.7%	1.6%	44.4K	-303.6K	-1.0K	1.00	110.70	N/A	N/A	35	35	556	174
2016-11-25	$12.63	$12.50	23.1%	6.6%	32.1%	19.7%	23.1%	0.2%	0.8%	39.9K	-381.4K	-978	1.00	109.08	N/A	N/A	35	35	556	174
2016-11-28	$12.58	$12.50	18.9%	5.4%	32.3%	11.7%	18.2%	-35.5%	11.1%	55.5K	-345.5K	-940	1.37	110.06	N/A	N/A	35	48	556	174
2016-11-29	$12.76	$12.50	29.3%	8.4%	31.4%	31.7%	31.0%	72.8%	-6.0%	47.2K	-393.0K	-924	1.37	114.53	N/A	N/A	35	48	556	187
2016-11-30	$12.57	$12.50	27.3%	7.8%	28.6%	27.7%	26.5%	-11.8%	-1.8%	40.3K	-326.3K	-939	1.66	113.98	N/A	N/A	35	58	556	187