FSP Options History — December 2016

In December 2016, FSP traded between $12.25 and $12.93. ATM implied volatility averaged 29.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.0% (HV 20d: 25.1%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-12-30: Highest Volume — 144 contracts
  • 2016-12-14: Largest IV drop — 52.9% change
  • 2016-12-13: Highest IV Rank — 73.3%
  • 2016-12-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.67$12.25$12.93$12.34$12.93
Max Pain$16.31$12.50$20.00$12.50$20.00
ATM IV29.2%19.4%51.2%25.4%25.9%
Expected Move7.3%5.6%10.3%7.3%7.4%
HV 20d25.1%19.3%29.7%29.7%19.3%
HV 60d28.9%27.2%30.7%30.7%27.2%
IV Rank31.3%12.8%73.3%24.1%25.1%
IV Percentile51.4%6.7%98.8%38.9%42.5%
Term Structure-2.0%-10.3%3.9%-6.4%-2.6%
VWIV26.0%19.9%36.6%25.9%26.1%
Skew 25d4.1%-7.1%72.0%3.8%-1.9%
Skew 10d10.1%-12.1%127.4%9.3%-4.0%
Call IV 25d31.7%26.3%46.6%41.1%29.3%
Put IV 25d35.8%21.4%98.4%44.9%27.4%
Bid-Ask Spread %98.6639.03114.71114.7139.03
Gamma HHI0.980.901.001.000.99
Net GEX23.6K1.9K61.9K41.8K2.1K
Net DEX-193.7K-564.0K64.2K-300.8K32.9K
Net VEX-689-958-517-907-518
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.613.172.711.53
Total Volume111.23884144130144
Total OI591.381290807753336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$12.34$12.5025.4%7.3%29.7%24.1%25.9%3.8%-6.4%41.8K-300.8K-9072.71114.71N/AN/A3595556197
2016-12-02$12.25$12.5035.8%10.3%28.0%44.0%36.6%6.5%-10.3%29.1K-241.6K-9582.88112.15N/AN/A3395556226
2016-12-05$12.34$15.0030.3%7.8%27.8%33.4%27.5%3.4%-4.4%38.2K-231.9K-9163.17105.91N/AN/A3095564226
2016-12-06$12.48$15.0032.4%6.1%27.3%37.4%21.4%3.4%2.2%39.7K-277.2K-9130.61104.67N/AN/A6640564226
2016-12-07$12.82$15.0034.4%5.6%28.4%41.4%20.4%72.0%3.9%51.5K-417.8K-8530.66106.80N/AN/A6140564231
2016-12-08$12.82$15.0032.3%7.3%28.4%37.2%25.3%3.3%-2.3%42.0K-418.1K-8400.66110.89N/AN/A6140554231
2016-12-09$12.93$15.0035.3%8.4%28.0%43.0%29.7%3.6%-2.4%37.2K-463.2K-7920.80109.16N/AN/A6149554231
2016-12-12$12.92$15.0041.7%8.4%26.0%55.2%29.8%4.1%-2.0%38.7K-481.1K-6991.40106.90N/AN/A3549554241
2016-12-13$12.71$15.0051.2%7.6%25.8%73.3%27.0%2.6%-0.2%48.2K-377.8K-7550.74107.85N/AN/A5037566241
2016-12-14$12.45$15.0024.1%6.9%26.4%21.7%24.3%3.0%-1.5%37.2K-262.1K-7260.74111.61N/AN/A5037566241
2016-12-15$12.58$15.0025.1%7.2%26.6%23.6%26.2%2.4%0.3%61.9K-302.0K-6830.74110.51N/AN/A5037566241
2016-12-16$12.73$15.0023.6%6.8%26.6%20.7%25.7%-1.1%-3.1%3.1K-564.0K-5700.92105.92N/AN/A5349566241
2016-12-19$12.90$15.0021.7%6.2%25.5%17.1%26.0%-5.4%-7.0%4.7K-16.6K-5601.2039.91N/AN/A4655165125
2016-12-20$12.93$17.5025.6%7.3%25.3%24.6%24.9%3.9%1.0%2.9K-6.5K-5601.22110.26N/AN/A4656165140
2016-12-21$12.66$17.5019.4%5.6%23.5%12.8%19.9%-1.8%3.6%1.9K12.1K-5441.19105.49N/AN/A4756165155
2016-12-22$12.61$17.5022.6%6.5%21.8%18.7%23.8%-6.4%-0.9%2.6K31.7K-5531.51106.11N/AN/A4771166155
2016-12-23$12.61$20.0025.5%7.3%21.2%24.3%25.5%-7.1%0.4%3.9K61.6K-5491.51108.67N/AN/A4771166170
2016-12-27$12.57$20.0028.6%8.2%21.2%30.3%28.7%-4.6%-5.7%3.4K63.3K-5301.85106.28N/AN/A4787166170
2016-12-28$12.65$20.0026.5%7.6%20.7%26.1%26.5%1.1%-5.3%3.3K64.2K-5201.8587.43N/AN/A4787166170
2016-12-29$12.79$20.0024.9%7.1%20.3%23.2%25.0%0.7%0.5%2.5K28.1K-5171.8561.55N/AN/A4787166170
2016-12-30$12.93$20.0025.9%7.4%19.3%25.1%26.1%-1.9%-2.6%2.1K32.9K-5181.5339.03N/AN/A5787166170