FSP Options History — January 2017

In January 2017, FSP traded between $12.70 and $13.26. ATM implied volatility averaged 27.6%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.6% (HV 20d: 17.9%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.12.

Notable Days

2017-01-03: Highest Volume — 144 contracts
2017-01-20: Largest IV spike — 25.6% change
2017-01-06: Highest IV Rank — 43.0%
2017-01-31: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.92	$12.70	$13.26	$12.98	$12.77
Max Pain	$13.25	$12.50	$20.00	$20.00	$12.50
ATM IV	27.6%	21.0%	35.3%	29.0%	32.9%
Expected Move	7.6%	6.0%	9.4%	8.3%	9.4%
HV 20d	17.9%	15.4%	20.9%	18.9%	15.4%
HV 60d	25.9%	22.3%	27.3%	27.2%	22.3%
IV Rank	28.3%	15.8%	43.0%	30.9%	38.5%
IV Percentile	50.2%	13.1%	81.3%	59.9%	75.4%
Term Structure	-1.7%	-8.8%	4.9%	-3.5%	-8.8%
VWIV	24.9%	18.5%	31.5%	29.6%	31.5%
Skew 25d	-1.2%	-7.7%	6.2%	-6.1%	-7.7%
Skew 10d	4.2%	-12.3%	23.2%	13.3%	-12.3%
Call IV 25d	31.6%	22.0%	42.1%	37.4%	42.1%
Put IV 25d	30.5%	23.9%	40.0%	31.3%	34.4%
Bid-Ask Spread %	105.87	71.56	113.76	71.56	107.47
Gamma HHI	0.90	0.61	0.96	0.95	0.95
Net GEX	4.5K	661	7.8K	3.1K	7.2K
Net DEX	-30.8K	-137.0K	37.2K	11.4K	-125.4K
Net VEX	-447	-516	-383	-513	-403
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.25	1.53	1.53	1.02
Total Volume	120.65	71	144	144	115
Total OI	298.25	201	346	346	216

Daily Data (20 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
2017-01-03	$12.98	$20.00	29.0%	8.3%	18.9%	30.9%	29.6%	-6.1%	-3.5%	3.1K	11.4K	-513	1.53	71.56	N/A	N/A	57	87	176	170
2017-01-04	$13.26	$20.00	26.8%	7.7%	20.0%	26.7%	27.8%	-7.0%	-1.3%	2.6K	-3.3K	-496	1.53	108.22	N/A	N/A	57	87	176	170
2017-01-05	$13.15	$12.50	31.9%	7.2%	20.2%	36.5%	22.7%	4.9%	3.9%	2.6K	365	-498	1.53	107.20	N/A	N/A	57	87	176	170
2017-01-06	$13.02	$12.50	35.3%	7.7%	18.5%	43.0%	26.8%	-0.5%	-5.2%	4.1K	15.7K	-516	1.53	91.35	N/A	N/A	57	87	176	170
2017-01-09	$12.70	$12.50	31.1%	7.4%	20.6%	35.0%	26.0%	3.4%	-4.5%	4.0K	36.4K	-491	1.53	108.07	N/A	N/A	57	87	176	170
2017-01-10	$12.86	$12.50	29.1%	7.3%	20.9%	31.1%	23.8%	-3.3%	0.8%	2.7K	37.2K	-487	1.53	106.92	N/A	N/A	57	87	176	170
2017-01-11	$12.87	$12.50	27.0%	7.7%	20.9%	27.1%	25.3%	-2.9%	0.4%	3.4K	32.3K	-482	1.53	108.80	N/A	N/A	57	87	176	170
2017-01-12	$12.90	$12.50	22.4%	6.4%	20.0%	18.4%	20.9%	-3.7%	4.9%	2.1K	28.1K	-476	1.53	110.74	N/A	N/A	57	87	176	170
2017-01-13	$12.91	$12.50	24.1%	6.9%	18.3%	21.8%	22.7%	-2.6%	0.2%	3.7K	26.5K	-473	1.53	106.58	N/A	N/A	57	87	176	170
2017-01-17	$12.94	$12.50	22.0%	6.3%	18.1%	17.6%	18.5%	1.0%	-2.3%	5.3K	-2.1K	-400	1.53	113.76	N/A	N/A	57	87	176	170
2017-01-18	$12.85	$12.50	21.0%	6.0%	17.9%	15.8%	19.2%	-1.5%	2.1%	2.5K	7.5K	-417	1.53	112.52	N/A	N/A	57	87	176	170
2017-01-19	$12.79	$12.50	22.5%	6.4%	17.3%	18.6%	20.8%	0.3%	3.1%	661	25.0K	-405	1.53	113.08	N/A	N/A	57	87	161	170
2017-01-20	$12.83	$12.50	28.2%	8.1%	17.3%	29.5%	27.0%	-3.6%	-2.8%	5.9K	8.3K	-396	1.53	94.28	N/A	N/A	57	87	161	170
2017-01-23	$12.94	$12.50	26.5%	7.6%	15.7%	26.1%	26.6%	-2.1%	-2.9%	6.4K	-110.1K	-383	0.25	112.82	N/A	N/A	57	14	161	40
2017-01-24	$13.01	$12.50	28.8%	8.2%	15.7%	30.6%	23.4%	6.2%	-3.1%	6.4K	-137.0K	-413	0.25	110.19	N/A	N/A	57	14	176	40
2017-01-25	$13.01	$12.50	26.2%	7.5%	15.7%	25.6%	25.9%	4.5%	-7.0%	6.9K	-126.2K	-421	0.25	105.69	N/A	N/A	57	14	176	40
2017-01-26	$12.96	$12.50	32.2%	9.2%	15.7%	37.1%	29.0%	4.6%	-6.0%	5.9K	-128.7K	-423	0.25	107.88	N/A	N/A	57	14	176	40
2017-01-27	$12.85	$12.50	27.2%	7.8%	16.0%	27.6%	27.1%	-2.2%	0.8%	6.4K	-107.4K	-432	0.25	112.59	N/A	N/A	57	14	176	40
2017-01-30	$12.73	$12.50	27.7%	7.9%	15.9%	28.5%	23.9%	-4.7%	-2.1%	7.8K	-105.1K	-420	0.25	107.65	N/A	N/A	57	14	176	40
2017-01-31	$12.77	$12.50	32.9%	9.4%	15.4%	38.5%	31.5%	-7.7%	-8.8%	7.2K	-125.4K	-403	1.02	107.47	N/A	N/A	57	58	176	40