FSP Options History — February 2017

In February 2017, FSP traded between $12.07 and $12.59. ATM implied volatility averaged 24.9%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 10.9% (HV 20d: 14.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2017-02-17: Highest Volume — 168 contracts
2017-02-06: Largest IV spike — 51.8% change
2017-02-06: Highest IV Rank — 40.5%
2017-02-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.40	$12.07	$12.59	$12.48	$12.36
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	24.9%	20.4%	34.0%	30.1%	23.5%
Expected Move	7.1%	5.9%	8.6%	8.6%	6.7%
HV 20d	14.0%	10.9%	17.2%	17.2%	16.7%
HV 60d	19.8%	17.4%	22.2%	22.2%	17.5%
IV Rank	23.1%	14.6%	40.5%	33.2%	20.6%
IV Percentile	35.6%	11.1%	79.8%	66.3%	27.8%
Term Structure	-1.1%	-10.9%	5.5%	-10.9%	-0.4%
VWIV	24.9%	20.1%	36.7%	36.7%	23.4%
Skew 25d	14.7%	-5.4%	92.2%	-0.8%	-5.4%
Skew 10d	22.2%	-9.9%	135.6%	7.2%	-9.9%
Call IV 25d	28.3%	22.5%	45.1%	45.1%	28.4%
Put IV 25d	43.0%	23.0%	115.4%	44.3%	23.0%
Bid-Ask Spread %	58.78	16.02	111.68	111.68	33.09
Gamma HHI	0.89	0.68	0.97	0.93	0.96
Net GEX	2.6K	-2.7K	6.8K	3.8K	5.8K
Net DEX	-15.9K	-66.0K	75.5K	-57.0K	-9.0K
Net VEX	-488	-531	-432	-506	-432
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	1.02	1.63	1.02	1.04
Total Volume	146.789	115	168	115	157
Total OI	308.316	270	347	270	305

Daily Data (19 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
2017-02-01	$12.48	$12.50	30.1%	8.6%	17.2%	33.2%	36.7%	-0.8%	-10.9%	3.8K	-57.0K	-506	1.02	111.68	N/A	N/A	57	58	176	94
2017-02-02	$12.53	$12.50	32.0%	7.3%	15.0%	36.6%	25.5%	3.4%	-1.2%	3.9K	-54.1K	-503	1.02	100.63	N/A	N/A	57	58	176	94
2017-02-03	$12.51	$12.50	22.4%	8.3%	14.9%	18.4%	28.8%	3.4%	-4.4%	3.6K	-49.3K	-498	1.46	101.86	N/A	N/A	57	83	176	94
2017-02-06	$12.47	$12.50	34.0%	7.2%	14.7%	40.5%	25.2%	3.2%	-0.9%	2.0K	-25.8K	-501	1.46	103.05	N/A	N/A	57	83	176	119
2017-02-07	$12.46	$12.50	24.1%	8.4%	11.9%	21.7%	29.2%	0.1%	-4.1%	657	-22.9K	-492	1.63	20.50	N/A	N/A	57	93	176	119
2017-02-08	$12.39	$12.50	25.4%	7.3%	10.9%	24.1%	25.3%	3.9%	-1.0%	1.2K	-24.6K	-523	1.54	31.07	N/A	N/A	57	88	176	129
2017-02-09	$12.40	$12.50	26.9%	7.7%	10.9%	26.9%	26.6%	9.1%	-4.5%	-480	-21.6K	-531	1.54	54.76	N/A	N/A	57	88	176	149
2017-02-10	$12.50	$12.50	26.1%	7.5%	11.4%	25.5%	26.1%	67.0%	-2.7%	-2.7K	-3.1K	-521	1.54	27.61	N/A	N/A	57	88	176	149
2017-02-13	$12.50	$12.50	21.1%	6.1%	11.4%	16.0%	20.1%	-2.5%	-1.9%	-830	-24.2K	-506	1.54	35.12	N/A	N/A	57	88	176	149
2017-02-14	$12.33	$12.50	23.8%	6.8%	12.0%	21.1%	23.8%	2.1%	1.1%	-879	11.7K	-487	1.54	16.02	N/A	N/A	57	88	176	149
2017-02-15	$12.07	$12.50	23.9%	6.9%	13.7%	21.3%	22.8%	3.1%	-1.2%	1.1K	20.1K	-458	1.58	106.03	N/A	N/A	57	90	176	149
2017-02-16	$12.13	$12.50	20.4%	5.9%	14.0%	14.6%	20.2%	92.2%	4.8%	-828	75.5K	-448	1.58	64.94	N/A	N/A	57	90	176	171
2017-02-17	$12.22	$12.50	26.5%	7.6%	14.3%	26.3%	26.4%	-0.1%	-1.6%	3.5K	55.1K	-470	1.15	63.37	N/A	N/A	78	90	176	171
2017-02-21	$12.40	$12.50	20.7%	5.9%	15.1%	15.1%	20.5%	2.4%	5.5%	5.9K	-44.2K	-511	1.04	36.12	N/A	N/A	77	80	193	116
2017-02-22	$12.34	$12.50	23.1%	6.6%	14.8%	19.8%	23.1%	6.9%	-1.0%	5.1K	-13.8K	-479	1.04	110.04	N/A	N/A	77	80	189	116
2017-02-23	$12.48	$12.50	21.9%	6.3%	15.6%	17.5%	21.9%	89.5%	1.8%	6.0K	-26.4K	-481	1.04	24.89	N/A	N/A	77	80	189	116
2017-02-24	$12.50	$12.50	23.7%	6.8%	15.7%	20.8%	24.1%	-1.2%	0.5%	6.8K	-22.9K	-468	1.04	53.47	N/A	N/A	77	80	189	116
2017-02-27	$12.59	$12.50	23.1%	6.6%	15.8%	19.7%	23.0%	2.2%	1.7%	5.9K	-66.0K	-456	1.04	22.57	N/A	N/A	77	80	189	116
2017-02-28	$12.36	$12.50	23.5%	6.7%	16.7%	20.6%	23.4%	-5.4%	-0.4%	5.8K	-9.0K	-432	1.04	33.09	N/A	N/A	77	80	189	116