FSP Options History — March 2017

In March 2017, FSP traded between $11.47 and $12.52. ATM implied volatility averaged 29.2%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.5% (HV 20d: 20.8%). Max pain ranged from $12.50 to $22.50. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 3.31.

Notable Days

2017-03-02: Highest Volume — 161 contracts
2017-03-15: Largest IV drop — 62.0% change
2017-03-14: Highest IV Rank — 100.0%
2017-03-27: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.91	$11.47	$12.52	$12.46	$12.14
Max Pain	$16.30	$12.50	$22.50	$12.50	$22.50
ATM IV	29.2%	17.7%	69.9%	23.8%	21.1%
Expected Move	6.6%	5.1%	7.8%	6.8%	6.1%
HV 20d	20.8%	15.0%	23.7%	17.0%	23.7%
HV 60d	17.8%	16.1%	18.5%	17.2%	18.2%
IV Rank	30.1%	9.5%	100.0%	21.2%	14.7%
IV Percentile	43.8%	4.0%	100.0%	31.0%	15.9%
Term Structure	1.1%	-7.0%	8.7%	3.6%	4.5%
VWIV	25.6%	17.7%	46.6%	23.8%	22.7%
Skew 25d	0.7%	-37.6%	17.4%	-5.5%	10.6%
Skew 10d	0.6%	-64.3%	16.0%	-9.1%	3.5%
Call IV 25d	26.2%	18.7%	55.3%	29.3%	18.7%
Put IV 25d	26.9%	17.7%	37.3%	23.8%	29.4%
Bid-Ask Spread %	51.34	16.96	111.90	43.20	36.50
Gamma HHI	0.85	0.59	1.00	0.96	0.96
Net GEX	1.7K	-1.5K	8.6K	6.2K	-1.5K
Net DEX	64.1K	-38.1K	133.0K	-31.6K	87.3K
Net VEX	-254	-443	-133	-443	-254
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.31	1.04	6.73	1.04	3.44
Total Volume	111.87	69	161	157	80
Total OI	247.435	136	331	305	182

Daily Data (23 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
2017-03-01	$12.46	$12.50	23.8%	6.8%	17.0%	21.2%	23.8%	-5.5%	3.6%	6.2K	-31.6K	-443	1.04	43.20	N/A	N/A	77	80	189	116
2017-03-02	$12.52	$12.50	20.8%	6.0%	15.0%	15.3%	20.8%	-7.7%	0.4%	7.6K	-38.1K	-434	1.33	23.97	N/A	N/A	69	92	189	116
2017-03-03	$12.44	$12.50	17.7%	5.1%	15.1%	9.5%	17.7%	-37.6%	4.9%	8.6K	-11.2K	-425	1.33	44.53	N/A	N/A	69	92	191	128
2017-03-06	$12.33	$15.00	22.9%	7.6%	15.4%	19.4%	40.2%	2.5%	-5.9%	7.2K	3.4K	-390	1.33	111.90	N/A	N/A	69	92	191	128
2017-03-07	$12.35	$15.00	29.1%	6.6%	15.4%	31.2%	34.9%	2.5%	0.8%	6.2K	11.7K	-373	2.30	105.19	N/A	N/A	40	92	191	128
2017-03-08	$11.93	$15.00	40.6%	5.6%	19.6%	53.0%	46.6%	0.8%	3.4%	4.8K	28.0K	-331	2.30	27.24	N/A	N/A	40	92	191	128
2017-03-09	$11.59	$15.00	39.5%	6.5%	21.7%	51.0%	23.8%	-0.8%	-3.9%	2.4K	85.3K	-246	2.09	28.23	N/A	N/A	44	92	191	128
2017-03-10	$11.52	$15.00	42.4%	7.1%	21.7%	56.5%	26.6%	5.2%	-2.3%	2.2K	102.7K	-195	2.09	40.92	N/A	N/A	44	92	195	128
2017-03-13	$11.53	$15.00	59.2%	5.8%	21.3%	88.5%	28.5%	8.6%	3.3%	2.3K	85.3K	-227	2.09	47.93	N/A	N/A	44	92	195	128
2017-03-14	$11.47	$15.00	69.9%	6.6%	21.3%	100.0%	18.0%	0.3%	6.7%	199	129.3K	-133	1.82	36.75	N/A	N/A	44	80	195	128
2017-03-15	$11.63	$15.00	26.6%	7.6%	21.9%	24.2%	24.8%	-2.8%	-1.0%	389	125.9K	-133	1.82	37.42	N/A	N/A	44	80	195	124
2017-03-16	$11.70	$15.00	24.4%	7.0%	21.0%	20.5%	20.5%	1.6%	2.1%	428	124.4K	-146	1.86	51.77	N/A	N/A	44	82	195	124
2017-03-17	$11.99	$15.00	24.6%	7.0%	22.9%	20.7%	25.8%	1.1%	0.6%	152	133.0K	-191	4.67	50.93	N/A	N/A	24	112	195	136
2017-03-20	$11.88	$15.00	22.2%	6.4%	22.9%	16.5%	18.9%	5.5%	-2.7%	-988	55.7K	-217	5.27	60.99	N/A	N/A	11	58	52	84
2017-03-21	$11.77	$15.00	26.8%	7.7%	22.2%	24.7%	24.3%	-12.0%	-7.0%	-827	57.4K	-223	5.27	62.10	N/A	N/A	11	58	55	84
2017-03-22	$11.65	$15.00	22.0%	6.3%	22.4%	16.2%	24.5%	11.7%	8.0%	-783	65.4K	-188	5.27	104.02	N/A	N/A	11	58	55	84
2017-03-23	$11.86	$15.00	22.3%	6.4%	23.0%	16.6%	23.3%	0.8%	5.5%	-948	58.5K	-223	5.27	35.97	N/A	N/A	11	58	55	84
2017-03-24	$11.86	$15.00	20.3%	5.8%	23.0%	13.3%	23.0%	13.0%	3.2%	-891	56.1K	-213	6.73	105.33	N/A	N/A	11	74	55	84
2017-03-27	$11.70	$22.50	27.1%	7.8%	23.0%	25.2%	25.8%	-7.3%	-1.8%	-776	76.1K	-205	6.73	52.89	N/A	N/A	11	74	55	100
2017-03-28	$11.80	$22.50	24.8%	7.1%	22.7%	21.2%	27.5%	5.5%	-2.5%	-710	80.1K	-181	4.27	18.80	N/A	N/A	15	64	55	100
2017-03-29	$11.80	$22.50	20.6%	5.9%	22.4%	13.8%	21.4%	2.1%	-2.7%	-947	98.3K	-220	3.87	16.96	N/A	N/A	15	58	62	120
2017-03-30	$11.96	$22.50	23.7%	6.8%	23.0%	19.3%	26.5%	17.4%	8.7%	-1.2K	92.2K	-248	3.87	37.22	N/A	N/A	15	58	62	120
2017-03-31	$12.14	$22.50	21.1%	6.1%	23.7%	14.7%	22.7%	10.6%	4.5%	-1.5K	87.3K	-254	3.44	36.50	N/A	N/A	18	62	62	120