FSP Options History — May 2017 In May 2017, FSP traded between $10.79 and $12.04. ATM implied volatility averaged 26.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.3% (HV 20d: 22.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.95.
Notable Days 2017-05-15 : Highest Volume — 115 contracts2017-05-10 : Largest IV drop — 43.5% change2017-05-05 : Highest IV Rank — 55.4%2017-05-31 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $11.28 $10.79 $12.04 $12.04 $11.24 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 26.5% 17.1% 44.4% 24.6% 29.4% Expected Move 6.7% 4.9% 8.4% 7.0% 8.4% HV 20d 22.1% 15.6% 24.5% 17.1% 24.2% HV 60d 21.2% 18.7% 22.1% 18.7% 21.6% IV Rank 24.1% 7.6% 55.4% 20.7% 29.2% IV Percentile 48.1% 2.8% 96.0% 43.7% 76.2% Term Structure -4.3% -16.9% 4.6% -3.7% -0.9% VWIV 23.8% 14.4% 32.0% 24.9% 32.0% Skew 25d 1.0% -13.7% 7.8% 5.3% 0.2% Skew 10d 1.1% -8.2% 9.5% 1.8% 1.3% Call IV 25d 22.6% 16.1% 32.2% 26.8% 24.3% Put IV 25d 23.6% 15.1% 32.5% 32.1% 24.6% Bid-Ask Spread % 31.39 12.63 89.85 29.81 13.51 Gamma HHI 0.69 0.53 0.92 0.53 0.56 Net GEX -638 -946 -185 -487 -372 Net DEX 65.4K 19.1K 83.1K 19.1K 67.1K Net VEX -189 -326 -138 -326 -176 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.95 2.29 3.60 3.60 3.48 Total Volume 105.364 92 115 92 103 Total OI 191.636 179 206 183 191
Daily Data (22 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 2017-05-01 $12.04 $12.50 24.6% 7.0% 17.1% 20.7% 24.9% 5.3% -3.7% -487 19.1K -326 3.60 29.81 N/A N/A 20 72 87 96 2017-05-02 $11.91 $12.50 26.3% 7.5% 15.6% 23.8% 24.8% 4.3% -5.7% -695 25.9K -326 3.43 26.79 N/A N/A 21 72 87 96 2017-05-03 $11.77 $12.50 24.1% 6.9% 16.1% 19.9% 20.6% 7.8% 4.6% -299 39.1K -294 2.57 83.66 N/A N/A 28 72 87 96 2017-05-04 $11.23 $12.50 33.4% 6.0% 22.7% 36.2% 20.5% 0.5% -8.1% -298 69.7K -170 2.57 16.87 N/A N/A 28 72 83 96 2017-05-05 $11.25 $12.50 44.4% 5.8% 22.2% 55.4% 20.1% -0.9% -7.6% -185 69.1K -160 2.57 33.13 N/A N/A 28 72 83 96 2017-05-08 $11.04 $12.50 36.4% 6.3% 22.1% 41.4% 18.0% -0.6% -10.9% -223 74.1K -138 2.86 35.07 N/A N/A 28 80 83 96 2017-05-09 $10.88 $12.50 40.6% 6.6% 22.2% 48.8% 20.1% -13.7% -4.8% -846 83.1K -152 2.86 36.30 N/A N/A 28 80 83 116 2017-05-10 $11.03 $12.50 22.9% 6.6% 21.6% 17.8% 22.5% 0.3% -5.9% -812 73.7K -170 2.86 21.60 N/A N/A 28 80 83 112 2017-05-11 $10.88 $12.50 20.5% 5.9% 21.6% 13.6% 18.6% -0.9% 0.1% -887 77.2K -169 2.86 15.97 N/A N/A 28 80 83 112 2017-05-12 $10.79 $12.50 17.1% 4.9% 21.5% 7.6% 14.4% -4.2% 2.6% -852 75.4K -162 2.42 13.65 N/A N/A 33 80 83 112 2017-05-15 $10.96 $12.50 20.6% 5.9% 22.6% 13.9% 20.4% 1.3% -4.2% -706 78.1K -145 2.29 16.17 N/A N/A 35 80 88 112 2017-05-16 $11.03 $12.50 23.8% 6.8% 22.0% 19.4% 24.7% 1.9% -9.8% -503 64.5K -205 2.42 18.14 N/A N/A 33 80 94 112 2017-05-17 $11.02 $12.50 24.4% 7.0% 21.6% 20.4% 23.3% 0.8% -4.7% -706 77.0K -147 2.42 16.23 N/A N/A 33 80 89 112 2017-05-18 $11.30 $12.50 25.4% 7.3% 24.0% 22.1% 29.2% 7.7% -1.3% -798 73.2K -165 2.42 16.37 N/A N/A 33 80 89 112 2017-05-19 $11.31 $12.50 27.6% 7.9% 24.0% 26.1% 25.6% -7.4% -16.9% -844 66.5K -201 2.42 38.33 N/A N/A 33 80 89 112 2017-05-22 $11.46 $12.50 23.0% 6.6% 24.5% 18.0% 27.4% 5.8% 2.0% -789 66.6K -206 3.48 88.69 N/A N/A 23 80 79 112 2017-05-23 $11.47 $12.50 22.4% 6.4% 24.5% 16.9% 26.7% 0.7% 1.8% -768 66.9K -203 3.48 89.85 N/A N/A 23 80 79 112 2017-05-24 $11.45 $12.50 19.9% 5.7% 24.3% 12.6% 23.2% 6.0% -1.8% -660 62.3K -203 3.48 33.41 N/A N/A 23 80 79 112 2017-05-25 $11.45 $12.50 24.4% 7.0% 24.3% 20.5% 28.9% 3.7% -5.9% -946 68.7K -143 3.48 18.31 N/A N/A 23 80 79 112 2017-05-26 $11.37 $12.50 25.3% 7.2% 24.3% 22.0% 28.6% 2.1% -4.6% -825 70.7K -148 3.48 16.06 N/A N/A 23 80 79 112 2017-05-30 $11.33 $12.50 25.9% 7.4% 24.3% 23.1% 28.4% 1.6% -8.6% -528 70.7K -152 3.48 12.63 N/A N/A 23 80 79 112 2017-05-31 $11.24 $12.50 29.4% 8.4% 24.2% 29.2% 32.0% 0.2% -0.9% -372 67.1K -176 3.48 13.51 N/A N/A 23 80 79 112
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