FSP Options History — June 2017

In June 2017, FSP traded between $10.94 and $11.88. ATM implied volatility averaged 30.2%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.3% (HV 20d: 20.9%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 6.66.

Notable Days

  • 2017-06-14: Highest Volume — 198 contracts
  • 2017-06-14: Largest IV drop — 53.5% change
  • 2017-06-13: Highest IV Rank — 78.6%
  • 2017-06-28: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$10.94$11.88$11.50$11.08
Max Pain$19.32$12.50$20.00$12.50$20.00
ATM IV30.2%19.0%57.7%25.5%30.5%
Expected Move6.9%3.9%11.1%7.3%8.7%
HV 20d20.9%14.5%25.6%25.6%14.5%
HV 60d21.2%20.1%22.2%22.2%20.3%
IV Rank29.6%10.4%78.6%22.3%28.5%
IV Percentile63.1%6.0%99.2%55.2%77.4%
Term Structure-9.2%-36.5%6.5%-8.7%-10.5%
VWIV27.3%12.5%44.0%29.4%44.0%
Skew 25d-3.4%-24.7%24.5%4.3%-7.7%
Skew 10d6.8%-9.4%30.0%8.7%-9.4%
Call IV 25d24.8%13.7%45.3%27.0%34.2%
Put IV 25d21.5%15.1%41.8%31.3%26.5%
Bid-Ask Spread %32.899.27103.8415.4770.51
Gamma HHI0.730.400.960.730.81
Net GEX-1.3K-2.0K-295-758-1.7K
Net DEX198.3K63.4K244.4K63.4K210.3K
Net VEX-202-252-115-189-227
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.664.478.166.965.67
Total Volume161.136100198183100
Total OI303.818191374191303

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$11.50$12.5025.5%7.3%25.6%22.3%29.4%4.3%-8.7%-75863.4K-1896.9615.47N/AN/A2316079112
2017-06-02$11.88$12.5019.0%5.4%22.0%11.0%25.6%24.5%-2.5%-1.1K146.3K-1846.0935.27N/AN/A2314079192
2017-06-05$11.77$20.0021.3%3.9%22.4%15.0%25.9%1.4%6.5%-1.0K194.9K-1756.0913.13N/AN/A2314079232
2017-06-06$11.65$20.0026.2%5.1%21.6%23.6%31.6%-1.2%6.3%-937194.1K-1956.0917.03N/AN/A2314079232
2017-06-07$11.55$20.0032.0%4.4%21.0%33.6%18.9%0.6%6.3%-1.1K194.7K-1827.0011.51N/AN/A2316179232
2017-06-08$11.73$20.0037.1%6.7%21.1%42.6%26.9%-1.3%-9.2%-2.0K213.8K-2017.0040.86N/AN/A2316179253
2017-06-09$11.48$20.0039.3%4.4%22.1%46.4%12.5%-5.2%-1.0%-1.2K212.3K-1917.0036.21N/AN/A2316179253
2017-06-12$11.48$20.0040.9%4.9%21.8%49.4%22.0%-2.4%4.0%-295222.8K-1335.7877.96N/AN/A2313379253
2017-06-13$11.34$20.0057.7%5.4%21.9%78.6%24.0%5.8%2.9%-587233.1K-1155.7838.86N/AN/A2313379253
2017-06-14$11.28$20.0026.8%7.7%22.0%24.6%24.7%-6.1%-8.4%-551229.8K-1497.6156.09N/AN/A2317579253
2017-06-15$11.27$20.0022.4%6.4%22.0%16.8%26.9%-1.9%-1.5%-1.2K239.7K-2527.6119.96N/AN/A2317579295
2017-06-16$11.19$20.0025.7%7.4%20.2%22.7%26.9%-4.3%-13.3%-1.2K244.4K-2337.6116.92N/AN/A2317579295
2017-06-19$11.03$20.0024.9%7.1%20.8%21.3%24.2%-10.7%-15.3%-1.5K187.1K-2488.1614.83N/AN/A1915544237
2017-06-20$10.98$20.0027.9%8.0%20.1%26.6%25.1%-5.5%-15.4%-1.6K192.4K-2188.1634.27N/AN/A1915544237
2017-06-21$10.98$20.0020.6%5.9%20.1%10.4%25.3%-3.6%-6.7%-1.5K193.9K-2197.1612.16N/AN/A1913644237
2017-06-22$11.04$20.0024.9%7.1%20.3%18.3%19.1%1.2%-9.2%-2.0K189.0K-2317.1633.45N/AN/A1913644238
2017-06-23$11.08$20.0028.8%8.2%20.3%25.3%30.8%-9.9%-20.8%-1.5K186.4K-2446.6313.93N/AN/A1912644238
2017-06-26$11.15$20.0033.2%9.5%20.4%33.3%26.8%-10.7%-28.3%-1.6K204.1K-2176.169.27N/AN/A1911744248
2017-06-27$11.06$20.0025.9%7.4%20.6%20.0%26.1%1.1%-14.3%-1.9K201.1K-2176.1634.59N/AN/A1911744249
2017-06-28$11.04$20.0038.7%11.1%20.4%43.4%40.6%-24.7%-36.5%-1.9K205.3K-2096.16103.84N/AN/A1911744249
2017-06-29$10.94$20.0035.0%10.0%18.5%36.6%43.1%-18.0%-26.2%-1.8K203.1K-2254.4717.44N/AN/A198544249
2017-06-30$11.08$20.0030.5%8.7%14.5%28.5%44.0%-7.7%-10.5%-1.7K210.3K-2275.6770.51N/AN/A158544259