FSP Options History — July 2017

In July 2017, FSP traded between $10.62 and $11.30. ATM implied volatility averaged 30.3%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 12.2% (HV 20d: 18.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.71.

Notable Days

2017-07-12: Highest Volume — 149 contracts
2017-07-20: Largest IV spike — 67.1% change
2017-07-07: Highest IV Rank — 53.7%
2017-07-05: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.83	$10.62	$11.30	$11.30	$10.63
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	30.3%	19.6%	44.4%	33.4%	19.9%
Expected Move	8.0%	5.6%	12.1%	9.6%	5.7%
HV 20d	18.1%	15.8%	19.4%	16.5%	18.9%
HV 60d	20.8%	18.9%	21.1%	20.6%	18.9%
IV Rank	27.5%	6.9%	53.7%	33.7%	7.6%
IV Percentile	61.0%	5.6%	96.8%	82.5%	7.1%
Term Structure	-7.1%	-29.1%	0.2%	-9.2%	-1.5%
VWIV	43.9%	42.0%	45.9%	42.0%	45.9%
Skew 25d	-6.5%	-59.7%	8.1%	-3.1%	-59.7%
Skew 10d	-1.6%	-93.7%	27.8%	-2.5%	-93.7%
Call IV 25d	35.1%	18.9%	97.8%	30.5%	97.8%
Put IV 25d	28.7%	19.0%	38.1%	27.4%	38.1%
Bid-Ask Spread %	86.89	17.82	112.54	38.05	71.93
Gamma HHI	0.62	0.50	0.89	0.89	0.56
Net GEX	-1.2K	-2.0K	-251	-1.7K	-1.4K
Net DEX	145.6K	18.9K	212.6K	210.4K	28.3K
Net VEX	-280	-343	-212	-212	-259
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.33	5.67	5.67	0.42
Total Volume	123.85	100	149	100	108
Total OI	314.2	232	399	299	235

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
2017-07-03	$11.30	$20.00	33.4%	9.6%	16.5%	33.7%	42.0%	-3.1%	-9.2%	-1.7K	210.4K	-212	5.67	38.05	N/A	N/A	15	85	40	259
2017-07-05	$11.05	$20.00	42.1%	12.1%	17.8%	49.6%	45.9%	-8.1%	-13.4%	-1.7K	212.6K	-225	5.67	97.01	N/A	N/A	15	85	40	259
2017-07-06	$10.86	$0.00	37.7%	8.0%	18.4%	41.5%	0.0%	8.1%	-8.1%	-1.8K	208.2K	-212	5.67	70.76	N/A	N/A	15	85	41	259
2017-07-07	$10.85	$0.00	44.4%	10.1%	17.1%	53.7%	0.0%	2.9%	-9.3%	-1.8K	208.5K	-226	2.24	64.30	N/A	N/A	38	85	41	259
2017-07-10	$10.86	$0.00	42.5%	7.7%	15.8%	50.2%	0.0%	3.6%	-6.2%	-1.7K	206.0K	-243	2.24	83.91	N/A	N/A	38	85	65	259
2017-07-11	$10.64	$0.00	37.8%	7.9%	17.0%	41.8%	0.0%	7.9%	-0.1%	-2.0K	211.0K	-244	2.06	83.21	N/A	N/A	34	70	65	259
2017-07-12	$10.72	$0.00	28.6%	8.2%	17.1%	25.0%	0.0%	4.4%	0.2%	-1.7K	210.3K	-241	1.01	102.62	N/A	N/A	74	75	64	259
2017-07-13	$10.77	$0.00	28.6%	8.2%	17.3%	25.0%	0.0%	5.8%	-2.1%	-1.1K	205.5K	-315	1.01	99.25	N/A	N/A	74	75	128	269
2017-07-14	$10.90	$0.00	34.4%	9.9%	18.0%	35.5%	0.0%	7.6%	-13.1%	-803	203.2K	-312	1.01	103.28	N/A	N/A	74	75	129	269
2017-07-17	$11.06	$0.00	30.0%	8.6%	18.8%	27.6%	0.0%	-7.8%	-10.6%	-251	199.8K	-343	1.01	111.97	N/A	N/A	74	75	129	269
2017-07-18	$11.05	$0.00	26.6%	7.6%	18.1%	21.4%	0.0%	-7.2%	-13.0%	-510	201.1K	-328	1.01	100.20	N/A	N/A	74	75	130	269
2017-07-19	$10.94	$0.00	20.1%	5.8%	18.3%	9.6%	0.0%	2.2%	-6.5%	-362	197.7K	-319	1.01	17.82	N/A	N/A	74	75	130	269
2017-07-20	$10.75	$0.00	33.6%	9.6%	19.4%	32.9%	0.0%	-15.1%	-29.1%	-725	150.1K	-312	1.01	109.04	N/A	N/A	74	75	130	227
2017-07-21	$10.75	$0.00	19.6%	5.6%	19.2%	6.9%	0.0%	-3.7%	-5.5%	-730	105.7K	-300	1.01	97.61	N/A	N/A	74	75	130	186
2017-07-24	$10.68	$0.00	21.8%	6.3%	19.2%	11.1%	0.0%	-3.6%	-5.8%	-1.2K	39.6K	-276	0.43	62.87	N/A	N/A	74	32	130	116
2017-07-25	$10.68	$0.00	26.4%	7.6%	19.0%	19.6%	0.0%	-11.1%	-2.9%	-623	30.8K	-322	0.43	111.66	N/A	N/A	74	32	130	116
2017-07-26	$10.67	$0.00	32.5%	9.3%	18.8%	30.9%	0.0%	-6.3%	-6.4%	-610	27.8K	-322	0.43	112.54	N/A	N/A	74	32	130	116
2017-07-27	$10.62	$0.00	21.2%	6.1%	18.9%	10.0%	0.0%	-40.0%	-0.5%	-1.4K	37.2K	-283	0.42	89.54	N/A	N/A	76	32	130	116
2017-07-28	$10.75	$0.00	24.5%	7.0%	19.3%	16.0%	0.0%	-6.6%	0.2%	-1.6K	18.9K	-302	0.33	110.30	N/A	N/A	76	25	128	104
2017-07-31	$10.63	$0.00	19.9%	5.7%	18.9%	7.6%	0.0%	-59.7%	-1.5%	-1.4K	28.3K	-259	0.42	71.93	N/A	N/A	76	32	128	107