FSP Options History — August 2017

In August 2017, FSP traded between $9.74 and $10.56. ATM implied volatility averaged 21.5%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.9% (HV 20d: 22.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.57.

Notable Days

2017-08-18: Highest Volume — 113 contracts
2017-08-22: Largest IV spike — 59.0% change
2017-08-02: Highest IV Rank — 30.9%
2017-08-02: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.03	$9.74	$10.56	$10.56	$9.92
Max Pain	$12.39	$10.00	$12.50	$10.00	$12.50
ATM IV	21.5%	15.5%	32.5%	30.4%	15.5%
Expected Move	6.1%	4.4%	9.3%	8.7%	4.4%
HV 20d	22.4%	17.2%	24.9%	17.2%	21.8%
HV 60d	20.3%	18.9%	21.3%	18.9%	19.5%
IV Rank	10.5%	0.0%	30.9%	27.0%	0.0%
IV Percentile	23.8%	0.0%	79.4%	75.4%	0.0%
Term Structure	0.9%	-7.8%	9.0%	-1.8%	8.1%
VWIV	21.8%	14.6%	34.9%	34.9%	16.3%
Skew 25d	12.9%	-41.8%	63.7%	3.2%	-41.8%
Skew 10d	22.9%	-81.5%	115.8%	81.6%	-81.5%
Call IV 25d	36.2%	20.1%	60.4%	31.8%	58.1%
Put IV 25d	49.2%	16.3%	102.2%	35.0%	16.3%
Bid-Ask Spread %	66.75	18.11	108.10	60.01	77.58
Gamma HHI	0.87	0.61	0.93	0.61	0.90
Net GEX	-7.2K	-11.5K	-1.8K	-1.8K	-7.9K
Net DEX	72.9K	32.2K	124.1K	32.2K	71.3K
Net VEX	-293	-337	-241	-254	-271
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.57	0.58	5.93	5.86	0.58
Total Volume	87.522	52	113	96	52
Total OI	295.435	235	327	235	282

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
2017-08-01	$10.56	$0.00	30.4%	8.7%	17.2%	27.0%	34.9%	3.2%	-1.8%	-1.8K	32.2K	-254	5.86	60.01	N/A	N/A	14	82	128	107
2017-08-02	$10.19	$10.00	32.5%	9.3%	19.6%	30.9%	32.8%	-12.7%	-7.8%	-5.5K	59.1K	-316	5.93	108.10	N/A	N/A	14	83	128	157
2017-08-03	$10.20	$12.50	17.9%	5.6%	19.0%	3.8%	20.9%	1.4%	1.4%	-8.8K	61.5K	-318	5.93	73.24	N/A	N/A	14	83	128	168
2017-08-04	$10.38	$12.50	16.0%	5.0%	20.4%	0.4%	20.0%	2.5%	4.8%	-6.2K	44.1K	-313	5.93	62.89	N/A	N/A	14	83	128	168
2017-08-07	$10.12	$12.50	18.3%	5.5%	21.9%	4.6%	19.3%	35.3%	3.3%	-8.7K	69.1K	-311	3.07	29.51	N/A	N/A	27	83	128	168
2017-08-08	$10.10	$12.50	26.7%	6.0%	21.0%	20.1%	21.3%	61.9%	0.3%	-8.5K	73.8K	-326	2.96	75.74	N/A	N/A	28	83	131	178
2017-08-09	$9.91	$12.50	31.5%	9.0%	21.4%	28.9%	31.7%	13.5%	-7.4%	-8.1K	86.3K	-308	2.96	95.96	N/A	N/A	28	83	132	178
2017-08-10	$10.06	$12.50	28.6%	8.2%	22.2%	23.6%	28.7%	48.8%	-5.4%	-9.2K	82.9K	-300	2.82	86.02	N/A	N/A	28	79	132	178
2017-08-11	$10.00	$12.50	18.2%	5.2%	21.5%	4.4%	18.2%	44.4%	4.4%	-11.5K	90.9K	-318	2.82	35.24	N/A	N/A	28	79	132	183
2017-08-14	$10.28	$12.50	19.3%	5.5%	23.4%	6.4%	19.6%	12.4%	2.0%	-9.0K	54.5K	-311	2.63	52.03	N/A	N/A	30	79	132	183
2017-08-15	$10.25	$12.50	19.1%	5.5%	23.4%	6.1%	19.2%	11.5%	2.0%	-9.3K	50.7K	-319	2.68	76.81	N/A	N/A	28	75	137	183
2017-08-16	$10.12	$12.50	24.7%	7.1%	23.5%	16.4%	24.6%	43.5%	-2.7%	-10.2K	70.9K	-337	2.75	72.66	N/A	N/A	28	77	140	184
2017-08-17	$9.94	$12.50	19.9%	5.7%	23.5%	7.5%	19.2%	-12.4%	1.1%	-9.1K	90.1K	-315	2.75	69.76	N/A	N/A	28	77	140	187
2017-08-18	$9.78	$12.50	20.3%	5.8%	23.9%	8.2%	20.1%	63.7%	0.8%	-5.0K	124.1K	-277	2.42	18.11	N/A	N/A	33	80	140	187
2017-08-21	$9.85	$12.50	16.4%	4.7%	24.2%	1.0%	16.8%	53.5%	9.0%	-6.6K	78.1K	-272	0.91	87.46	N/A	N/A	33	30	140	141
2017-08-22	$9.82	$12.50	26.0%	7.5%	24.2%	18.8%	25.8%	11.6%	-4.2%	-4.9K	75.9K	-273	0.91	83.34	N/A	N/A	33	30	140	141
2017-08-23	$9.94	$12.50	19.9%	5.7%	24.9%	7.4%	19.9%	-7.6%	2.1%	-5.8K	70.2K	-285	0.91	34.81	N/A	N/A	33	30	140	141
2017-08-24	$9.95	$12.50	17.7%	5.1%	24.9%	3.3%	17.2%	37.0%	2.3%	-6.3K	67.5K	-298	0.91	49.50	N/A	N/A	33	30	140	141
2017-08-25	$9.87	$12.50	17.5%	5.0%	24.3%	3.1%	17.5%	-41.3%	3.5%	-6.5K	72.1K	-284	0.91	98.34	N/A	N/A	33	30	140	141
2017-08-28	$9.80	$12.50	21.4%	6.1%	24.2%	10.3%	21.3%	-22.2%	0.4%	-5.8K	84.1K	-251	0.91	47.78	N/A	N/A	33	30	140	141
2017-08-29	$9.74	$12.50	19.6%	5.6%	24.2%	6.8%	14.6%	-0.5%	-2.9%	-5.7K	86.0K	-241	0.91	56.65	N/A	N/A	33	30	140	141
2017-08-30	$9.82	$12.50	17.2%	4.9%	21.4%	2.4%	20.8%	-8.0%	7.3%	-6.3K	80.8K	-250	0.58	83.71	N/A	N/A	33	19	140	141
2017-08-31	$9.92	$12.50	15.5%	4.4%	21.8%	0.0%	16.3%	-41.8%	8.1%	-7.9K	71.3K	-271	0.58	77.58	N/A	N/A	33	19	140	142