FSP Options History — September 2017

In September 2017, FSP traded between $9.87 and $10.61. ATM implied volatility averaged 23.0%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.2% (HV 20d: 15.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.95.

Notable Days

2017-09-26: Highest Volume — 381 contracts
2017-09-11: Largest IV spike — 98.5% change
2017-09-11: Highest IV Rank — 37.3%
2017-09-01: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.11	$9.87	$10.61	$9.96	$10.61
Max Pain	$11.50	$10.00	$12.50	$12.50	$10.00
ATM IV	23.0%	14.6%	35.8%	30.3%	19.3%
Expected Move	6.0%	4.2%	8.7%	8.7%	5.5%
HV 20d	15.8%	13.5%	20.8%	20.8%	15.0%
HV 60d	19.3%	18.7%	20.1%	19.2%	19.0%
IV Rank	14.5%	0.0%	37.3%	27.3%	8.5%
IV Percentile	34.2%	0.0%	85.7%	73.4%	9.5%
Term Structure	-1.8%	-17.1%	4.6%	-3.0%	-3.3%
VWIV	19.8%	13.1%	30.3%	30.3%	17.2%
Skew 25d	6.0%	-54.1%	65.4%	4.6%	-54.1%
Skew 10d	19.2%	-74.6%	109.7%	6.9%	-74.6%
Call IV 25d	30.6%	24.4%	74.7%	49.9%	74.7%
Put IV 25d	36.6%	13.9%	93.8%	54.5%	20.6%
Bid-Ask Spread %	82.55	35.16	109.02	109.02	71.85
Gamma HHI	0.92	0.81	0.99	0.88	0.96
Net GEX	-9.6K	-17.6K	-3.1K	-5.2K	-16.4K
Net DEX	67.7K	35.8K	104.2K	66.1K	61.4K
Net VEX	-542	-960	-256	-269	-883
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.95	0.29	8.05	0.68	8.05
Total Volume	213.8	47	381	47	380
Total OI	427.3	282	692	282	692

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
2017-09-01	$9.96	$12.50	30.3%	8.7%	20.8%	27.3%	30.3%	4.6%	-3.0%	-5.2K	66.1K	-269	0.68	109.02	N/A	N/A	28	19	140	142
2017-09-05	$9.90	$0.00	29.8%	6.5%	18.9%	26.3%	0.0%	7.5%	-1.9%	-5.6K	69.2K	-256	0.29	95.59	N/A	N/A	72	21	143	142
2017-09-06	$9.90	$0.00	25.9%	5.1%	18.9%	19.1%	0.0%	5.7%	0.9%	-5.4K	53.5K	-379	0.29	95.98	N/A	N/A	72	21	188	144
2017-09-07	$9.91	$0.00	27.0%	6.1%	17.7%	21.3%	0.0%	10.8%	-1.9%	-8.7K	57.4K	-368	0.29	104.86	N/A	N/A	72	21	188	144
2017-09-08	$9.95	$0.00	18.0%	6.5%	16.9%	4.7%	0.0%	7.6%	-1.4%	-8.8K	50.1K	-375	0.29	85.45	N/A	N/A	72	21	188	144
2017-09-11	$9.99	$0.00	35.8%	6.5%	16.8%	37.3%	22.6%	5.7%	-0.9%	-6.3K	43.5K	-373	0.99	57.50	N/A	N/A	72	71	188	144
2017-09-12	$9.87	$10.00	26.9%	4.6%	13.8%	20.9%	13.1%	9.9%	-3.7%	-11.8K	87.3K	-395	0.99	102.08	N/A	N/A	72	71	188	194
2017-09-13	$9.91	$10.00	17.6%	5.0%	14.0%	3.9%	15.4%	9.9%	2.2%	-13.5K	84.2K	-414	0.97	103.20	N/A	N/A	79	77	191	194
2017-09-14	$9.96	$12.50	18.1%	5.2%	13.5%	4.9%	15.6%	1.7%	-3.1%	-14.5K	76.5K	-428	0.97	44.13	N/A	N/A	79	77	201	200
2017-09-15	$10.19	$12.50	21.4%	6.1%	14.4%	10.9%	21.1%	5.8%	-1.0%	-3.1K	35.8K	-436	0.44	101.13	N/A	N/A	84	37	201	200
2017-09-18	$10.03	$12.50	16.4%	4.7%	14.3%	1.8%	15.6%	-12.5%	4.6%	-4.2K	37.0K	-434	2.52	103.28	N/A	N/A	75	189	173	147
2017-09-19	$9.96	$12.50	14.6%	4.2%	14.4%	0.0%	14.1%	57.4%	4.3%	-9.8K	104.2K	-613	2.52	47.51	N/A	N/A	75	189	173	252
2017-09-20	$10.13	$12.50	21.0%	6.0%	15.5%	11.6%	19.9%	4.4%	3.1%	-7.4K	67.2K	-630	2.52	92.79	N/A	N/A	75	189	173	252
2017-09-21	$10.11	$12.50	23.2%	6.7%	15.0%	15.5%	23.0%	9.4%	-3.4%	-8.1K	79.7K	-629	2.52	91.52	N/A	N/A	75	189	173	252
2017-09-22	$10.16	$12.50	21.1%	6.0%	15.1%	11.7%	19.7%	65.4%	-4.7%	-9.4K	78.5K	-622	4.63	65.40	N/A	N/A	43	199	173	252
2017-09-25	$10.27	$12.50	24.6%	7.1%	15.0%	18.1%	23.2%	-0.6%	-6.1%	-7.7K	63.1K	-668	6.37	86.41	N/A	N/A	43	274	186	262
2017-09-26	$10.45	$10.00	22.5%	6.5%	15.6%	14.3%	22.8%	-4.1%	-1.1%	-11.3K	56.9K	-769	7.86	69.41	N/A	N/A	43	338	191	347
2017-09-27	$10.48	$10.00	22.0%	6.3%	15.2%	13.3%	22.6%	-5.3%	2.5%	-17.6K	97.4K	-960	7.86	88.81	N/A	N/A	43	338	196	496
2017-09-28	$10.52	$10.00	24.5%	7.0%	15.1%	17.9%	20.2%	-10.1%	-17.1%	-17.2K	85.8K	-938	7.86	35.16	N/A	N/A	43	338	196	496
2017-09-29	$10.61	$10.00	19.3%	5.5%	15.0%	8.5%	17.2%	-54.1%	-3.3%	-16.4K	61.4K	-883	8.05	71.85	N/A	N/A	42	338	196	496