FSP Options History — October 2017

In October 2017, FSP traded between $9.86 and $10.71. ATM implied volatility averaged 25.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 11.6% (HV 20d: 13.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.43.

Notable Days

  • 2017-10-02: Highest Volume — 380 contracts
  • 2017-10-27: Largest IV drop — 30.4% change
  • 2017-10-09: Highest IV Rank — 38.0%
  • 2017-10-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.32$9.86$10.71$10.71$9.98
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV25.4%16.7%35.6%27.9%23.2%
Expected Move6.7%4.8%9.0%8.0%6.6%
HV 20d13.8%10.6%15.8%15.2%12.0%
HV 60d18.2%16.0%19.1%19.1%16.0%
IV Rank19.4%3.8%38.0%24.1%15.4%
IV Percentile46.5%2.4%86.9%67.9%38.5%
Term Structure-5.8%-30.9%2.6%-27.2%-4.1%
VWIV24.6%15.6%45.5%44.1%23.2%
Skew 25d1.4%-43.9%71.6%-22.2%-17.9%
Skew 10d16.7%-67.1%110.1%4.2%-26.9%
Call IV 25d35.1%17.8%64.6%36.2%64.6%
Put IV 25d36.5%11.8%123.2%14.0%46.7%
Bid-Ask Spread %72.8622.79110.9983.76104.83
Gamma HHI0.960.891.000.891.00
Net GEX-21.9K-30.6K-14.3K-14.3K-28.6K
Net DEX120.2K31.6K227.2K31.6K169.9K
Net VEX-878-943-804-804-881
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.388.058.050.38
Total Volume162.77377380380137
Total OI734.318692777692752

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$10.71$10.0027.9%8.0%15.2%24.1%44.1%-22.2%-27.2%-14.3K31.6K-8048.0583.76N/AN/A42338196496
2017-10-03$10.69$10.0031.6%9.0%14.9%30.6%26.8%-19.4%-30.9%-14.4K47.9K-8285.0890.45N/AN/A39198196496
2017-10-04$10.66$10.0028.7%8.2%15.0%25.4%45.5%-29.9%-25.2%-17.4K52.2K-8735.0869.81N/AN/A39198202527
2017-10-05$10.66$10.0031.7%5.9%15.0%30.9%21.6%5.1%0.8%-17.0K41.0K-8434.6925.12N/AN/A39183202527
2017-10-06$10.58$10.0033.5%7.0%15.5%34.1%25.1%3.2%-3.0%-16.3K80.8K-9024.6938.67N/AN/A39183202519
2017-10-09$10.58$10.0035.6%6.9%15.6%38.0%20.7%-12.0%-5.9%-17.9K72.0K-8564.69100.75N/AN/A39183202519
2017-10-10$10.67$10.0034.5%6.0%14.6%36.0%23.1%-1.3%-2.0%-16.9K62.6K-8124.6946.54N/AN/A39183202519
2017-10-11$10.62$10.0025.4%7.3%14.9%19.5%26.2%1.7%-6.1%-15.4K62.2K-8064.9598.24N/AN/A37183202519
2017-10-12$10.50$10.0025.4%7.3%15.8%19.4%25.7%2.6%-3.4%-17.1K84.4K-8541.0830.69N/AN/A3740201519
2017-10-13$10.54$10.0021.3%6.1%13.9%12.1%22.4%0.6%0.8%-20.7K82.6K-8531.0832.75N/AN/A3740201525
2017-10-16$10.51$10.0024.8%7.1%12.5%18.4%24.9%1.9%-3.8%-21.8K93.0K-8301.3931.31N/AN/A4461201531
2017-10-17$10.37$10.0026.3%7.5%13.3%21.0%26.7%0.1%-5.7%-23.4K142.0K-9431.39104.91N/AN/A4461214556
2017-10-18$10.33$10.0025.4%7.3%12.2%19.4%23.3%-2.4%-8.2%-27.9K146.7K-9311.11110.99N/AN/A5561214556
2017-10-19$10.13$10.0019.4%5.6%14.2%8.6%20.6%-13.9%2.6%-29.8K161.9K-9271.36106.33N/AN/A4561211556
2017-10-20$9.98$10.0020.0%5.7%15.0%9.8%19.9%-15.7%-0.2%-25.2K227.2K-9341.11102.05N/AN/A5561221556
2017-10-23$9.95$10.0018.5%5.3%14.4%7.0%18.0%70.8%0.6%-27.6K176.4K-9060.4948.39N/AN/A8843221490
2017-10-24$9.94$10.0021.9%6.3%12.5%13.2%21.9%71.6%-2.9%-24.4K167.5K-9410.4522.79N/AN/A8840247493
2017-10-25$9.90$10.0022.2%6.4%12.4%13.6%22.2%-14.4%-2.1%-24.0K187.8K-9190.4599.76N/AN/A8840247494
2017-10-26$9.89$10.0024.0%6.9%12.1%17.0%24.1%-3.2%-3.8%-23.0K184.1K-9110.4588.85N/AN/A8840247494
2017-10-27$9.92$10.0016.7%4.8%11.6%3.8%15.6%-43.9%1.0%-30.6K161.1K-9030.4599.18N/AN/A8840247494
2017-10-30$9.86$10.0020.0%5.7%10.6%9.6%19.6%70.2%0.6%-28.0K209.4K-8540.3866.83N/AN/A9938247494
2017-10-31$9.98$10.0023.2%6.6%12.0%15.4%23.2%-17.9%-4.1%-28.6K169.9K-8810.38104.83N/AN/A9938258494