FSP Options History — January 2018

In January 2018, FSP traded between $10.12 and $10.75. ATM implied volatility averaged 24.2%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.5% (HV 20d: 22.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.21.

Notable Days

2018-01-11: Highest Volume — 172 contracts
2018-01-30: Largest IV spike — 134.8% change
2018-01-30: Highest IV Rank — 45.8%
2018-01-30: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.45	$10.12	$10.75	$10.75	$10.12
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	24.2%	13.1%	39.1%	28.2%	24.6%
Expected Move	6.7%	3.7%	11.2%	8.1%	7.0%
HV 20d	22.7%	20.6%	24.9%	20.6%	24.6%
HV 60d	19.6%	17.8%	21.2%	17.8%	20.5%
IV Rank	18.3%	0.0%	45.8%	24.6%	20.3%
IV Percentile	42.6%	0.0%	92.5%	71.4%	51.2%
Term Structure	-5.5%	-20.4%	5.5%	-20.4%	-0.8%
VWIV	46.5%	39.6%	53.4%	39.6%	53.4%
Skew 25d	-3.7%	-44.0%	44.8%	-28.8%	-21.9%
Skew 10d	10.7%	-63.6%	114.4%	-32.1%	-32.0%
Call IV 25d	36.4%	25.1%	66.0%	44.7%	46.7%
Put IV 25d	32.7%	13.1%	73.3%	15.9%	24.8%
Bid-Ask Spread %	81.72	12.33	112.48	69.28	72.82
Gamma HHI	0.70	0.50	0.85	0.66	0.62
Net GEX	5.0K	2.2K	7.5K	4.5K	5.3K
Net DEX	-114.7K	-161.7K	-68.9K	-156.7K	-76.4K
Net VEX	-775	-942	-530	-530	-942
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.03	0.43	0.13	0.33
Total Volume	130.429	96	172	124	122
Total OI	437.619	338	528	338	528

Daily Data (21 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
2018-01-02	$10.75	$0.00	28.2%	8.1%	20.6%	24.6%	0.0%	-28.8%	-20.4%	4.5K	-156.7K	-530	0.13	69.28	N/A	N/A	110	14	260	78
2018-01-03	$10.51	$0.00	26.1%	7.5%	21.3%	20.8%	0.0%	-35.9%	-18.1%	6.5K	-118.8K	-599	0.04	102.48	N/A	N/A	120	5	260	78
2018-01-04	$10.42	$0.00	34.3%	7.5%	20.7%	35.6%	0.0%	-1.1%	-7.5%	7.0K	-115.5K	-677	0.03	105.52	N/A	N/A	120	3	290	79
2018-01-05	$10.54	$0.00	31.2%	7.7%	21.2%	30.0%	0.0%	44.8%	-6.1%	6.1K	-128.3K	-670	0.03	110.22	N/A	N/A	120	3	290	78
2018-01-08	$10.62	$0.00	24.3%	8.3%	21.4%	17.4%	0.0%	23.3%	-2.5%	6.0K	-140.6K	-640	0.18	88.71	N/A	N/A	120	22	290	78
2018-01-09	$10.46	$0.00	29.8%	6.4%	22.0%	27.5%	0.0%	1.7%	-13.2%	7.5K	-114.3K	-708	0.18	60.61	N/A	N/A	120	22	290	98
2018-01-10	$10.35	$0.00	20.0%	5.7%	21.4%	9.8%	0.0%	-0.1%	-0.5%	6.7K	-96.3K	-729	0.11	52.70	N/A	N/A	120	13	290	98
2018-01-11	$10.53	$0.00	22.2%	6.4%	22.3%	13.7%	0.0%	20.0%	-2.4%	5.6K	-131.5K	-691	0.43	56.32	N/A	N/A	120	52	290	109
2018-01-12	$10.40	$0.00	24.7%	7.1%	21.4%	18.2%	0.0%	-1.0%	-8.1%	4.2K	-99.9K	-848	0.43	112.48	N/A	N/A	120	52	290	159
2018-01-16	$10.62	$0.00	21.9%	6.3%	22.7%	13.1%	0.0%	-3.5%	-0.5%	4.1K	-117.6K	-828	0.43	40.50	N/A	N/A	120	52	290	159
2018-01-17	$10.58	$0.00	20.3%	5.8%	22.7%	10.3%	0.0%	-2.0%	3.2%	3.1K	-95.9K	-835	0.43	96.05	N/A	N/A	120	52	290	159
2018-01-18	$10.21	$0.00	18.3%	5.2%	24.9%	6.7%	0.0%	26.3%	1.4%	4.1K	-87.3K	-823	0.43	109.01	N/A	N/A	120	52	290	159
2018-01-19	$10.35	$0.00	21.2%	6.1%	23.4%	12.0%	0.0%	-13.8%	-7.3%	2.2K	-113.3K	-753	0.04	104.09	N/A	N/A	92	4	290	159
2018-01-22	$10.50	$0.00	13.1%	3.7%	23.5%	0.0%	0.0%	-18.6%	2.0%	5.7K	-124.0K	-801	0.04	12.33	N/A	N/A	92	4	292	161
2018-01-23	$10.53	$0.00	21.2%	6.1%	23.2%	14.3%	0.0%	-12.6%	-8.2%	3.3K	-141.2K	-765	0.04	83.45	N/A	N/A	92	4	292	161
2018-01-24	$10.44	$0.00	23.6%	6.8%	23.4%	18.5%	0.0%	-9.3%	-10.2%	4.8K	-116.5K	-878	0.04	87.95	N/A	N/A	92	4	340	161
2018-01-25	$10.62	$0.00	16.6%	4.8%	23.8%	6.3%	0.0%	-3.7%	5.5%	4.3K	-161.7K	-799	0.04	87.32	N/A	N/A	92	4	340	161
2018-01-26	$10.45	$0.00	31.9%	9.1%	24.2%	33.1%	0.0%	4.8%	-8.0%	4.9K	-121.0K	-902	0.32	103.18	N/A	N/A	92	29	340	161
2018-01-29	$10.31	$0.00	16.6%	4.8%	24.4%	6.3%	0.0%	-44.0%	-2.2%	5.7K	-84.0K	-931	0.32	93.77	N/A	N/A	92	29	340	186
2018-01-30	$10.15	$0.00	39.1%	11.2%	24.8%	45.8%	39.6%	-2.3%	-11.4%	3.9K	-68.9K	-936	0.34	67.40	N/A	N/A	92	31	340	186
2018-01-31	$10.12	$12.50	24.6%	7.0%	24.6%	20.3%	53.4%	-21.9%	-0.8%	5.3K	-76.4K	-942	0.33	72.82	N/A	N/A	92	30	340	188