FSP Options History — June 2018 In June 2018, FSP traded between $7.80 and $8.54. ATM implied volatility averaged 37.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.8% (HV 20d: 36.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2018-06-11 : Highest Volume — 218 contracts2018-06-21 : Largest IV spike — 127.0% change2018-06-21 : Highest IV Rank — 35.0%2018-06-21 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $8.17 $7.80 $8.54 $8.43 $8.54 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 37.8% 20.8% 65.6% 38.1% 33.1% Expected Move 9.6% 6.0% 18.8% 10.9% 9.5% HV 20d 36.0% 25.0% 38.4% 36.5% 25.0% HV 60d 32.6% 31.8% 33.2% 32.8% 32.4% IV Rank 16.4% 5.2% 35.0% 16.7% 13.3% IV Percentile 73.4% 17.5% 98.8% 85.3% 72.6% Term Structure 16.6% -28.5% 162.1% -28.5% 51.3% VWIV 33.7% 19.1% 58.6% 47.8% 30.9% Skew 25d -4.1% -24.1% 18.3% -8.5% 18.3% Skew 10d 15.9% -21.9% 86.5% -7.6% 4.3% Call IV 25d 31.7% 15.3% 49.2% 37.2% 16.3% Put IV 25d 27.6% 16.9% 46.1% 28.7% 34.6% Bid-Ask Spread % 68.55 25.12 160.79 65.85 66.33 Gamma HHI 0.73 0.48 0.98 0.55 0.49 Net GEX 511 -328 1.9K 128 9 Net DEX -15.0K -64.7K 26.2K -2.4K -64.7K Net VEX -417 -456 -375 -375 -420 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.06 0.82 0.07 0.69 Total Volume 174.476 140 218 153 154 Total OI 577.905 457 718 581 485
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 2018-06-01 $8.43 $7.50 38.1% 10.9% 36.5% 16.7% 47.8% -8.5% -28.5% 128 -2.4K -375 0.07 65.85 N/A N/A 143 10 376 205 2018-06-04 $8.45 $7.50 48.9% 8.5% 36.4% 23.8% 39.3% -18.4% -16.9% 909 -33.6K -389 0.06 87.57 N/A N/A 163 10 418 205 2018-06-05 $8.22 $7.50 28.2% 7.2% 37.7% 10.1% 34.6% -7.4% -8.0% 1.0K -28.1K -388 0.06 31.50 N/A N/A 163 9 438 205 2018-06-06 $8.09 $7.50 28.7% 9.5% 37.6% 10.4% 33.0% 7.8% -5.5% 1.2K -14.0K -415 0.31 25.12 N/A N/A 163 50 438 207 2018-06-07 $8.03 $7.50 33.1% 6.8% 37.7% 13.3% 23.8% 3.4% 5.0% 545 -2.2K -422 0.31 76.27 N/A N/A 163 50 438 249 2018-06-08 $7.91 $7.50 45.4% 7.3% 38.0% 21.5% 25.7% 0.3% 5.2% 1.3K 4.3K -455 0.31 42.66 N/A N/A 163 50 438 249 2018-06-11 $7.80 $7.50 34.2% 7.5% 38.4% 14.0% 26.2% 2.1% -2.2% 1.8K 19.4K -415 0.41 32.35 N/A N/A 155 63 436 249 2018-06-12 $7.87 $7.50 61.4% 7.4% 37.6% 32.1% 26.0% -0.5% -1.7% 1.2K 11.3K -434 0.41 72.09 N/A N/A 155 63 436 262 2018-06-13 $7.81 $7.50 23.4% 6.7% 37.8% 6.9% 23.9% 3.6% 7.5% 1.4K 26.2K -420 0.47 81.41 N/A N/A 133 63 436 262 2018-06-14 $7.81 $7.50 25.0% 7.2% 37.4% 7.9% 25.0% 16.2% 4.8% 1.9K 5.6K -449 0.47 87.36 N/A N/A 133 63 456 262 2018-06-15 $7.81 $7.50 25.9% 7.4% 34.3% 8.6% 26.0% 7.4% 1.3% -209 7.8K -420 0.45 61.18 N/A N/A 141 63 452 262 2018-06-18 $8.13 $7.50 20.8% 6.0% 36.1% 5.2% 19.1% -10.6% 162.1% -295 -15.2K -394 0.82 88.75 N/A N/A 77 63 237 220 2018-06-19 $8.16 $7.50 41.0% 11.8% 36.1% 18.6% 32.1% -24.1% 13.3% -265 -6.1K -405 0.82 80.66 N/A N/A 77 63 241 224 2018-06-20 $8.32 $7.50 28.9% 8.3% 36.4% 10.5% 42.6% -8.7% -21.8% -328 -25.4K -398 0.82 33.44 N/A N/A 77 63 241 224 2018-06-21 $8.32 $7.50 65.6% 18.8% 35.6% 35.0% 45.3% 5.5% 84.9% 156 -11.4K -426 0.77 160.79 N/A N/A 82 63 241 224 2018-06-22 $8.34 $7.50 37.3% 10.7% 35.4% 16.1% 58.6% -12.0% -28.1% -215 -25.9K -409 0.67 38.66 N/A N/A 94 63 248 224 2018-06-25 $8.44 $7.50 45.3% 13.0% 35.5% 21.4% 36.2% -10.0% 34.0% 159 -42.5K -420 0.67 38.36 N/A N/A 94 63 265 224 2018-06-26 $8.43 $7.50 44.7% 12.8% 35.2% 21.0% 37.9% -21.1% 96.6% 227 -51.0K -456 0.69 100.64 N/A N/A 91 63 265 224 2018-06-27 $8.42 $7.50 39.1% 11.2% 35.2% 17.3% 34.6% -19.2% 15.8% -3 -43.7K -407 0.69 85.67 N/A N/A 91 63 261 224 2018-06-28 $8.31 $7.50 45.6% 13.1% 35.7% 21.6% 39.3% -9.4% -21.1% -8 -23.9K -448 0.69 83.00 N/A N/A 91 63 261 224 2018-06-29 $8.54 $7.50 33.1% 9.5% 25.0% 13.3% 30.9% 18.3% 51.3% 9 -64.7K -420 0.69 66.33 N/A N/A 91 63 261 224
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