FSP Options History — July 2018 In July 2018, FSP traded between $8.44 and $9.05. ATM implied volatility averaged 34.0%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 10.8% (HV 20d: 23.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.41.
Notable Days 2018-07-06 : Highest Volume — 230 contracts2018-07-27 : Largest IV spike — 62.2% change2018-07-02 : Highest IV Rank — 28.3%2018-07-06 : Largest Expected Move — 53.2%Monthly Statistics Metric Avg Min Max Open Close Price $8.70 $8.44 $9.05 $8.53 $8.73 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 34.0% 20.2% 55.6% 55.6% 48.6% Expected Move 11.7% 5.8% 53.2% 16.0% 13.9% HV 20d 23.2% 21.7% 25.0% 25.0% 24.3% HV 60d 28.7% 28.0% 32.4% 32.4% 28.7% IV Rank 13.9% 4.7% 28.3% 28.3% 23.6% IV Percentile 63.5% 15.9% 97.6% 97.6% 94.0% Term Structure -13.6% -165.0% 57.4% -50.4% -20.6% VWIV 51.6% 32.1% 68.9% 43.8% 68.9% Skew 25d -2.5% -42.2% 39.8% 10.1% -3.8% Skew 10d -2.2% -55.5% 34.4% 10.8% -1.8% Call IV 25d 36.1% 20.0% 163.6% 30.8% 38.2% Put IV 25d 33.6% 17.7% 121.3% 40.9% 34.3% Bid-Ask Spread % 56.02 7.56 168.74 62.02 89.71 Gamma HHI 0.78 0.50 0.99 0.54 0.97 Net GEX 1.2K 108 2.0K 108 2.0K Net DEX -77.8K -119.6K -43.7K -43.7K -80.4K Net VEX -371 -673 -232 -387 -354 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.41 0.18 0.69 0.69 0.39 Total Volume 175.619 76 230 154 78 Total OI 477.048 364 559 485 369
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 2018-07-02 $8.53 $7.50 55.6% 16.0% 25.0% 28.3% 43.8% 10.1% -50.4% 108 -43.7K -387 0.69 62.02 N/A N/A 91 63 261 224 2018-07-03 $8.79 $7.50 39.8% 11.4% 24.8% 17.8% 50.3% 15.6% 57.4% 155 -72.6K -424 0.69 52.57 N/A N/A 91 63 261 224 2018-07-05 $8.99 $0.00 45.7% 24.5% 24.5% 21.7% 0.0% -42.2% -50.2% 322 -81.2K -351 0.69 164.19 N/A N/A 91 63 261 224 2018-07-06 $9.05 $0.00 46.2% 53.2% 24.1% 22.0% 0.0% 39.8% -165.0% 262 -91.9K -434 0.39 168.74 N/A N/A 165 65 261 224 2018-07-09 $8.94 $0.00 48.1% 6.3% 23.8% 23.3% 0.0% -3.3% -5.2% 1.8K -90.7K -393 0.39 40.04 N/A N/A 165 65 335 224 2018-07-10 $8.88 $0.00 40.3% 8.2% 23.1% 18.1% 0.0% -12.6% -16.9% 1.9K -80.6K -429 0.39 101.64 N/A N/A 165 65 335 224 2018-07-11 $8.87 $0.00 25.1% 7.2% 23.2% 8.0% 0.0% 1.9% -4.7% 2.0K -103.2K -673 0.39 26.89 N/A N/A 165 65 335 224 2018-07-12 $8.84 $0.00 20.8% 6.0% 22.9% 5.1% 0.0% -3.6% -4.9% 1.2K -68.2K -299 0.39 84.86 N/A N/A 165 65 335 224 2018-07-13 $8.87 $0.00 23.7% 6.8% 22.8% 7.1% 0.0% -0.2% -9.0% 1.3K -80.9K -505 0.39 14.78 N/A N/A 165 65 335 224 2018-07-16 $8.83 $0.00 20.2% 5.8% 23.1% 4.7% 0.0% 0.5% -5.7% 920 -93.8K -486 0.39 12.04 N/A N/A 165 65 335 224 2018-07-17 $8.58 $0.00 22.5% 6.5% 22.5% 6.3% 0.0% -3.5% 2.3% 777 -75.2K -399 0.39 7.56 N/A N/A 165 65 335 224 2018-07-18 $8.52 $0.00 24.9% 7.1% 22.8% 7.9% 0.0% -3.9% 2.0% 891 -69.0K -312 0.39 23.36 N/A N/A 165 65 335 224 2018-07-19 $8.60 $0.00 26.8% 7.7% 22.1% 9.2% 0.0% -0.6% -4.8% 1.3K -73.2K -279 0.45 12.79 N/A N/A 146 65 331 224 2018-07-20 $8.54 $0.00 30.8% 8.8% 22.3% 11.8% 0.0% -4.0% -8.4% 1.5K -119.6K -262 0.50 9.97 N/A N/A 129 65 329 161 2018-07-23 $8.56 $0.00 35.6% 10.2% 22.3% 15.0% 0.0% -0.3% -11.7% 1.6K -69.3K -276 0.18 106.04 N/A N/A 125 22 249 115 2018-07-24 $8.61 $0.00 27.0% 7.8% 22.0% 9.3% 0.0% -5.4% 14.2% 1.7K -72.4K -322 0.18 38.08 N/A N/A 125 22 249 115 2018-07-25 $8.50 $0.00 28.7% 8.2% 22.5% 10.4% 0.0% -2.3% -6.7% 1.5K -67.8K -232 0.18 13.26 N/A N/A 125 22 249 115 2018-07-26 $8.62 $0.00 27.7% 7.9% 23.0% 9.7% 0.0% 1.7% 16.8% 1.7K -72.7K -312 0.41 18.80 N/A N/A 54 22 249 115 2018-07-27 $8.44 $0.00 44.9% 12.9% 23.8% 21.2% 62.7% -32.3% -18.2% 1.4K -61.3K -315 0.39 114.76 N/A N/A 56 22 252 115 2018-07-30 $8.47 $7.50 30.9% 8.9% 21.7% 11.9% 32.1% -3.6% 3.2% 1.5K -65.8K -347 0.39 14.38 N/A N/A 56 22 254 115 2018-07-31 $8.73 $7.50 48.6% 13.9% 24.3% 23.6% 68.9% -3.8% -20.6% 2.0K -80.4K -354 0.39 89.71 N/A N/A 56 22 254 115
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