FSP Options History — September 2019 In September 2019, FSP traded between $7.55 and $8.57. ATM implied volatility averaged 38.5%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 13.4% (HV 20d: 25.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.67.
Notable Days 2019-09-03 : Highest Volume — 3,506 contracts2019-09-09 : Largest IV spike — 63.6% change2019-09-30 : Highest IV Rank — 65.7%2019-09-30 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $8.16 $7.55 $8.57 $7.55 $8.46 Max Pain $7.25 $5.00 $7.50 $5.00 $7.50 ATM IV 38.5% 26.8% 59.4% 42.4% 59.4% Expected Move 10.5% 7.7% 17.0% 12.2% 17.0% HV 20d 25.1% 20.0% 28.5% 27.5% 22.2% HV 60d 26.5% 24.6% 28.1% 26.8% 25.5% IV Rank 32.9% 14.9% 65.7% 39.8% 65.7% IV Percentile 67.7% 32.5% 92.5% 79.8% 92.5% Term Structure 1.9% -36.4% 132.7% -9.5% -11.2% VWIV 30.4% 24.5% 36.3% 24.5% 36.3% Skew 25d 2.5% -27.8% 40.1% 14.4% 0.1% Skew 10d 26.9% -14.0% 75.3% 18.8% 39.4% Call IV 25d 37.2% 29.0% 58.7% 32.1% 39.5% Put IV 25d 39.7% 27.4% 76.2% 46.4% 39.5% Bid-Ask Spread % 71.63 42.33 117.07 98.79 56.24 Gamma HHI 0.83 0.50 0.98 0.60 0.66 Net GEX -2.5K -4.2K -685 -1.9K -2.0K Net DEX 7.5K -32.3K 39.0K 39.0K 9.2K Net VEX -466 -644 -252 -546 -399 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 0.00 5.00 5.00 0.00 Total Volume 252 0 3,506 3,506 0 Total OI 4,300.4 3,575 4,917 3,611 3,635
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 2019-09-03 $7.55 $5.00 42.4% 12.2% 27.5% 39.8% 0.0% 14.4% -9.5% -1.9K 39.0K -546 0.00 98.79 N/A N/A 0 3,506 96 3,515 2019-09-04 $7.64 $5.00 29.3% 8.4% 26.8% 18.8% 0.0% 33.9% 2.2% -685 33.4K -609 0.00 66.13 N/A N/A 0 801 96 4,021 2019-09-05 $7.66 $7.50 32.1% 8.3% 26.7% 23.4% 0.0% 40.1% 5.6% -1.5K 38.6K -644 0.00 117.07 N/A N/A 0 0 96 4,821 2019-09-06 $7.67 $7.50 28.9% 8.9% 25.7% 18.2% 0.0% 32.5% -1.0% -692 31.4K -618 0.00 47.33 N/A N/A 0 0 96 4,821 2019-09-09 $7.86 $7.50 47.3% 7.7% 26.4% 47.6% 0.0% 3.4% 6.9% -1.9K 26.7K -551 0.00 67.30 N/A N/A 0 401 96 4,821 2019-09-10 $8.16 $7.50 46.3% 9.0% 28.5% 46.0% 0.0% 4.0% 0.5% -1.6K -905 -554 5.00 84.11 N/A N/A 4 20 96 4,422 2019-09-11 $8.27 $7.50 26.8% 7.7% 28.4% 14.9% 0.0% 2.6% -0.2% -2.8K -7.5K -473 0.00 54.40 N/A N/A 0 0 94 4,442 2019-09-12 $8.28 $7.50 32.7% 9.4% 27.9% 24.3% 0.0% -3.4% -17.8% -3.2K -23.6K -411 0.00 61.70 N/A N/A 0 200 94 4,442 2019-09-13 $8.17 $7.50 28.9% 8.3% 28.0% 18.3% 0.0% -2.0% -4.5% -1.8K -846 -527 0.00 54.31 N/A N/A 26 0 94 4,642 2019-09-16 $8.22 $7.50 32.6% 9.4% 26.0% 24.2% 0.0% -0.7% -8.6% -2.2K -3.2K -485 0.00 61.28 N/A N/A 0 0 94 4,642 2019-09-17 $8.27 $7.50 40.2% 11.5% 26.0% 36.2% 0.0% 7.4% -19.2% -2.1K -12.1K -455 0.00 64.09 N/A N/A 0 0 94 4,642 2019-09-18 $8.18 $7.50 37.8% 10.8% 25.6% 32.5% 24.5% -12.7% -22.5% -2.2K -1.9K -458 0.00 71.61 N/A N/A 0 2 94 4,642 2019-09-19 $8.28 $7.50 38.8% 11.1% 25.8% 32.6% 0.0% -27.8% -24.4% -3.3K -18.6K -429 0.00 83.90 N/A N/A 0 0 94 4,642 2019-09-20 $8.29 $7.50 40.7% 11.7% 25.8% 35.3% 0.0% -12.9% -36.4% -4.2K -32.3K -358 0.00 47.86 N/A N/A 0 20 94 4,642 2019-09-23 $8.20 $7.50 31.1% 8.9% 20.3% 19.6% 0.0% -9.9% 0.0% -3.0K 32.8K -453 0.00 42.33 N/A N/A 0 0 40 3,548 2019-09-24 $8.27 $7.50 42.8% 12.3% 20.0% 38.7% 0.0% -10.0% 0.0% -3.8K 18.9K -370 0.00 66.18 N/A N/A 0 0 40 3,535 2019-09-25 $8.56 $7.50 40.9% 11.7% 21.5% 35.0% 0.0% -5.3% -1.5% -2.9K 9.0K -342 0.00 115.93 N/A N/A 0 0 40 3,535 2019-09-26 $8.56 $7.50 41.8% 12.0% 21.4% 36.5% 0.0% -0.6% 43.5% -3.7K 17.6K -386 0.00 67.43 N/A N/A 0 0 40 3,535 2019-09-27 $8.57 $7.50 49.7% 14.2% 21.4% 49.6% 36.3% -3.6% 132.7% -3.3K -5.6K -252 0.00 104.52 N/A N/A 60 0 40 3,535 2019-09-30 $8.46 $7.50 59.4% 17.0% 22.2% 65.7% 0.0% 0.1% -11.2% -2.0K 9.2K -399 0.00 56.24 N/A N/A 0 0 100 3,535
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