FSP Options History — March 2020

In March 2020, FSP traded between $4.00 and $7.54. ATM implied volatility averaged 97.1%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded below realized volatility by 6.9% (HV 20d: 104.0%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-03-03: Highest Volume — 200 contracts
  • 2020-03-13: Largest IV spike — 1091.2% change
  • 2020-03-11: Highest IV Rank — 100.0%
  • 2020-03-17: Largest Expected Move — 43.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.73$4.00$7.54$7.37$5.62
Max Pain$3.65$2.50$7.50$7.50$2.50
ATM IV97.1%8.4%178.4%29.2%99.7%
Expected Move25.7%2.4%43.2%8.4%28.6%
HV 20d104.0%43.3%160.2%43.3%158.5%
HV 60d64.9%30.9%94.5%30.9%94.4%
IV Rank63.4%0.0%100.0%15.9%53.7%
IV Percentile85.8%0.0%100.0%35.7%95.2%
Term Structure-36.3%-120.1%26.6%17.1%-65.3%
VWIV78.2%35.0%121.4%35.0%121.4%
Skew 25d19.6%-21.6%76.1%63.0%-19.1%
Skew 10d23.8%-38.7%100.4%92.0%21.2%
Call IV 25d74.6%50.2%151.7%50.2%84.6%
Put IV 25d94.2%38.6%171.2%113.2%65.4%
Bid-Ask Spread %139.4298.91163.96103.97132.15
Gamma HHI0.740.530.980.820.75
Net GEX-2.0K-7.8K-190-5.2K-593
Net DEX69.0K28.6K135.9K64.6K29.1K
Net VEX-196-338-106-230-164
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.002.202.200.00
Total Volume34.2730200164
Total OI640.3181691,1321,128174

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$7.37$7.5029.2%8.4%43.3%15.9%35.0%63.0%17.1%-5.2K64.6K-2302.20103.97N/AN/A511461,082
2020-03-03$7.47$7.5056.4%16.2%43.4%50.3%0.0%-21.3%-17.1%-3.7K57.4K-2910.00143.82N/AN/A0200461,086
2020-03-04$7.54$7.5055.9%16.0%43.4%49.6%0.0%60.2%1.8%-3.7K51.7K-2400.00132.65N/AN/A00461,036
2020-03-05$7.35$0.0062.5%12.3%43.9%57.9%0.0%-21.6%-6.2%-3.5K62.5K-2670.00153.66N/AN/A00461,036
2020-03-06$7.36$0.0017.4%5.0%43.8%0.9%0.0%-10.9%26.6%-7.8K84.1K-3380.00140.24N/AN/A00461,036
2020-03-09$6.84$0.0089.3%24.7%50.2%91.9%0.0%15.2%-29.2%-3.1K94.9K-3210.00134.14N/AN/A05041896
2020-03-10$6.77$0.0070.4%26.1%50.2%68.0%0.0%2.1%-34.1%-3.4K103.7K-2640.00138.46N/AN/A0041896
2020-03-11$6.23$0.00104.5%30.0%57.0%100.0%0.0%-0.8%-61.6%-957128.3K-2370.00134.12N/AN/A020041896
2020-03-12$5.10$0.008.4%2.4%81.2%0.0%0.0%0.0%0.0%-6.0K135.9K-1790.00163.96N/AN/A03541836
2020-03-13$5.08$0.00100.4%28.8%81.5%95.7%0.0%-7.5%-32.0%-1.8K126.4K-1930.00163.80N/AN/A0041816
2020-03-16$4.00$0.00163.4%0.0%111.2%100.0%0.0%0.0%0.0%-19070.4K-1350.00152.22N/AN/A019541532
2020-03-17$4.72$0.00150.8%43.2%132.0%91.9%0.0%76.1%-43.7%-33076.1K-1540.00142.71N/AN/A02041511
2020-03-18$4.30$2.50178.4%0.0%134.1%100.0%0.0%0.0%0.0%-43478.9K-1060.00147.11N/AN/A0041531
2020-03-19$4.65$2.50127.5%36.6%139.3%70.1%121.4%49.1%-10.0%-38378.4K-1480.00137.26N/AN/A2041531
2020-03-20$4.65$2.5081.5%23.4%139.3%43.0%0.0%13.0%-29.9%-57886.2K-1310.00142.44N/AN/A01543531
2020-03-23$4.25$2.50122.4%35.1%140.7%67.1%0.0%53.3%-120.1%-39333.5K-1330.00144.44N/AN/A0012157
2020-03-24$5.03$2.50122.1%35.0%157.3%66.9%0.0%35.6%-97.4%-62135.5K-1480.00141.11N/AN/A0012157
2020-03-25$5.33$2.50115.3%33.1%159.6%62.9%0.0%11.3%-37.4%-61129.8K-1520.00154.77N/AN/A0012157
2020-03-26$5.41$2.50117.1%33.6%159.7%64.0%0.0%25.6%-53.3%-61631.9K-1610.00136.55N/AN/A01012157
2020-03-27$5.55$2.50126.0%36.1%160.2%69.2%0.0%46.4%-61.1%-61331.0K-1600.00128.75N/AN/A7012157
2020-03-30$5.53$2.50136.9%39.3%158.5%75.6%0.0%3.6%-37.5%-54428.6K-1660.0098.91N/AN/A0017157
2020-03-31$5.62$2.5099.7%28.6%158.5%53.7%0.0%-19.1%-65.3%-59329.1K-1640.00132.15N/AN/A0417157