FSP Options History — September 2020 In September 2020, FSP traded between $3.47 and $4.59. ATM implied volatility averaged 113.2%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 29.5%. IV traded above realized volatility by 64.2% (HV 20d: 49.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.19.
Notable Days 2020-09-25 : Highest Volume — 121 contracts2020-09-09 : Largest IV drop — 63.7% change2020-09-23 : Highest IV Rank — 100.0%2020-09-25 : Largest Expected Move — 57.2%Monthly Statistics Metric Avg Min Max Open Close Price $4.07 $3.47 $4.59 $4.43 $3.67 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 113.2% 49.7% 199.4% 64.7% 103.7% Expected Move 29.5% 14.2% 57.2% 18.6% 34.0% HV 20d 49.0% 37.1% 73.5% 46.1% 73.5% HV 60d 57.1% 53.3% 63.8% 63.6% 61.7% IV Rank 57.4% 23.9% 100.0% 32.1% 50.6% IV Percentile 80.4% 42.1% 100.0% 59.9% 82.1% Term Structure -11.5% -70.6% 64.9% 13.4% -21.6% VWIV 166.7% 166.7% 166.7% 166.7% 166.7% Bid-Ask Spread % 128.63 97.32 145.63 102.57 127.30 Gamma HHI 0.69 0.47 0.90 0.50 0.48 Net GEX 291 11 552 11 166 Net DEX 5.3K -17.1K 24.9K 6.6K 21.7K Net VEX -232 -388 -71 -293 -86 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.19 0.00 1.37 0.00 0.00 Total Volume 8.81 0 121 1 0 Total OI 467.524 366 528 526 421
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 2020-09-01 $4.43 $5.00 64.7% 18.6% 46.1% 32.1% 0.0% 0.0% 13.4% 11 6.6K -293 0.00 102.57 N/A N/A 1 0 321 205 2020-09-02 $4.53 $5.00 95.0% 27.2% 43.3% 48.4% 0.0% 0.0% -48.8% 270 -2.2K -346 0.00 110.94 N/A N/A 0 0 320 205 2020-09-03 $4.45 $0.00 125.6% 18.3% 41.4% 65.1% 0.0% 0.0% 9.9% 292 -3.8K -349 0.00 135.86 N/A N/A 0 0 320 205 2020-09-04 $4.42 $0.00 133.7% 23.3% 37.1% 69.4% 0.0% 0.0% -19.1% 135 14.1K -259 0.00 144.72 N/A N/A 0 0 320 205 2020-09-08 $4.59 $0.00 136.8% 20.6% 39.7% 71.1% 0.0% 0.0% 11.9% 290 -8.8K -356 0.00 129.12 N/A N/A 0 1 320 198 2020-09-09 $4.58 $0.00 49.7% 14.2% 39.5% 23.9% 0.0% 0.0% 13.7% 186 -12.7K -388 0.00 133.12 N/A N/A 10 0 320 198 2020-09-10 $4.52 $0.00 65.6% 18.8% 39.3% 32.5% 0.0% 0.0% -19.4% 205 6.8K -278 0.00 117.40 N/A N/A 0 0 330 198 2020-09-11 $4.14 $0.00 69.0% 19.8% 47.8% 34.4% 0.0% 0.0% 3.8% 492 6.8K -300 0.00 127.46 N/A N/A 0 0 330 198 2020-09-14 $4.14 $0.00 77.5% 22.2% 42.7% 39.0% 0.0% 0.0% 13.9% 336 24.9K -178 0.00 119.42 N/A N/A 0 0 330 198 2020-09-15 $4.24 $0.00 53.5% 15.3% 44.1% 26.0% 0.0% 0.0% 6.3% 404 14.3K -206 0.00 125.12 N/A N/A 3 0 330 174 2020-09-16 $4.33 $0.00 63.2% 18.1% 45.0% 31.3% 0.0% 0.0% 10.2% 552 5.7K -259 0.00 128.43 N/A N/A 0 0 330 174 2020-09-17 $4.12 $0.00 95.0% 27.3% 45.4% 48.5% 0.0% 0.0% 0.0% 403 12.0K -209 0.00 141.27 N/A N/A 0 0 330 174 2020-09-18 $3.90 $0.00 127.4% 36.5% 47.9% 66.0% 0.0% 0.0% 0.5% 256 20.0K -139 0.00 131.39 N/A N/A 20 0 330 174 2020-09-21 $3.74 $0.00 110.9% 31.8% 49.2% 57.1% 0.0% 0.0% 64.9% 456 -17.1K -277 0.00 130.97 N/A N/A 0 0 318 48 2020-09-22 $3.69 $0.00 137.6% 0.0% 48.5% 71.5% 0.0% 0.0% -27.5% 386 -8.2K -205 0.00 139.93 N/A N/A 0 0 318 48 2020-09-23 $3.47 $0.00 192.2% 55.1% 51.1% 100.0% 0.0% 0.0% -70.6% 109 8.7K -71 0.13 129.50 N/A N/A 15 2 318 48 2020-09-24 $3.47 $0.00 196.5% 56.3% 51.4% 100.0% 0.0% 0.0% -60.8% 310 -2.5K -169 0.00 142.41 N/A N/A 2 0 318 50 2020-09-25 $3.48 $0.00 199.4% 57.2% 51.2% 100.0% 166.7% 0.0% -22.7% 334 -3.9K -184 1.37 141.27 N/A N/A 51 70 320 50 2020-09-28 $3.95 $5.00 162.5% 46.6% 71.7% 80.9% 0.0% 0.0% -47.2% 151 11.5K -170 0.00 145.63 N/A N/A 10 0 315 88 2020-09-29 $3.71 $5.00 118.7% 34.0% 73.5% 58.3% 0.0% 0.0% -41.5% 365 16.3K -156 0.00 97.32 N/A N/A 0 0 333 88 2020-09-30 $3.67 $5.00 103.7% 0.0% 73.5% 50.6% 0.0% 0.0% -21.6% 166 21.7K -86 0.00 127.30 N/A N/A 0 0 333 88
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