VSAT Options History — February 2007 In February 2007, VSAT traded between $31.85 and $35.60. ATM implied volatility averaged 29.4%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.6% (HV 20d: 28.8%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.27.
Notable Days 2007-02-06 : Highest Volume — 55 contracts2007-02-07 : Largest IV drop — 37.2% change2007-02-20 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $33.70 $31.85 $35.60 $32.67 $34.16 Max Pain $31.32 $25.00 $35.00 $25.00 $35.00 ATM IV 29.4% 24.8% 39.8% 30.9% 26.0% Expected Move 8.2% 7.1% 11.1% 8.9% 7.4% HV 20d 28.8% 26.0% 32.0% 26.5% 31.9% Term Structure 1.7% -32.0% 10.5% 5.0% 4.5% VWIV 31.9% 28.7% 40.4% 31.2% 40.4% Skew 25d 2.4% -3.0% 10.1% -2.2% 10.1% Skew 10d 2.3% -6.3% 14.2% -3.7% 14.2% Call IV 25d 26.4% 22.1% 29.4% 28.1% 22.1% Put IV 25d 28.8% 26.0% 32.6% 26.0% 32.2% Bid-Ask Spread % 107.92 96.79 144.73 119.18 107.74 Gamma HHI 0.87 0.65 0.98 0.70 0.93 Net GEX 21.6K 17.8K 23.3K 17.8K 20.9K Net DEX -1.0M -1.3M -562.5K -1.1M -614.9K Net VEX -3.4K -3.6K -2.8K -2.8K -3.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.00 12.00 0.04 0.00 Total Volume 9.421 0 55 27 5 Total OI 528.579 401 632 525 415
Daily Data (19 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 2007-02-01 $32.67 $25.00 30.9% 8.9% 26.5% 0.0% 31.2% 0.0% 5.0% 17.8K -1.1M -2.8K 0.04 119.18 N/A N/A 26 1 499 26 2007-02-02 $31.85 $35.00 29.7% 7.9% 28.6% 0.0% 0.0% 0.0% 10.2% 21.2K -1.1M -2.8K 0.00 105.70 N/A N/A 0 0 525 27 2007-02-05 $32.04 $35.00 33.4% 8.1% 28.3% 0.0% 0.0% 0.0% 7.5% 20.9K -1.1M -2.9K 0.00 107.63 N/A N/A 0 0 525 27 2007-02-06 $32.34 $35.00 39.8% 7.9% 28.3% 0.0% 0.0% 0.0% 6.8% 21.3K -1.1M -2.9K 0.10 109.08 N/A N/A 50 5 525 27 2007-02-07 $33.15 $35.00 25.0% 8.7% 29.1% 0.0% 29.6% 0.0% -0.6% 21.4K -1.3M -3.4K 0.59 102.94 N/A N/A 17 10 565 32 2007-02-08 $32.92 $30.00 27.1% 7.8% 29.2% 0.0% 0.0% 0.0% -0.0% 23.3K -1.3M -3.6K 0.00 105.09 N/A N/A 1 0 582 42 2007-02-09 $33.31 $30.00 28.6% 8.2% 27.8% 0.0% 28.7% 0.0% 2.2% 22.7K -1.3M -3.6K 12.00 100.09 N/A N/A 1 12 582 42 2007-02-12 $32.92 $30.00 27.0% 7.7% 28.4% 0.0% 0.0% 0.0% 1.1% 22.4K -1.2M -3.6K 0.00 109.84 N/A N/A 4 0 583 49 2007-02-13 $32.90 $30.00 27.0% 7.7% 28.3% 0.0% 0.0% 0.0% 1.1% 22.2K -1.2M -3.6K 0.00 108.84 N/A N/A 0 0 580 49 2007-02-14 $33.78 $30.00 29.4% 8.4% 28.3% 0.0% 0.0% 0.0% 1.2% 21.9K -1.3M -3.6K 0.00 96.79 N/A N/A 0 0 580 49 2007-02-15 $33.90 $30.00 29.0% 8.3% 27.5% 0.0% 0.0% 0.0% 2.4% 21.7K -1.3M -3.6K 0.00 98.33 N/A N/A 0 0 580 49 2007-02-16 $33.68 $30.00 29.1% 8.3% 27.9% 0.0% 0.0% 0.0% 2.0% 21.9K -1.3M -3.6K 0.00 101.32 N/A N/A 0 0 580 49 2007-02-20 $35.30 $30.00 38.8% 11.1% 30.2% 0.0% 0.0% 0.0% -32.0% 21.7K -767.3K -3.6K 0.00 144.73 N/A N/A 1 0 372 38 2007-02-21 $35.54 $30.00 27.5% 7.9% 30.1% 0.0% 0.0% 0.0% 3.3% 22.8K -787.2K -3.6K 0.00 101.94 N/A N/A 0 2 372 38 2007-02-22 $35.18 $30.00 26.7% 7.6% 29.4% 0.0% 0.0% -2.2% 4.5% 23.1K -754.0K -3.6K 0.00 103.15 N/A N/A 15 0 372 40 2007-02-23 $35.60 $30.00 28.8% 8.3% 29.1% 0.0% 0.0% -3.0% 2.0% 21.4K -775.4K -3.5K 0.00 105.95 N/A N/A 0 5 361 40 2007-02-26 $35.40 $30.00 29.6% 8.5% 26.0% 0.0% 29.6% -1.4% 1.4% 22.0K -734.1K -3.5K 1.25 107.34 N/A N/A 4 5 361 45 2007-02-27 $33.71 $35.00 24.8% 7.1% 32.0% 0.0% 0.0% 8.4% 10.5% 20.1K -562.5K -3.5K 0.00 114.77 N/A N/A 15 0 365 50 2007-02-28 $34.16 $35.00 26.0% 7.4% 31.9% 0.0% 40.4% 10.1% 4.5% 20.9K -614.9K -3.5K 0.00 107.74 N/A N/A 5 0 365 50
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