VSAT Options History — March 2007

In March 2007, VSAT traded between $31.88 and $34.11. ATM implied volatility averaged 31.0%. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.1% (HV 20d: 33.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2007-03-19: Highest Volume — 200 contracts
  • 2007-03-13: Largest IV spike — 100.5% change
  • 2007-03-09: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.18$31.88$34.11$33.61$32.97
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV31.0%22.1%60.2%22.5%22.1%
Expected Move8.1%6.3%9.2%6.5%6.3%
HV 20d33.1%25.1%37.3%32.3%25.1%
HV 60d29.7%28.5%30.9%30.5%28.5%
Term Structure3.0%-1.3%9.2%8.0%9.2%
VWIV25.8%22.2%29.3%29.3%22.2%
Skew 25d3.5%-2.5%7.1%7.1%2.9%
Skew 10d8.4%3.3%11.9%11.9%7.5%
Call IV 25d27.5%24.6%29.1%24.6%28.9%
Put IV 25d30.9%24.2%32.9%31.7%31.8%
Bid-Ask Spread %103.9188.65118.55114.73115.82
Gamma HHI0.780.500.950.950.52
Net GEX18.7K13.1K22.2K20.4K14.2K
Net DEX-457.3K-572.0K-235.4K-532.7K-290.6K
Net VEX-3.8K-4.7K-3.1K-3.4K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.000.000.50
Total Volume13.591020006
Total OI493.182393639410639

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$33.61$35.0022.5%6.5%32.3%0.0%0.0%7.1%8.0%20.4K-532.7K-3.4K0.00114.73N/AN/A0036050
2007-03-02$32.62$35.0031.7%9.1%34.0%0.0%0.0%5.2%0.2%19.0K-445.8K-3.3K0.00115.41N/AN/A0036050
2007-03-05$31.88$35.0030.4%8.8%33.8%0.0%0.0%3.5%3.2%17.8K-377.2K-3.1K0.0097.91N/AN/A2036050
2007-03-06$33.05$35.0029.0%8.7%36.1%0.0%0.0%6.1%-0.6%19.5K-495.6K-3.3K0.0099.80N/AN/A0036050
2007-03-07$32.79$35.0032.3%7.6%36.1%0.0%0.0%5.3%0.2%19.2K-458.1K-3.3K0.0098.18N/AN/A6036050
2007-03-08$33.16$35.0030.5%9.0%35.2%0.0%0.0%6.1%-1.2%20.0K-511.3K-3.3K0.0099.69N/AN/A0036450
2007-03-09$33.27$35.0032.2%9.2%35.1%0.0%0.0%5.1%-1.3%20.3K-513.7K-3.3K0.0099.75N/AN/A0036450
2007-03-12$33.56$35.0030.0%8.8%35.0%0.0%0.0%5.8%0.9%21.0K-532.6K-3.3K0.0095.84N/AN/A1036450
2007-03-13$32.52$35.0060.2%7.7%36.6%0.0%0.0%3.9%1.2%19.3K-442.0K-3.2K0.00107.64N/AN/A6036450
2007-03-14$33.19$35.0051.6%8.6%37.3%0.0%0.0%4.7%1.0%20.6K-517.5K-3.3K0.0099.93N/AN/A0036447
2007-03-15$33.47$35.0030.4%8.7%36.2%0.0%0.0%4.0%0.9%21.5K-538.1K-3.2K0.0097.90N/AN/A0036447
2007-03-16$33.67$35.0030.9%8.8%36.3%0.0%0.0%4.4%1.3%22.2K-546.7K-3.3K0.0097.06N/AN/A0036447
2007-03-19$33.47$35.0028.7%8.2%36.2%0.0%0.0%3.6%3.1%19.0K-532.7K-3.2K1.0098.58N/AN/A10010034845
2007-03-20$33.52$35.0029.2%8.4%31.7%0.0%0.0%3.6%2.9%19.9K-498.4K-4.6K0.0098.58N/AN/A30448129
2007-03-21$34.11$35.0026.0%7.4%32.3%0.0%0.0%-0.6%5.0%20.9K-572.0K-4.7K0.5088.65N/AN/A105451129
2007-03-22$34.00$35.0029.2%8.4%32.2%0.0%0.0%-1.4%1.8%21.0K-555.7K-4.7K0.0095.57N/AN/A00453134
2007-03-23$33.48$35.0029.4%8.4%32.1%0.0%29.3%1.9%4.4%20.0K-514.0K-4.6K0.00103.95N/AN/A053453134
2007-03-26$33.47$35.0029.2%8.4%32.1%0.0%0.0%-2.5%1.8%13.1K-389.0K-4.7K0.00106.18N/AN/A30453182
2007-03-27$32.80$35.0025.9%7.4%28.0%0.0%0.0%3.1%8.6%13.9K-280.3K-4.5K0.00117.95N/AN/A40453182
2007-03-28$32.56$35.0025.0%7.2%27.5%0.0%0.0%3.0%7.8%14.4K-235.4K-4.5K0.00118.55N/AN/A00457182
2007-03-29$32.84$35.0026.7%7.6%27.3%0.0%0.0%1.4%8.5%14.3K-281.8K-4.5K0.00118.29N/AN/A00457182
2007-03-30$32.97$35.0022.1%6.3%25.1%0.0%22.2%2.9%9.2%14.2K-290.6K-4.4K0.50115.82N/AN/A42457182