VSAT Options History — April 2007

In April 2007, VSAT traded between $31.07 and $34.83. ATM implied volatility averaged 27.6%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.2% (HV 20d: 25.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.13.

Notable Days

  • 2007-04-26: Highest Volume — 78 contracts
  • 2007-04-24: Largest IV spike — 29.1% change
  • 2007-04-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.07$31.07$34.83$32.96$34.30
Max Pain$31.00$30.00$35.00$35.00$30.00
ATM IV27.6%18.5%36.4%21.8%36.4%
Expected Move7.8%5.3%10.4%6.3%10.4%
HV 20d25.3%17.5%30.0%23.5%30.0%
HV 60d29.5%28.2%31.0%28.5%29.4%
Term Structure3.2%-6.5%15.0%8.2%-3.5%
VWIV29.7%15.0%36.4%15.0%36.4%
Skew 25d-0.5%-7.1%9.7%1.5%1.1%
Skew 10d1.5%-4.9%7.8%6.4%2.3%
Call IV 25d27.7%18.1%33.4%29.2%33.4%
Put IV 25d27.2%22.5%34.5%30.7%34.5%
Bid-Ask Spread %110.0198.91117.33115.3098.91
Gamma HHI0.620.520.670.530.66
Net GEX22.7K14.1K32.8K14.5K30.4K
Net DEX-420.5K-811.0K-145.9K-287.6K-777.0K
Net VEX-4.2K-4.9K-3.7K-4.4K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.250.000.00
Total Volume13.7078016
Total OI631.95602703640696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$32.96$35.0021.8%6.3%23.5%0.0%0.0%1.5%8.2%14.5K-287.6K-4.4K0.00115.30N/AN/A00458182
2007-04-03$33.22$35.0018.5%5.3%19.9%0.0%15.0%-3.5%15.0%14.1K-320.7K-4.5K0.00116.09N/AN/A20458182
2007-04-04$32.97$35.0021.1%6.0%19.9%0.0%0.0%-6.5%11.1%15.0K-282.8K-4.3K0.00115.64N/AN/A50460182
2007-04-05$33.26$35.0020.8%6.0%19.7%0.0%0.0%-4.4%11.0%15.2K-320.9K-4.5K1.25116.45N/AN/A45464182
2007-04-09$32.81$30.0026.6%7.7%20.3%0.0%0.0%-7.1%2.3%16.1K-241.0K-4.3K0.00109.99N/AN/A050464185
2007-04-10$32.35$30.0029.0%8.0%20.5%0.0%0.0%0.3%0.1%21.9K-316.5K-4.1K0.00107.09N/AN/A06464144
2007-04-11$32.59$30.0035.7%7.8%17.5%0.0%0.0%-7.0%1.1%21.8K-336.2K-4.1K0.00111.10N/AN/A00464147
2007-04-12$31.07$30.0032.9%9.4%22.9%0.0%0.0%8.0%-6.5%19.0K-145.9K-3.7K0.00102.32N/AN/A00464147
2007-04-13$32.13$30.0028.8%8.2%26.1%0.0%0.0%9.7%-0.6%22.1K-285.9K-3.8K0.00109.62N/AN/A200464138
2007-04-16$33.06$30.0030.2%8.6%28.2%0.0%28.2%-4.5%0.1%25.3K-473.9K-4.2K0.00108.33N/AN/A50484138
2007-04-17$32.65$30.0026.8%7.7%28.4%0.0%0.0%-5.4%1.5%24.9K-409.9K-4.0K0.00114.84N/AN/A00484138
2007-04-18$32.62$30.0021.0%6.0%28.4%0.0%0.0%6.1%13.8%25.2K-409.6K-4.0K0.00117.33N/AN/A00484138
2007-04-19$32.37$30.0025.4%7.3%27.6%0.0%0.0%2.2%-2.8%23.6K-347.4K-3.9K0.00114.11N/AN/A30484138
2007-04-20$33.05$30.0028.5%8.2%28.8%0.0%0.0%-4.0%1.7%25.0K-458.3K-4.1K0.00111.25N/AN/A10484138
2007-04-23$32.94$30.0021.5%6.2%28.3%0.0%0.0%1.8%8.8%25.5K-392.6K-4.0K0.00115.56N/AN/A00471138
2007-04-24$33.26$30.0027.7%8.0%28.6%0.0%0.0%-1.7%3.5%25.7K-427.8K-4.0K0.00113.32N/AN/A00471138
2007-04-25$34.16$30.0032.8%9.4%29.1%0.0%32.2%-0.5%-1.6%26.5K-599.2K-4.2K0.00101.17N/AN/A580471138
2007-04-26$34.83$30.0031.4%9.0%29.5%0.0%32.5%1.7%2.9%29.4K-765.3K-4.6K0.16101.02N/AN/A6711516138
2007-04-27$34.71$30.0034.2%9.8%29.5%0.0%34.2%2.1%-1.3%32.8K-811.0K-4.9K0.05100.72N/AN/A201555148
2007-04-30$34.30$30.0036.4%10.4%30.0%0.0%36.4%1.1%-3.5%30.4K-777.0K-4.8K0.0098.91N/AN/A160547149