VSAT Options History — May 2007

In May 2007, VSAT traded between $30.37 and $34.90. ATM implied volatility averaged 31.8%. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.2% (HV 20d: 36.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2007-05-15: Highest Volume — 144 contracts
  • 2007-05-24: Largest IV spike — 24.5% change
  • 2007-05-08: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.91$30.37$34.90$34.19$32.39
Max Pain$30.23$30.00$35.00$30.00$30.00
ATM IV31.8%23.8%38.1%32.5%31.5%
Expected Move9.0%6.8%10.0%9.3%9.0%
HV 20d36.0%21.3%43.9%30.0%43.7%
HV 60d31.5%28.5%35.1%28.9%32.3%
Term Structure1.9%-4.4%9.6%0.2%0.8%
VWIV30.0%21.6%34.4%32.5%25.5%
Skew 25d11.3%-0.1%28.5%-0.1%1.1%
Skew 10d16.5%-0.6%43.1%-0.3%-0.6%
Call IV 25d35.4%32.6%39.4%32.6%38.3%
Put IV 25d46.7%32.5%63.6%32.5%39.4%
Bid-Ask Spread %99.2386.33117.97107.49109.11
Gamma HHI0.540.450.700.690.60
Net GEX22.4K12.1K35.9K32.6K26.4K
Net DEX-338.7K-750.2K150.8K-690.6K-165.8K
Net VEX-4.3K-5.2K-3.4K-4.7K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.006.670.630.00
Total Volume25.0910144260
Total OI813.409704942704748

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$34.19$30.0032.5%9.3%30.0%0.0%32.5%-0.1%0.2%32.6K-690.6K-4.7K0.63107.49N/AN/A1610555149
2007-05-02$34.51$30.0032.6%9.4%30.1%0.0%32.6%23.5%0.6%35.9K-750.2K-4.8K0.00100.31N/AN/A0120571159
2007-05-03$34.79$35.0034.4%9.9%29.9%0.0%34.4%23.5%-1.3%14.7K-596.8K-5.2K0.00102.48N/AN/A110571264
2007-05-04$34.72$30.0035.3%9.4%29.9%0.0%23.3%2.3%0.9%15.4K-614.5K-5.1K0.0090.18N/AN/A90576264
2007-05-07$34.90$30.0032.6%9.3%29.3%0.0%0.0%28.5%1.3%12.1K-631.6K-5.1K0.0091.03N/AN/A20585264
2007-05-08$34.35$30.0038.1%10.0%29.4%0.0%0.0%0.4%-1.7%15.8K-502.6K-4.9K0.0086.33N/AN/A530587264
2007-05-09$34.25$30.0035.4%9.3%29.5%0.0%32.5%1.1%3.0%17.9K-483.2K-5.1K0.0092.97N/AN/A240639264
2007-05-10$33.47$30.0032.2%9.2%24.8%0.0%0.0%0.0%3.4%18.6K-306.0K-4.8K0.0096.38N/AN/A80643264
2007-05-11$34.18$30.0032.7%9.4%23.2%0.0%0.0%0.0%1.3%16.9K-508.0K-5.1K5.0093.54N/AN/A210651264
2007-05-14$33.94$30.0032.4%9.3%21.3%0.0%0.0%0.0%2.9%17.5K-395.4K-4.9K0.0995.74N/AN/A353652254
2007-05-15$30.76$30.0034.3%9.8%41.2%0.0%0.0%0.0%-4.4%27.4K150.8K-3.5K6.2094.99N/AN/A20124685257
2007-05-16$30.90$30.0033.9%9.7%41.3%0.0%0.0%0.0%-1.6%23.6K-174.8K-3.4K1.2597.33N/AN/A45682155
2007-05-17$30.37$30.0033.6%9.6%41.6%0.0%0.0%0.0%-0.1%23.2K-130.2K-3.4K2.0093.19N/AN/A1020682158
2007-05-18$31.48$30.0033.8%9.7%43.1%0.0%33.8%0.0%-2.1%23.2K-227.0K-3.8K6.67102.77N/AN/A320674178
2007-05-21$31.94$30.0031.4%9.0%43.5%0.0%34.0%0.0%-4.2%24.6K-216.1K-4.1K0.00100.57N/AN/A130573181
2007-05-22$32.45$30.0027.1%7.8%43.8%0.0%21.6%0.0%4.4%26.6K-281.4K-4.2K0.00101.12N/AN/A140571181
2007-05-23$32.53$30.0025.3%7.3%42.5%0.0%0.0%0.0%9.3%25.8K-239.8K-4.2K0.00117.97N/AN/A60561181
2007-05-24$31.53$30.0031.5%9.0%42.9%0.0%0.0%0.0%3.2%22.4K-147.1K-3.9K0.00111.00N/AN/A00566181
2007-05-25$31.64$30.0023.8%6.8%43.0%0.0%0.0%0.0%9.6%22.7K-144.9K-3.8K0.0097.88N/AN/A00566181
2007-05-29$32.04$30.0026.1%7.5%43.3%0.0%0.0%0.0%9.2%23.4K-158.8K-3.8K0.0098.31N/AN/A10566181
2007-05-30$32.59$30.0029.1%8.4%43.9%0.0%25.5%0.0%7.0%26.8K-237.4K-4.0K0.00102.38N/AN/A90566181
2007-05-31$32.39$30.0031.5%9.0%43.7%0.0%0.0%0.0%0.8%26.4K-165.8K-3.8K0.00109.11N/AN/A00567181