VSAT Options History — June 2007

In June 2007, VSAT traded between $29.74 and $32.23. ATM implied volatility averaged 30.0%. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.8% (HV 20d: 30.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.01.

Notable Days

  • 2007-06-27: Highest Volume — 30 contracts
  • 2007-06-14: Largest IV drop — 44.2% change
  • 2007-06-26: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.16$29.74$32.23$32.23$32.10
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.0%22.4%40.2%33.3%29.5%
Expected Move8.2%6.4%10.1%9.6%8.4%
HV 20d30.8%19.2%43.6%43.5%26.9%
HV 60d32.2%31.5%33.9%32.3%33.9%
Term Structure-3.2%-13.7%7.4%-13.7%-11.8%
Bid-Ask Spread %113.4296.17122.73109.73118.06
Gamma HHI0.690.570.770.580.67
Net GEX21.4K13.6K28.1K25.8K28.1K
Net DEX-12.9K-284.8K194.5K-181.4K-239.9K
Net VEX-2.9K-3.9K-1.9K-3.8K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.100.100.00
Total Volume4.2380301126
Total OI753.333743783745783

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$32.23$30.0033.3%9.6%43.5%0.0%0.0%0.0%-13.7%25.8K-181.4K-3.8K0.10109.73N/AN/A101567178
2007-06-04$32.10$30.0028.3%6.9%43.5%0.0%0.0%0.0%-6.7%26.1K-284.8K-3.9K0.00120.09N/AN/A70577179
2007-06-05$31.74$30.0027.9%7.9%43.4%0.0%0.0%0.0%-3.5%24.5K-119.8K-3.4K0.00113.72N/AN/A00577179
2007-06-06$31.67$30.0029.1%8.0%43.2%0.0%0.0%0.0%-4.8%24.4K-122.4K-3.4K0.00116.20N/AN/A00577179
2007-06-07$31.06$30.0028.4%8.4%43.6%0.0%0.0%0.0%-1.7%20.9K19.1K-2.9K0.00111.45N/AN/A20577179
2007-06-08$31.34$30.0029.3%8.1%43.3%0.0%0.0%0.0%-7.4%22.7K-64.6K-3.3K0.00114.95N/AN/A30577179
2007-06-11$31.25$30.0032.9%7.9%42.3%0.0%0.0%0.0%-7.2%22.9K-53.1K-3.1K0.00117.63N/AN/A00580179
2007-06-12$30.56$30.0032.3%8.4%42.8%0.0%0.0%0.0%0.5%17.0K130.8K-2.4K0.00112.02N/AN/A00580179
2007-06-13$31.23$30.0040.2%7.1%26.1%0.0%0.0%0.0%-6.2%22.8K-42.5K-3.1K0.00120.83N/AN/A00580179
2007-06-14$31.38$30.0022.4%6.4%26.1%0.0%0.0%0.0%-1.8%23.3K-41.3K-3.0K0.00119.91N/AN/A00580179
2007-06-15$31.25$30.0024.8%7.1%25.3%0.0%0.0%0.0%-6.0%22.8K-32.8K-3.0K0.00120.54N/AN/A00580179
2007-06-18$30.93$30.0027.6%7.9%22.1%0.0%0.0%0.0%2.8%18.5K109.2K-2.3K0.00119.06N/AN/A00564179
2007-06-19$31.25$30.0023.0%6.6%21.7%0.0%0.0%0.0%-1.3%22.8K-30.4K-2.9K0.00120.76N/AN/A00564179
2007-06-20$30.93$30.0022.9%6.6%21.0%0.0%0.0%0.0%7.4%18.3K118.4K-2.3K0.00122.73N/AN/A00564179
2007-06-21$30.82$30.0026.9%7.7%20.9%0.0%0.0%0.0%3.9%17.8K132.3K-2.3K0.00120.00N/AN/A00564179
2007-06-22$30.07$30.0034.4%9.9%19.9%0.0%0.0%0.0%-1.4%15.9K137.0K-2.2K0.0096.17N/AN/A00564179
2007-06-25$30.10$30.0034.3%9.8%19.8%0.0%0.0%0.0%0.8%14.6K173.4K-2.0K0.0097.43N/AN/A00564179
2007-06-26$29.74$30.0035.1%10.1%19.2%0.0%0.0%0.0%-1.5%13.6K194.5K-1.9K0.0097.43N/AN/A00564179
2007-06-27$31.19$30.0034.1%9.8%25.6%0.0%0.0%0.0%-6.4%22.9K-6.7K-2.6K0.00104.52N/AN/A300564179
2007-06-28$31.46$30.0033.6%9.6%25.8%0.0%0.0%0.0%-0.5%23.6K-66.0K-2.9K0.00108.53N/AN/A100594179
2007-06-29$32.10$30.0029.5%8.4%26.9%0.0%0.0%0.0%-11.8%28.1K-239.9K-3.3K0.00118.06N/AN/A260604179