VSAT Options History — September 2007 In September 2007, VSAT traded between $28.33 and $32.56. ATM implied volatility averaged 31.8%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 12.7% (HV 20d: 44.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-19 : Highest Volume — 28 contracts2007-09-05 : Largest IV spike — 33.3% change2007-09-13 : Highest IV Rank — 41.5%2007-09-11 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $30.41 $28.33 $32.56 $30.30 $30.83 Max Pain $26.25 $25.00 $30.00 $25.00 $30.00 ATM IV 31.8% 26.1% 35.8% 26.1% 34.8% Expected Move 9.6% 7.5% 10.3% 7.5% 10.0% HV 20d 44.6% 35.8% 53.9% 51.4% 43.2% HV 60d 43.2% 40.0% 45.3% 40.0% 44.4% IV Rank 32.0% 18.2% 41.5% 18.2% 39.1% IV Percentile 62.0% 16.8% 93.7% 16.8% 85.9% Term Structure 1.3% -2.1% 5.2% 2.7% 2.2% VWIV 34.3% 34.3% 34.3% 34.3% 34.3% Bid-Ask Spread % 102.33 92.45 129.60 129.60 102.42 Gamma HHI 0.85 0.78 1.00 0.82 1.00 Net GEX 6.5K 4.3K 9.5K 5.8K 8.9K Net DEX -125.4K -223.8K -49.1K -115.6K -153.6K Net VEX -1.2K -1.4K -924 -1.2K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.632 0 28 0 0 Total OI 198.789 190 225 190 225
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 2007-09-04 $30.30 $25.00 26.1% 7.5% 51.4% 18.2% 0.0% 0.0% 2.7% 5.8K -115.6K -1.2K 0.00 129.60 N/A N/A 0 0 157 33 2007-09-05 $29.20 $25.00 34.7% 10.0% 53.2% 39.0% 0.0% 0.0% 1.4% 4.8K -83.2K -1.1K 0.00 106.76 N/A N/A 0 0 157 33 2007-09-06 $29.93 $25.00 34.9% 10.0% 52.9% 39.3% 0.0% 0.0% 0.6% 5.2K -105.0K -1.2K 0.00 103.16 N/A N/A 0 0 157 33 2007-09-07 $28.62 $0.00 26.6% 10.2% 53.9% 19.6% 0.0% 0.0% 1.9% 4.4K -61.7K -1.0K 0.00 95.00 N/A N/A 0 0 157 33 2007-09-10 $28.33 $0.00 28.4% 10.3% 47.3% 23.9% 0.0% 0.0% 0.1% 4.3K -49.1K -924 0.00 97.45 N/A N/A 0 0 157 33 2007-09-11 $29.63 $0.00 28.4% 10.3% 40.2% 23.8% 0.0% 0.0% -0.1% 5.0K -91.2K -1.1K 0.00 92.45 N/A N/A 0 0 157 33 2007-09-12 $29.29 $0.00 27.8% 10.1% 40.3% 22.5% 0.0% 0.0% 0.2% 4.7K -78.3K -1.1K 0.00 94.48 N/A N/A 3 0 157 33 2007-09-13 $29.23 $0.00 35.8% 10.3% 38.6% 41.5% 0.0% 0.0% -0.1% 4.8K -76.9K -1.0K 0.00 94.48 N/A N/A 0 0 159 33 2007-09-14 $29.70 $0.00 35.3% 10.1% 36.0% 40.3% 0.0% 0.0% 0.7% 5.2K -91.9K -1.1K 0.00 93.50 N/A N/A 0 0 159 33 2007-09-17 $29.22 $0.00 35.7% 10.2% 35.8% 41.2% 0.0% 0.0% 0.2% 4.7K -74.7K -976 0.00 96.00 N/A N/A 0 0 159 33 2007-09-18 $30.86 $0.00 34.9% 10.0% 40.7% 39.4% 0.0% 0.0% 1.0% 6.4K -138.7K -1.2K 0.00 97.63 N/A N/A 0 0 159 33 2007-09-19 $32.56 $0.00 26.8% 7.7% 45.0% 20.1% 0.0% 0.0% 3.0% 7.6K -203.1K -1.3K 0.00 106.18 N/A N/A 28 0 159 33 2007-09-20 $32.50 $0.00 26.6% 7.6% 44.6% 19.5% 0.0% 0.0% 5.2% 9.4K -223.8K -1.4K 0.00 106.07 N/A N/A 2 0 178 33 2007-09-21 $32.54 $0.00 30.7% 8.8% 44.6% 29.3% 0.0% 0.0% -2.1% 9.5K -220.8K -1.3K 0.00 110.16 N/A N/A 1 0 179 33 2007-09-24 $31.52 $0.00 34.2% 9.8% 46.2% 37.6% 0.0% 0.0% 1.2% 8.5K -164.1K -1.3K 0.00 105.73 N/A N/A 0 1 177 32 2007-09-25 $31.35 $0.00 33.9% 9.7% 45.9% 36.9% 0.0% 0.0% 2.6% 8.5K -160.9K -1.2K 0.00 105.93 N/A N/A 0 0 177 33 2007-09-26 $31.11 $0.00 34.9% 10.0% 43.7% 39.4% 0.0% 0.0% 1.4% 8.1K -141.9K -1.2K 0.00 102.77 N/A N/A 0 0 177 33 2007-09-27 $31.09 $0.00 34.3% 9.8% 43.1% 37.9% 34.3% 0.0% 1.7% 8.0K -147.2K -1.2K 0.00 104.58 N/A N/A 15 0 177 33 2007-09-28 $30.83 $30.00 34.8% 10.0% 43.2% 39.1% 0.0% 0.0% 2.2% 8.9K -153.6K -1.2K 0.00 102.42 N/A N/A 0 0 192 33
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