VSAT Options History — October 2007

In October 2007, VSAT traded between $29.81 and $33.02. ATM implied volatility averaged 38.6%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.0% (HV 20d: 34.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 2.25.

Notable Days

  • 2007-10-09: Highest Volume — 83 contracts
  • 2007-10-03: Largest IV spike — 50.7% change
  • 2007-10-30: Highest IV Rank — 62.6%
  • 2007-10-30: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.19$29.81$33.02$31.39$30.50
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.6%26.0%44.6%32.4%39.2%
Expected Move11.1%7.5%12.8%9.3%11.2%
HV 20d34.7%28.6%43.3%43.3%34.2%
HV 60d44.1%42.8%45.4%44.5%42.8%
IV Rank48.2%18.1%62.6%33.4%49.7%
IV Percentile89.2%15.0%99.0%64.5%90.9%
Term Structure-1.1%-6.8%12.4%4.6%-1.3%
VWIV39.7%35.0%44.6%39.6%40.0%
Bid-Ask Spread %99.4385.08118.09110.12102.15
Gamma HHI0.720.510.990.990.51
Net GEX10.5K2.6K17.7K9.9K2.6K
Net DEX-220.9K-431.5K-59.9K-181.7K-97.7K
Net VEX-1.6K-1.8K-1.2K-1.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0026.670.002.29
Total Volume11.5650832323
Total OI339.217225381225366

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$31.39$30.0032.4%9.3%43.3%33.4%0.0%0.0%4.6%9.9K-181.7K-1.2K0.00110.12N/AN/A23019233
2007-10-02$31.50$30.0026.0%7.5%43.2%18.1%0.0%0.0%12.4%11.8K-233.2K-1.3K0.00115.87N/AN/A0021533
2007-10-03$31.67$30.0039.2%11.2%40.6%49.6%39.6%0.0%-0.8%11.8K-236.9K-1.4K0.00110.65N/AN/A41021533
2007-10-04$32.33$30.0033.0%9.5%40.4%34.9%0.0%0.0%0.9%15.7K-368.4K-1.6K0.00118.09N/AN/A14025633
2007-10-05$33.02$30.0042.2%10.5%36.5%56.8%36.3%0.0%-1.1%16.7K-431.5K-1.7K0.0085.08N/AN/A10027033
2007-10-08$32.38$30.0037.2%10.7%37.2%44.9%35.0%0.0%-2.7%17.7K-396.1K-1.7K0.0090.54N/AN/A10028033
2007-10-09$32.53$30.0035.8%11.2%34.4%41.5%39.2%0.0%-2.2%16.8K-413.2K-1.7K26.6790.85N/AN/A38027633
2007-10-10$32.06$30.0033.7%11.5%34.6%36.5%0.0%0.0%-2.6%11.9K-326.1K-1.8K0.0089.08N/AN/A10027691
2007-10-11$31.08$30.0041.5%11.9%36.8%55.2%42.0%0.0%-1.8%11.9K-254.5K-1.8K0.0092.74N/AN/A2028691
2007-10-12$30.48$30.0040.5%11.6%37.3%52.9%40.5%0.0%-2.2%11.4K-181.1K-1.7K0.3395.85N/AN/A3128891
2007-10-15$30.12$30.0040.1%11.5%37.0%51.7%0.0%0.0%-1.7%12.2K-146.6K-1.6K0.0095.71N/AN/A3028992
2007-10-16$30.07$30.0040.7%11.7%31.2%53.2%0.0%0.0%-2.2%13.1K-147.4K-1.6K0.0095.74N/AN/A0028992
2007-10-17$31.37$30.0040.4%11.6%28.8%52.6%40.4%0.0%-2.9%12.5K-279.4K-1.7K0.0099.30N/AN/A23028992
2007-10-18$31.26$30.0040.1%11.5%28.8%51.9%0.0%0.0%-3.0%10.6K-238.9K-1.7K0.0099.38N/AN/A0027892
2007-10-19$30.50$30.0040.3%11.6%29.8%52.4%0.0%0.0%-1.9%11.6K-165.7K-1.6K0.0097.59N/AN/A0027892
2007-10-22$31.00$30.0039.8%11.4%28.6%51.1%0.0%0.0%-1.9%7.4K-171.5K-1.6K0.00100.06N/AN/A0026592
2007-10-23$31.51$30.0040.2%11.5%29.2%52.0%0.0%0.0%-2.2%8.6K-212.2K-1.6K0.00102.21N/AN/A0026592
2007-10-24$30.65$30.0040.6%11.6%30.7%53.0%0.0%0.0%-2.6%6.4K-138.8K-1.5K0.0097.98N/AN/A10026592
2007-10-25$29.81$30.0040.0%11.5%32.2%51.6%0.0%0.0%-0.3%3.6K-59.9K-1.4K0.00100.03N/AN/A0026492
2007-10-26$30.82$30.0040.8%11.7%34.4%53.6%0.0%0.0%-2.6%6.5K-150.5K-1.5K0.00100.49N/AN/A0026492
2007-10-29$30.92$30.0039.4%11.3%33.8%50.0%0.0%0.0%-1.3%6.0K-154.4K-1.4K0.00103.31N/AN/A0026492
2007-10-30$30.39$30.0044.6%12.8%34.2%62.6%44.6%0.0%-6.8%4.8K-94.3K-1.3K0.0094.06N/AN/A01026492
2007-10-31$30.50$30.0039.2%11.2%34.2%49.7%40.0%0.0%-1.3%2.6K-97.7K-1.4K2.29102.15N/AN/A716264102