VSAT Options History — June 2009

In June 2009, VSAT traded between $24.38 and $26.89. ATM implied volatility averaged 37.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.8% (HV 20d: 42.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-06-02: Highest Volume — 93 contracts
  • 2009-06-08: Largest IV spike — 47.9% change
  • 2009-06-01: Highest IV Rank — 14.5%
  • 2009-06-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.90$24.38$26.89$25.91$25.64
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV37.9%27.0%42.6%42.6%37.3%
Expected Move11.1%10.1%12.2%12.2%10.7%
HV 20d42.7%33.9%49.2%48.4%33.9%
HV 60d46.0%39.7%50.8%50.4%39.8%
IV Rank10.8%2.6%14.5%14.5%10.4%
IV Percentile32.3%1.6%54.8%54.8%25.4%
Term Structure2.2%-1.3%6.0%-1.3%5.0%
VWIV40.3%37.9%42.6%42.6%37.9%
Skew 25d2.4%-6.3%8.0%-3.3%4.4%
Skew 10d1.3%-8.5%6.9%-8.5%4.6%
Call IV 25d37.1%30.0%42.6%42.6%37.6%
Put IV 25d39.6%29.1%43.0%39.3%42.1%
Bid-Ask Spread %90.5074.64102.8996.6378.84
Gamma HHI0.510.380.810.800.39
Net GEX8.5K6.3K11.6K7.7K9.2K
Net DEX-414.8K-517.7K-308.8K-375.2K-473.1K
Net VEX-2.2K-2.5K-1.4K-1.5K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.008.000.170.00
Total Volume17.54509370
Total OI443.227274533274533

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$25.91$25.0042.6%12.2%48.4%14.5%42.6%-3.3%-1.3%7.7K-375.2K-1.5K0.1796.63N/AN/A6123044
2009-06-02$26.49$25.0040.8%11.7%48.5%13.1%0.0%8.0%-0.3%7.8K-411.9K-1.4K0.00102.89N/AN/A93023345
2009-06-03$25.83$25.0041.8%12.0%49.2%13.9%0.0%3.3%-1.2%8.8K-385.8K-1.5K8.0099.79N/AN/A108025345
2009-06-04$26.27$25.0041.2%11.8%49.1%13.4%0.0%7.0%0.6%6.3K-367.3K-1.9K0.00101.64N/AN/A100263125
2009-06-05$26.70$25.0027.0%11.6%47.3%2.6%0.0%-0.9%0.2%6.9K-409.6K-1.9K0.0084.51N/AN/A00273125
2009-06-08$26.21$25.0039.9%11.7%47.0%12.4%0.0%1.8%0.4%6.9K-378.8K-1.9K0.0087.88N/AN/A30273125
2009-06-09$26.39$25.0033.1%11.6%46.1%7.2%0.0%-6.3%1.7%6.9K-387.9K-1.9K1.3388.40N/AN/A34270125
2009-06-10$25.90$25.0037.1%10.8%43.5%10.3%0.0%-3.1%2.2%7.0K-353.3K-1.9K0.0092.63N/AN/A010273129
2009-06-11$26.76$25.0038.8%11.1%41.6%11.6%0.0%-1.8%0.1%6.9K-417.1K-1.9K0.0085.05N/AN/A500273134
2009-06-12$26.89$25.0038.3%11.0%41.7%11.2%0.0%-1.6%1.1%8.8K-474.4K-2.3K0.0092.20N/AN/A250323134
2009-06-15$26.88$25.0039.6%11.3%41.7%12.1%0.0%2.9%1.1%9.6K-517.7K-2.4K0.0096.11N/AN/A00348134
2009-06-16$25.86$25.0037.7%10.8%40.4%10.7%0.0%3.5%2.5%10.0K-442.1K-2.4K0.0092.86N/AN/A40348134
2009-06-17$25.62$25.0037.7%10.8%40.4%10.7%0.0%4.3%3.5%10.4K-420.8K-2.4K0.0092.50N/AN/A200351134
2009-06-18$25.39$25.0037.4%10.7%40.6%10.5%0.0%3.7%3.1%11.6K-412.6K-2.4K0.0092.94N/AN/A100360134
2009-06-19$25.58$25.0037.7%10.8%39.7%10.7%0.0%4.3%3.9%11.5K-443.0K-2.5K0.0091.26N/AN/A50370134
2009-06-22$24.40$25.0038.1%10.9%43.6%11.0%37.9%4.9%3.7%7.5K-319.0K-2.4K3.5086.47N/AN/A27355130
2009-06-23$24.38$25.0038.3%11.0%41.4%11.1%0.0%4.7%3.7%6.8K-308.8K-2.4K0.0086.77N/AN/A100355137
2009-06-24$25.24$25.0036.8%10.6%41.5%10.0%0.0%4.3%5.9%7.9K-367.2K-2.4K0.0074.64N/AN/A300365137
2009-06-25$25.79$25.0038.6%11.1%41.9%11.4%0.0%5.0%3.8%9.5K-479.7K-2.5K0.0091.61N/AN/A20395137
2009-06-26$25.75$25.0035.2%10.1%36.7%8.9%0.0%3.7%6.0%9.3K-482.6K-2.5K0.0096.96N/AN/A10395137
2009-06-29$25.83$25.0038.0%10.9%34.8%11.0%0.0%5.0%3.4%9.4K-498.8K-2.5K0.0078.30N/AN/A00396137
2009-06-30$25.64$25.0037.3%10.7%33.9%10.4%0.0%4.4%5.0%9.2K-473.1K-2.4K0.0078.84N/AN/A00396137