VSAT Options History — July 2009

In July 2009, VSAT traded between $24.92 and $27.17. ATM implied volatility averaged 37.8%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.1% (HV 20d: 34.6%). 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 3 of 22 days. Put/call ratio averaged 4.03.

Notable Days

  • 2009-07-29: Highest Volume — 120 contracts
  • 2009-07-02: Largest IV spike — 37.8% change
  • 2009-07-17: Highest IV Rank — 14.9%
  • 2009-07-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.02$24.92$27.17$27.01$27.00
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV37.8%25.1%43.2%25.1%36.9%
Expected Move11.6%7.2%12.4%7.2%10.6%
HV 20d34.6%24.6%38.8%37.6%24.6%
HV 60d39.4%38.2%40.0%40.0%38.2%
IV Rank10.8%1.2%14.9%1.2%10.1%
IV Percentile31.7%0.4%56.7%0.4%22.6%
Term Structure-1.0%-5.2%14.8%14.8%-2.3%
VWIV42.4%41.8%43.0%41.8%42.4%
Skew 25d4.0%1.4%6.5%3.8%1.4%
Skew 10d-0.5%-8.7%9.2%-2.8%-6.4%
Call IV 25d36.3%33.7%37.9%37.3%34.1%
Put IV 25d40.3%35.5%43.3%41.1%35.5%
Bid-Ask Spread %79.5458.41105.4996.63105.49
Gamma HHI0.520.410.730.450.73
Net GEX8.4K3.4K17.6K11.3K17.3K
Net DEX-493.5K-723.7K-330.5K-603.7K-709.3K
Net VEX-2.7K-3.7K-2.3K-2.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.030.0024.000.000.20
Total Volume19.4090120800
Total OI616.5527761533761

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$27.01$25.0025.1%7.2%37.6%1.2%0.0%3.8%14.8%11.3K-603.7K-2.4K0.0096.63N/AN/A080396137
2009-07-02$26.37$25.0034.7%9.9%38.3%8.4%0.0%3.6%6.8%6.2K-477.1K-2.8K0.0090.72N/AN/A00396217
2009-07-06$26.03$0.0038.3%12.1%38.1%11.2%0.0%4.7%-0.7%5.3K-441.9K-2.7K0.0058.41N/AN/A01396217
2009-07-07$25.50$0.0034.0%12.1%38.2%7.9%0.0%3.9%-1.4%4.3K-393.1K-2.7K0.0069.90N/AN/A01396218
2009-07-08$24.92$0.0035.3%12.0%38.8%8.9%41.8%6.5%-1.6%3.4K-330.5K-2.7K0.0062.51N/AN/A070396219
2009-07-09$25.13$25.0035.6%11.7%38.6%9.1%0.0%5.9%-1.0%4.2K-366.8K-2.6K0.0063.91N/AN/A04396202
2009-07-10$24.96$25.0034.5%11.9%36.4%8.3%0.0%5.0%-1.5%4.1K-352.6K-2.5K0.0065.44N/AN/A00396198
2009-07-13$25.36$25.0031.4%12.0%36.9%6.0%0.0%5.9%-2.1%3.7K-380.4K-2.5K0.0063.60N/AN/A00396198
2009-07-14$25.24$25.0035.2%12.3%36.9%8.8%0.0%5.2%-2.9%3.4K-376.0K-2.5K0.0066.93N/AN/A00396198
2009-07-15$26.06$25.0034.5%12.0%36.4%8.3%0.0%4.3%-1.1%6.3K-466.4K-2.5K0.0070.71N/AN/A00396198
2009-07-16$25.96$25.0042.9%12.3%36.3%14.6%0.0%3.2%-3.2%6.1K-459.3K-2.4K0.0077.34N/AN/A00396198
2009-07-17$25.88$25.0043.2%12.4%36.1%14.9%0.0%5.6%-3.6%6.2K-453.0K-2.4K0.0073.13N/AN/A00396188
2009-07-20$25.21$25.0043.0%12.3%37.3%14.7%43.0%4.4%-3.6%8.1K-388.0K-2.3K0.0070.94N/AN/A90376151
2009-07-21$25.53$25.0042.6%12.2%33.2%14.4%42.4%4.4%-3.9%8.8K-420.9K-2.4K24.0073.23N/AN/A124381151
2009-07-22$26.11$25.0041.9%12.0%34.0%13.9%0.0%3.4%-5.2%7.2K-473.4K-2.4K0.0086.34N/AN/A1100382175
2009-07-23$26.28$25.0041.2%11.8%31.9%13.4%0.0%2.0%-4.2%12.0K-590.9K-3.0K0.0087.92N/AN/A50492175
2009-07-24$26.20$25.0040.4%11.6%31.1%12.8%0.0%3.2%-3.6%11.9K-578.5K-3.0K0.0088.27N/AN/A00492175
2009-07-27$26.50$25.0041.9%12.0%31.3%13.9%0.0%2.7%-4.2%12.3K-621.2K-3.0K0.0089.86N/AN/A20492175
2009-07-28$27.04$25.0042.1%12.1%32.0%14.1%0.0%3.0%-3.7%13.0K-622.0K-2.9K0.0095.29N/AN/A00467175
2009-07-29$27.01$25.0041.3%11.9%31.9%13.5%0.0%2.0%-2.5%12.8K-628.8K-2.9K0.2093.68N/AN/A10020467175
2009-07-30$27.17$25.0034.5%9.9%26.0%8.3%0.0%3.7%8.7%17.6K-723.7K-3.7K0.0099.68N/AN/A00566195
2009-07-31$27.00$25.0036.9%10.6%24.6%10.1%0.0%1.4%-2.3%17.3K-709.3K-3.6K0.00105.49N/AN/A00566195