VSAT Options History — August 2009

In August 2009, VSAT traded between $24.00 and $27.38. ATM implied volatility averaged 37.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.5% (HV 20d: 39.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2009-08-05: Highest Volume — 620 contracts
  • 2009-08-12: Largest IV spike — 26.1% change
  • 2009-08-12: Highest IV Rank — 13.5%
  • 2009-08-05: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.85$24.00$27.38$27.26$24.23
Max Pain$23.10$22.50$25.00$25.00$22.50
ATM IV37.5%32.8%41.4%36.2%37.1%
Expected Move10.8%10.0%11.5%10.4%10.7%
HV 20d39.0%21.2%43.6%24.1%40.0%
HV 60d38.1%34.6%41.8%37.7%34.6%
IV Rank10.6%7.0%13.5%9.6%10.3%
IV Percentile29.9%6.0%50.8%18.3%25.0%
Term Structure-0.2%-5.1%5.9%5.6%-0.2%
VWIV39.8%37.1%51.0%41.5%37.2%
Skew 25d4.9%-6.6%8.5%3.5%-6.6%
Skew 10d6.2%-4.3%18.6%-4.3%-4.0%
Call IV 25d33.4%30.8%37.9%33.3%35.0%
Put IV 25d38.3%28.4%42.5%36.8%28.4%
Bid-Ask Spread %86.3271.07108.73101.0382.69
Gamma HHI0.420.330.750.750.37
Net GEX10.6K-3.5K28.4K16.7K13.2K
Net DEX-334.3K-770.0K-32.6K-735.2K-310.9K
Net VEX-3.2K-4.2K-2.4K-3.5K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.002.750.000.00
Total Volume36.143062021
Total OI1,105.2387611,370761762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$27.26$25.0036.2%10.4%24.1%9.6%0.0%3.5%5.6%16.7K-735.2K-3.5K0.00101.03N/AN/A20566195
2009-08-04$27.38$25.0034.9%10.0%22.6%8.6%41.5%3.7%-5.1%18.3K-770.0K-3.5K0.00108.73N/AN/A60566195
2009-08-05$27.03$25.0040.1%11.5%21.2%12.6%39.4%4.6%5.9%16.7K-717.1K-3.6K2.0295.61N/AN/A205415570195
2009-08-06$24.39$25.0039.3%11.3%43.4%11.9%51.0%8.0%-2.8%24-184.1K-4.2K2.7586.22N/AN/A2055775595
2009-08-07$24.00$25.0036.3%10.6%43.6%9.7%37.1%4.3%0.1%-3.5K-40.4K-4.0K1.8885.73N/AN/A815775595
2009-08-10$24.06$22.5037.4%10.7%43.2%10.5%38.5%4.2%0.3%-3.5K-37.9K-3.7K0.0084.49N/AN/A04775580
2009-08-11$24.05$22.5032.8%10.6%43.2%7.0%0.0%8.3%1.0%-3.1K-32.6K-3.6K0.0081.96N/AN/A00775580
2009-08-12$24.18$22.5041.4%11.0%41.4%13.5%0.0%5.6%-1.9%-348-116.2K-3.7K0.0084.63N/AN/A00775580
2009-08-13$24.86$22.5037.8%10.8%42.8%10.8%37.9%8.5%-0.7%7.9K-370.2K-3.7K0.0085.65N/AN/A200775580
2009-08-14$24.76$22.5037.4%10.7%42.8%10.5%0.0%5.6%0.1%8.2K-322.9K-3.6K0.0089.02N/AN/A00785580
2009-08-17$24.43$22.5037.9%10.9%42.1%10.9%0.0%5.4%-0.4%5.8K-173.8K-3.3K0.0088.21N/AN/A01785580
2009-08-18$24.51$22.5037.5%10.8%41.8%10.6%0.0%5.8%0.2%15.3K-166.7K-3.2K0.0088.67N/AN/A00785580
2009-08-19$24.76$22.5037.1%10.7%41.1%10.3%0.0%6.7%0.3%15.0K-321.4K-3.2K0.0085.99N/AN/A10785580
2009-08-20$25.00$22.5036.7%10.5%41.2%10.0%0.0%5.2%0.4%16.8K-438.8K-3.1K0.0090.03N/AN/A00785580
2009-08-21$25.11$22.5039.0%11.2%41.3%11.7%0.0%7.8%-1.3%28.4K-612.5K-3.0K0.0086.86N/AN/A00785580
2009-08-24$24.63$22.5037.8%10.8%41.4%10.8%38.0%5.9%-0.4%14.8K-365.2K-2.7K0.0071.07N/AN/A01577186
2009-08-25$24.37$22.5037.8%10.8%40.5%10.8%0.0%5.9%-1.2%14.0K-336.7K-2.6K0.0071.38N/AN/A00577185
2009-08-26$24.28$22.5038.1%10.9%40.4%11.1%37.9%4.7%-1.2%13.5K-313.6K-2.5K0.6772.40N/AN/A32577185
2009-08-27$24.35$22.5037.9%10.9%40.3%10.9%0.0%1.1%-1.3%13.8K-332.3K-2.6K0.0096.54N/AN/A00577185
2009-08-28$24.28$22.5037.5%10.8%40.4%10.6%0.0%4.1%-0.7%13.9K-321.1K-2.5K0.0075.75N/AN/A00577185
2009-08-31$24.23$22.5037.1%10.7%40.0%10.3%37.2%-6.6%-0.2%13.2K-310.9K-2.4K0.0082.69N/AN/A10577185