VSAT Options History — September 2009

In September 2009, VSAT traded between $24.10 and $26.58. ATM implied volatility averaged 37.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 18.1% (HV 20d: 19.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2009-09-10: Highest Volume — 197 contracts
  • 2009-09-08: Largest IV spike — 16.2% change
  • 2009-09-10: Highest IV Rank — 13.5%
  • 2009-09-10: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.45$24.10$26.58$24.10$26.58
Max Pain$24.56$22.50$25.00$22.50$25.00
ATM IV37.6%31.0%41.3%35.4%37.6%
Expected Move10.9%10.1%11.9%10.2%10.8%
HV 20d19.6%15.0%39.9%39.8%20.3%
HV 60d32.2%29.4%34.5%34.5%29.5%
IV Rank10.2%5.7%13.5%9.0%9.5%
IV Percentile30.6%4.0%50.4%16.3%26.2%
Term Structure0.3%-1.6%3.1%2.2%2.0%
VWIV39.0%36.8%41.4%41.4%38.9%
Skew 25d1.7%-9.6%8.9%-5.5%4.4%
Skew 10d5.0%-4.9%20.0%-4.3%7.4%
Call IV 25d36.9%34.6%38.7%34.6%38.7%
Put IV 25d38.6%29.0%46.8%29.0%43.1%
Bid-Ask Spread %82.9767.18101.6685.1797.79
Gamma HHI0.460.360.590.360.46
Net GEX24.5K12.8K42.7K12.8K25.3K
Net DEX-516.2K-893.9K-278.3K-278.3K-521.5K
Net VEX-2.4K-2.7K-2.1K-2.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.001.000.00
Total Volume19.667019700
Total OI749.952591928763636

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$24.10$22.5035.4%10.2%39.8%9.0%0.0%-5.5%2.2%12.8K-278.3K-2.3K0.0085.17N/AN/A00578185
2009-09-02$24.19$22.5037.6%10.8%39.9%10.6%0.0%-9.6%-0.8%13.6K-304.6K-2.4K0.00101.66N/AN/A00578185
2009-09-03$24.45$22.5035.2%10.1%16.9%8.9%0.0%8.6%-0.5%14.6K-336.0K-2.3K0.0089.84N/AN/A00578185
2009-09-04$24.90$0.0031.0%10.5%17.0%5.7%0.0%8.9%0.5%17.0K-412.3K-2.4K0.0067.18N/AN/A00578185
2009-09-08$24.97$0.0036.0%10.4%17.0%9.5%0.0%-0.8%0.4%18.4K-417.0K-2.3K1.0074.08N/AN/A11578185
2009-09-09$24.95$0.0036.2%10.7%17.0%9.6%0.0%-1.0%0.1%18.3K-415.9K-2.3K0.0072.95N/AN/A00578185
2009-09-10$25.48$0.0041.3%11.9%18.3%13.5%41.4%8.7%-1.6%19.6K-504.2K-2.4K0.1372.81N/AN/A17522578185
2009-09-11$25.65$25.0037.2%10.7%15.8%10.3%36.8%4.4%3.1%32.1K-773.3K-2.7K0.0072.59N/AN/A1300723205
2009-09-14$25.45$25.0039.2%11.2%16.0%11.9%0.0%0.0%-1.1%36.0K-704.8K-2.6K0.0069.44N/AN/A00713205
2009-09-15$25.55$25.0038.7%11.1%15.0%11.5%38.9%0.0%-0.7%37.7K-735.8K-2.5K0.0073.86N/AN/A150713205
2009-09-16$25.86$25.0039.2%11.2%15.4%11.9%0.0%0.0%-1.3%35.1K-820.1K-2.4K0.0079.68N/AN/A00707205
2009-09-17$25.50$25.0039.0%11.2%16.3%10.7%0.0%0.0%-1.3%42.7K-764.6K-2.4K0.0078.24N/AN/A00707205
2009-09-18$26.12$25.0038.6%11.1%17.9%10.3%0.0%0.0%-0.7%30.9K-893.9K-2.3K0.0088.33N/AN/A240707205
2009-09-21$26.28$25.0039.3%11.3%18.0%10.8%0.0%0.0%1.9%24.3K-494.7K-2.4K0.0089.01N/AN/A0051477
2009-09-22$25.95$25.0037.6%10.8%17.0%9.6%0.0%0.0%2.1%23.8K-447.2K-2.3K0.0086.60N/AN/A0051477
2009-09-23$25.51$25.0037.8%10.8%17.8%9.7%0.0%0.0%0.7%22.7K-413.9K-2.2K0.0085.68N/AN/A0051477
2009-09-24$25.43$25.0038.6%11.1%17.8%10.3%0.0%0.0%0.7%22.1K-381.6K-2.1K0.0085.26N/AN/A04551477
2009-09-25$25.26$25.0037.9%10.9%18.1%9.8%0.0%0.0%0.4%20.5K-324.8K-2.3K0.0087.96N/AN/A00514122
2009-09-28$25.75$25.0037.7%10.8%19.0%9.6%0.0%0.0%1.0%22.5K-407.3K-2.4K0.0089.72N/AN/A00514122
2009-09-29$26.43$25.0038.8%11.1%20.6%10.5%0.0%0.0%-0.5%24.4K-488.9K-2.4K0.0094.41N/AN/A00514122
2009-09-30$26.58$25.0037.6%10.8%20.3%9.5%0.0%0.0%2.0%25.3K-521.5K-2.4K0.0097.79N/AN/A00514122