VSAT Options History — October 2009

In October 2009, VSAT traded between $27.00 and $31.54. ATM implied volatility averaged 39.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 12.4% (HV 20d: 27.0%). 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 1 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2009-10-01: Highest Volume — 605 contracts
  • 2009-10-02: Largest IV drop — 18.5% change
  • 2009-10-01: Highest IV Rank — 15.0%
  • 2009-10-01: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.93$27.00$31.54$27.00$29.15
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV39.3%33.5%44.7%44.7%38.9%
Expected Move11.4%10.4%12.8%12.8%11.2%
HV 20d27.0%20.6%30.3%20.6%25.5%
HV 60d30.5%23.2%31.8%29.3%23.2%
IV Rank10.9%6.4%15.0%15.0%10.6%
IV Percentile40.3%4.8%61.9%61.9%38.5%
Term Structure-3.6%-5.1%4.3%-1.8%-3.9%
VWIV40.2%37.1%44.7%44.7%40.0%
Skew 25d0.6%-5.0%8.7%5.0%8.0%
Skew 10d-1.2%-9.5%12.7%3.4%12.2%
Call IV 25d32.1%27.2%34.5%32.6%28.0%
Put IV 25d32.8%27.7%38.8%37.6%36.0%
Bid-Ask Spread %82.1763.4699.3999.3989.77
Gamma HHI0.540.470.730.470.50
Net GEX40.9K22.2K53.0K24.5K42.4K
Net DEX-1.9M-2.5M-591.2K-591.2K-1.7M
Net VEX-3.0K-4.7K-2.4K-2.6K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.510.510.00
Total Volume41.455060560510
Total OI1,108.8646361,485636938

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$27.00$25.0044.7%12.8%20.6%15.0%44.7%0.0%-1.8%24.5K-591.2K-2.6K0.5199.39N/AN/A400205514122
2009-10-02$28.34$25.0036.4%10.4%25.6%8.6%40.8%0.0%4.3%22.2K-1.5M-4.7K0.0488.04N/AN/A1425903582
2009-10-05$29.11$25.0040.3%11.2%26.3%11.6%37.1%0.0%-2.4%43.7K-1.9M-3.7K0.0063.46N/AN/A610971312
2009-10-06$29.50$25.0041.4%11.5%26.3%12.5%40.0%0.0%-3.0%44.7K-2.0M-3.6K0.0069.21N/AN/A260950312
2009-10-07$29.24$25.0040.7%11.5%26.8%11.9%0.0%0.0%-3.5%46.7K-1.9M-3.8K0.0066.93N/AN/A00966312
2009-10-08$29.62$25.0040.8%11.4%26.4%12.0%39.8%0.0%-3.7%47.9K-2.0M-3.6K0.0073.82N/AN/A70966312
2009-10-09$29.98$25.0037.3%11.4%26.5%9.3%0.0%5.0%-3.7%50.3K-2.1M-3.4K0.0086.38N/AN/A00966312
2009-10-12$30.06$25.0038.2%11.6%25.9%10.0%0.0%4.5%-4.4%51.9K-2.1M-3.3K0.0081.23N/AN/A60966312
2009-10-13$30.00$25.0038.8%11.5%26.1%10.5%40.0%2.9%-3.9%53.0K-2.2M-3.2K0.0087.46N/AN/A010966312
2009-10-14$31.13$25.0033.5%11.8%28.1%6.4%0.0%4.0%-5.0%46.1K-2.4M-2.8K0.0076.49N/AN/A100966322
2009-10-15$31.30$25.0039.5%11.3%26.7%11.0%39.5%-1.4%-4.2%43.5K-2.5M-2.7K0.0080.05N/AN/A01976322
2009-10-16$31.17$25.0039.4%11.3%26.7%10.9%0.0%-1.9%-3.9%41.7K-2.5M-2.8K0.0081.11N/AN/A120976323
2009-10-19$31.54$25.0039.8%11.4%26.7%11.2%39.9%0.1%-4.7%35.6K-2.1M-2.4K0.0080.90N/AN/A50834118
2009-10-20$31.02$25.0039.7%11.4%27.1%11.2%0.0%-2.6%-5.1%34.6K-2.0M-2.6K0.0081.90N/AN/A00829118
2009-10-21$30.25$25.0039.5%11.3%28.3%11.0%0.0%-4.3%-4.1%37.6K-1.9M-2.8K0.0087.16N/AN/A20829118
2009-10-22$30.59$25.0039.5%11.3%28.0%11.0%0.0%-1.9%-4.5%37.0K-1.9M-2.6K0.0087.01N/AN/A00827118
2009-10-23$30.12$25.0038.4%11.0%28.8%10.2%0.0%-4.9%-4.1%39.2K-1.9M-2.7K0.0075.91N/AN/A00827118
2009-10-26$30.16$25.0039.3%11.3%28.6%10.9%0.0%-5.0%-3.7%37.3K-1.9M-2.6K0.0087.80N/AN/A00827118
2009-10-27$30.25$25.0039.9%11.4%27.8%11.3%0.0%-2.1%-4.9%37.1K-1.9M-2.5K0.0086.52N/AN/A00827118
2009-10-28$29.45$25.0039.8%11.4%30.3%11.2%0.0%8.7%-4.1%41.7K-1.7M-2.7K0.0088.98N/AN/A00827118
2009-10-29$29.43$25.0040.0%11.5%30.1%11.4%40.0%0.6%-4.5%40.6K-1.7M-2.6K0.0088.11N/AN/A010827118
2009-10-30$29.15$25.0038.9%11.2%25.5%10.6%0.0%8.0%-3.9%42.4K-1.7M-2.6K0.0089.77N/AN/A100827111