VSAT Options History — November 2009

In November 2009, VSAT traded between $29.06 and $31.25. ATM implied volatility averaged 33.8%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 1.2% (HV 20d: 32.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2009-11-20: Highest Volume — 600 contracts
2009-11-05: Largest IV drop — 16.3% change
2009-11-03: Highest IV Rank — 13.3%
2009-11-03: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.18	$29.06	$31.25	$29.30	$30.65
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	33.8%	28.6%	42.5%	40.1%	32.0%
Expected Move	9.7%	8.2%	12.2%	11.5%	9.2%
HV 20d	32.6%	23.7%	36.9%	23.7%	36.9%
HV 60d	26.9%	22.9%	29.6%	22.9%	29.6%
IV Rank	7.3%	3.0%	13.3%	11.5%	6.1%
IV Percentile	12.6%	0.8%	60.3%	49.6%	4.4%
Term Structure	-0.0%	-6.4%	2.5%	-4.6%	-0.4%
VWIV	31.8%	28.8%	33.8%	33.8%	28.8%
Skew 25d	4.0%	-0.9%	9.8%	-0.4%	5.2%
Skew 10d	6.6%	-0.1%	20.0%	2.1%	9.1%
Call IV 25d	26.7%	24.4%	29.3%	28.5%	29.0%
Put IV 25d	30.7%	28.2%	35.3%	28.2%	34.2%
Bid-Ask Spread %	84.89	63.23	93.84	91.07	82.70
Gamma HHI	0.77	0.51	0.96	0.51	0.96
Net GEX	44.2K	26.8K	84.4K	42.7K	83.8K
Net DEX	-1.8M	-2.1M	-1.4M	-1.7M	-1.6M
Net VEX	-2.1K	-2.4K	-1.8K	-2.4K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	1.00	1.00	0.00
Total Volume	39.2	0	600	0	0
Total OI	968.75	938	1,014	938	942

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2009-11-02	$29.30	$25.00	40.1%	11.5%	23.7%	11.5%	0.0%	-0.4%	-4.6%	42.7K	-1.7M	-2.4K	0.00	91.07	N/A	N/A	0	0	827	111
2009-11-03	$30.45	$25.00	42.5%	12.2%	27.0%	13.3%	0.0%	6.8%	-6.4%	33.3K	-2.0M	-2.1K	0.00	86.14	N/A	N/A	0	0	827	111
2009-11-04	$29.06	$25.00	40.4%	11.6%	31.9%	11.7%	0.0%	-0.3%	-4.8%	41.4K	-1.7M	-2.4K	0.00	91.77	N/A	N/A	0	0	827	111
2009-11-05	$29.97	$25.00	33.8%	9.7%	33.5%	7.7%	33.8%	2.8%	0.5%	36.6K	-1.9M	-2.1K	1.00	89.69	N/A	N/A	20	20	827	111
2009-11-06	$30.18	$25.00	32.6%	9.6%	33.3%	6.5%	0.0%	4.2%	1.5%	32.9K	-1.9M	-2.1K	0.00	90.00	N/A	N/A	0	0	827	130
2009-11-09	$30.22	$25.00	33.6%	9.9%	33.3%	7.5%	0.0%	4.8%	0.8%	32.1K	-1.9M	-2.0K	0.00	89.13	N/A	N/A	2	0	827	130
2009-11-10	$29.45	$25.00	35.1%	9.9%	34.5%	8.8%	0.0%	-0.9%	0.1%	32.8K	-1.8M	-2.1K	0.00	90.37	N/A	N/A	0	0	827	130
2009-11-11	$29.61	$25.00	34.0%	9.4%	31.6%	7.8%	33.0%	0.4%	1.3%	35.0K	-1.8M	-2.0K	0.00	89.87	N/A	N/A	0	44	827	130
2009-11-12	$29.47	$25.00	32.1%	9.2%	31.5%	6.1%	0.0%	1.4%	1.1%	30.1K	-1.7M	-2.1K	0.00	89.06	N/A	N/A	1	0	827	174
2009-11-13	$29.65	$25.00	31.8%	9.1%	31.7%	5.9%	0.0%	1.1%	2.3%	29.9K	-1.7M	-2.0K	0.00	90.24	N/A	N/A	0	0	828	174
2009-11-16	$30.77	$25.00	33.3%	9.5%	34.3%	7.1%	0.0%	7.1%	1.2%	26.8K	-2.0M	-1.9K	0.00	91.08	N/A	N/A	13	0	828	174
2009-11-17	$30.76	$25.00	33.9%	9.7%	33.8%	7.7%	0.0%	7.8%	0.6%	28.9K	-2.1M	-1.9K	0.00	93.84	N/A	N/A	0	0	840	174
2009-11-18	$30.28	$25.00	32.3%	9.3%	33.1%	6.3%	30.7%	3.5%	2.5%	30.4K	-1.9M	-1.9K	0.00	63.23	N/A	N/A	5	0	840	174
2009-11-19	$29.99	$25.00	32.8%	9.4%	33.0%	6.7%	0.0%	3.2%	2.1%	28.7K	-1.8M	-1.9K	0.00	91.21	N/A	N/A	0	0	835	174
2009-11-20	$30.41	$25.00	32.8%	9.4%	32.9%	6.7%	32.8%	6.7%	1.3%	29.7K	-2.0M	-1.8K	0.00	64.27	N/A	N/A	600	0	835	174
2009-11-23	$31.12	$25.00	31.7%	9.1%	33.9%	5.8%	0.0%	9.6%	-0.0%	75.8K	-1.8M	-2.4K	0.00	64.60	N/A	N/A	5	0	802	151
2009-11-24	$31.25	$25.00	32.0%	9.2%	33.9%	6.0%	31.9%	9.8%	-0.5%	72.3K	-1.8M	-2.3K	0.00	82.72	N/A	N/A	1	0	802	151
2009-11-25	$31.15	$25.00	28.6%	8.2%	32.3%	3.0%	28.8%	4.6%	0.5%	76.0K	-1.9M	-2.2K	0.00	85.36	N/A	N/A	73	0	803	151
2009-11-27	$29.86	$25.00	30.5%	8.8%	36.0%	4.7%	0.0%	2.7%	0.8%	84.4K	-1.4M	-2.4K	0.00	81.42	N/A	N/A	0	0	791	151
2009-11-30	$30.65	$25.00	32.0%	9.2%	36.9%	6.1%	0.0%	5.2%	-0.4%	83.8K	-1.6M	-2.2K	0.00	82.70	N/A	N/A	0	0	791	151