VSAT Options History — December 2009

In December 2009, VSAT traded between $30.21 and $32.34. ATM implied volatility averaged 29.1%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 4.5% (HV 20d: 33.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2009-12-18: Highest Volume — 209 contracts
  • 2009-12-09: Largest IV spike — 31.0% change
  • 2009-12-18: Highest IV Rank — 9.1%
  • 2009-12-09: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.21$30.21$32.34$30.30$31.78
Max Pain$29.29$25.00$30.00$25.00$30.00
ATM IV29.1%20.2%33.0%31.0%20.2%
Expected Move8.7%5.8%9.8%8.9%5.8%
HV 20d33.6%28.1%37.2%37.2%28.1%
HV 60d31.4%29.6%32.2%29.6%30.0%
IV Rank5.4%0.0%9.1%5.2%0.0%
IV Percentile4.6%0.0%11.9%2.4%0.0%
Term Structure5.6%-0.3%12.7%0.2%12.4%
VWIV32.2%30.5%33.0%30.5%32.3%
Skew 25d4.3%-9.6%15.3%15.3%5.2%
Skew 10d19.6%-1.0%34.2%27.7%26.9%
Call IV 25d30.1%21.2%36.0%30.4%36.0%
Put IV 25d34.4%21.3%45.7%45.7%41.2%
Bid-Ask Spread %80.9159.4292.3081.9090.01
Gamma HHI0.730.420.970.960.44
Net GEX85.8K10.0K255.1K90.9K11.1K
Net DEX-1.4M-2.4M-348.7K-1.5M-420.9K
Net VEX-2.2K-2.9K-1.8K-2.2K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.0014.750.010.00
Total Volume31.8180209010
Total OI862.5914211,158942496

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$30.30$25.0031.0%8.9%37.2%5.2%0.0%15.3%0.2%90.9K-1.5M-2.2K0.0081.90N/AN/A00791151
2009-12-02$31.03$25.0030.9%8.8%35.6%5.0%0.0%6.8%-0.3%87.6K-1.8M-1.9K0.0087.47N/AN/A00791151
2009-12-03$30.21$25.0030.5%8.7%32.6%4.7%30.5%2.5%2.9%97.5K-1.5M-2.1K0.0183.34N/AN/A1531791151
2009-12-04$31.80$0.0027.3%9.2%35.7%1.9%32.5%10.3%5.2%96.0K-2.3M-2.3K1.0074.02N/AN/A5050928152
2009-12-07$31.70$30.0022.5%9.4%35.7%0.0%0.0%0.8%5.0%69.1K-2.4M-2.5K0.0069.31N/AN/A10950202
2009-12-08$31.19$30.0023.8%9.4%36.4%1.1%32.4%-9.6%4.6%102.2K-2.2M-2.8K0.0075.33N/AN/A400951202
2009-12-09$30.89$30.0031.1%9.8%35.2%7.4%0.0%3.0%3.4%111.0K-2.0M-2.9K0.0080.68N/AN/A00951202
2009-12-10$30.65$30.0032.8%9.4%35.3%8.9%0.0%4.6%5.3%143.9K-1.9M-2.9K0.0080.20N/AN/A00951202
2009-12-11$30.53$30.0032.2%9.2%35.3%8.4%0.0%5.2%4.3%147.6K-1.8M-2.8K1.2384.56N/AN/A2227951202
2009-12-14$30.77$30.0032.9%9.4%35.3%9.0%0.0%0.0%3.8%153.6K-2.1M-2.3K0.3884.03N/AN/A2610929219
2009-12-15$30.42$30.0032.0%9.2%33.1%8.2%0.0%0.0%5.1%222.7K-1.9M-2.4K0.0079.28N/AN/A10925222
2009-12-16$30.93$30.0032.7%9.4%33.6%8.8%0.0%0.0%5.0%121.8K-2.2M-2.1K0.0082.58N/AN/A100926222
2009-12-17$30.40$30.0032.9%9.4%33.7%9.0%0.0%0.0%4.6%255.1K-1.9M-2.2K0.0082.94N/AN/A110936222
2009-12-18$31.02$30.0033.0%9.5%34.2%9.1%33.0%0.0%4.0%77.2K-2.4M-1.9K0.0085.57N/AN/A2090932222
2009-12-21$31.00$30.0031.9%9.2%33.9%8.1%0.0%0.0%2.3%14.2K-348.7K-2.0K0.0081.79N/AN/A00280141
2009-12-22$31.41$30.0032.3%9.2%33.2%8.4%32.3%0.0%2.6%14.5K-381.1K-1.9K0.0068.33N/AN/A40280141
2009-12-23$32.06$30.0026.9%7.7%34.0%3.8%0.0%0.0%11.7%14.7K-440.7K-1.9K0.0080.06N/AN/A100280141
2009-12-24$32.13$30.0027.3%7.8%33.9%4.2%0.0%0.0%12.4%15.9K-475.6K-1.9K0.0059.42N/AN/A02290141
2009-12-28$31.93$30.0031.1%8.9%29.9%7.4%0.0%0.0%4.1%15.7K-460.9K-1.9K0.0084.65N/AN/A00290143
2009-12-29$32.08$30.0022.4%6.4%28.7%0.0%0.0%0.0%12.7%15.2K-486.4K-1.8K14.7592.30N/AN/A459290143
2009-12-30$32.34$30.0022.5%6.4%28.3%0.1%0.0%0.0%11.8%10.0K-461.3K-2.0K0.0092.26N/AN/A00294202
2009-12-31$31.78$30.0020.2%5.8%28.1%0.0%0.0%0.0%12.4%11.1K-420.9K-2.0K0.0090.01N/AN/A100294202