VSAT Options History — January 2010

In January 2010, VSAT traded between $27.22 and $32.01. ATM implied volatility averaged 32.0%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 5.9% (HV 20d: 26.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.94.

Notable Days

  • 2010-01-28: Highest Volume — 150 contracts
  • 2010-01-28: Largest IV spike — 37.5% change
  • 2010-01-28: Highest IV Rank — 16.4%
  • 2010-01-28: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.81$27.22$32.01$31.09$27.33
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.0%22.9%39.6%31.9%37.4%
Expected Move10.0%8.2%11.3%10.1%10.7%
HV 20d26.1%20.1%31.5%27.5%29.3%
HV 60d31.2%29.4%32.6%30.3%32.4%
IV Rank10.0%2.3%16.4%9.9%14.6%
IV Percentile16.7%1.6%53.6%8.3%36.1%
Term Structure1.4%-6.3%5.8%1.2%-6.3%
VWIV34.0%31.3%35.5%35.3%31.3%
Bid-Ask Spread %71.3057.1192.2261.7477.75
Gamma HHI0.440.270.710.400.42
Net GEX3.2K-4.5K14.7K13.2K8.5K
Net DEX-114.7K-384.2K155.7K-312.4K9.9K
Net VEX-1.7K-2.1K-1.3K-2.0K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0011.002.500.00
Total Volume21.84201506310
Total OI522.632468643506643

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$31.09$30.0031.9%10.1%27.5%9.9%35.3%0.0%1.2%13.2K-312.4K-2.0K2.5061.74N/AN/A1845304202
2010-01-05$31.66$30.0027.7%10.0%21.4%6.4%34.4%0.0%2.0%7.8K-327.3K-2.1K0.0061.31N/AN/A04286247
2010-01-06$31.97$30.0022.9%9.7%21.7%2.3%0.0%0.0%3.3%5.4K-370.1K-2.0K0.0060.56N/AN/A110286251
2010-01-07$32.01$30.0026.4%10.0%20.8%5.3%0.0%0.0%-0.1%6.3K-378.8K-2.0K0.0057.11N/AN/A00295251
2010-01-08$31.98$30.0025.5%10.2%20.4%4.5%0.0%0.0%0.5%5.7K-378.6K-2.0K0.0060.78N/AN/A10295251
2010-01-11$31.88$30.0030.1%10.1%20.1%8.4%0.0%0.0%1.9%5.4K-384.2K-2.0K0.0062.53N/AN/A00296251
2010-01-12$31.68$30.0031.4%10.3%20.3%9.5%0.0%0.0%1.1%5.4K-360.2K-2.0K0.0064.69N/AN/A500296251
2010-01-13$31.23$30.0032.1%10.1%20.9%10.0%0.0%0.0%0.9%6.7K-295.5K-2.0K0.2070.27N/AN/A102296251
2010-01-14$31.59$30.0035.1%10.1%20.7%12.6%0.0%0.0%1.2%4.5K-339.3K-1.9K0.0069.70N/AN/A00296253
2010-01-15$29.55$30.0035.5%10.2%31.3%12.9%35.5%0.0%0.5%14.7K14.4K-1.8K11.0080.66N/AN/A222296253
2010-01-19$29.24$30.0035.5%10.2%31.0%12.9%33.3%0.0%1.3%-2.7K19.0K-1.6K0.2079.18N/AN/A102249221
2010-01-20$28.36$30.0034.0%9.8%31.4%11.7%31.3%0.0%2.4%-4.1K108.9K-1.5K7.3373.26N/AN/A322249219
2010-01-21$28.00$30.0035.9%10.3%31.5%13.3%0.0%0.0%1.4%-4.5K155.7K-1.5K0.0092.22N/AN/A00252237
2010-01-22$27.96$30.0033.6%9.6%30.8%11.3%0.0%0.0%2.3%-3.3K129.2K-1.4K2.0062.65N/AN/A12252217
2010-01-25$28.02$30.0034.1%9.8%29.4%11.8%0.0%0.0%1.6%-4.0K148.2K-1.3K0.0073.79N/AN/A00252219
2010-01-26$27.76$30.0030.5%8.7%29.2%8.7%0.0%0.0%1.8%-3.2K129.0K-1.3K0.0078.46N/AN/A500252219
2010-01-27$27.83$30.0028.8%8.2%29.4%7.2%0.0%0.0%5.8%-584120.1K-1.4K0.0083.95N/AN/A00302219
2010-01-28$27.22$30.0039.6%11.3%29.5%16.4%0.0%0.0%3.2%-138133.2K-1.4K0.0084.06N/AN/A1500302219
2010-01-29$27.33$30.0037.4%10.7%29.3%14.6%0.0%0.0%-6.3%8.5K9.9K-1.8K0.0077.75N/AN/A100424219