VSAT Options History — February 2010

In February 2010, VSAT traded between $26.24 and $30.38. ATM implied volatility averaged 34.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.7% (HV 20d: 30.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-02-10: Highest Volume — 40 contracts
  • 2010-02-09: Largest IV drop — 37.9% change
  • 2010-02-08: Highest IV Rank — 36.3%
  • 2010-02-08: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.52$26.24$30.38$27.59$30.38
Max Pain$27.11$25.00$30.00$30.00$25.00
ATM IV34.0%25.3%40.8%35.2%32.2%
Expected Move10.2%7.4%12.4%10.1%9.2%
HV 20d30.3%27.8%38.1%29.7%27.8%
HV 60d30.7%29.3%31.7%31.4%29.7%
IV Rank21.2%4.7%36.3%12.7%21.2%
IV Percentile26.4%2.8%61.5%27.0%15.9%
Term Structure2.8%-3.1%17.0%14.3%2.8%
VWIV36.3%32.2%39.9%39.9%32.2%
Bid-Ask Spread %87.9470.51109.5091.0088.15
Gamma HHI0.600.330.830.400.83
Net GEX11.6K-34.3K44.6K7.6K44.6K
Net DEX-159.2K-613.9K233.7K22.0K-613.9K
Net VEX-1.6K-1.8K-1.2K-1.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.030.000.03
Total Volume9.263040036
Total OI656.474593714653610

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$27.59$30.0035.2%10.1%29.7%12.7%0.0%0.0%14.3%7.6K22.0K-1.8K0.0091.00N/AN/A00434219
2010-02-02$27.29$30.0025.7%7.4%29.2%4.7%0.0%0.0%17.0%10.0K97.7K-1.6K0.00108.29N/AN/A00434219
2010-02-03$27.43$30.0028.2%8.1%28.1%6.8%0.0%0.0%13.8%9.4K89.4K-1.6K0.00109.50N/AN/A00434219
2010-02-04$26.48$30.0036.8%10.5%29.1%14.0%0.0%0.0%4.0%8.8K127.3K-1.5K0.0099.81N/AN/A010434219
2010-02-05$26.42$30.0040.0%12.3%28.9%16.8%39.9%0.0%-3.1%6.7K197.8K-1.4K0.0070.51N/AN/A70434229
2010-02-08$26.24$30.0040.8%12.4%28.7%36.3%0.0%0.0%-2.8%7.6K213.5K-1.3K0.0081.99N/AN/A00433229
2010-02-09$26.32$30.0025.3%11.3%29.0%9.1%0.0%0.0%-1.2%9.9K233.7K-1.2K0.0088.66N/AN/A00433229
2010-02-10$27.02$30.0029.8%11.4%31.7%16.9%38.2%0.0%-0.9%11.7K182.6K-1.3K0.0083.22N/AN/A400433229
2010-02-11$28.28$25.0037.0%10.6%36.8%29.7%39.3%0.0%-0.9%12.0K-1.1K-1.6K0.0077.73N/AN/A06452229
2010-02-12$29.05$25.0036.4%10.5%38.1%28.7%0.0%0.0%0.0%4.2K-132.0K-1.8K0.0088.37N/AN/A130452235
2010-02-16$29.69$25.0036.2%10.4%31.2%28.4%0.0%0.0%0.4%-3.8K-275.2K-1.8K0.0087.29N/AN/A30465235
2010-02-17$29.69$25.0035.5%10.2%30.9%27.0%35.5%0.0%0.5%-8.2K-292.8K-1.8K0.0086.77N/AN/A150465235
2010-02-18$30.14$25.0035.9%10.3%28.9%27.7%35.8%0.0%0.9%-27.7K-405.9K-1.7K0.0086.93N/AN/A170465235
2010-02-19$29.70$25.0036.0%10.3%29.1%27.9%36.0%0.0%0.8%-34.3K-279.6K-1.7K0.0086.62N/AN/A20479235
2010-02-22$30.17$25.0033.5%9.6%29.4%23.5%33.5%0.0%2.8%39.7K-551.4K-1.6K0.0087.13N/AN/A190462131
2010-02-23$29.96$25.0033.9%9.7%29.6%24.3%0.0%0.0%1.5%39.6K-545.9K-1.7K0.0087.73N/AN/A30476131
2010-02-24$29.87$25.0033.4%9.6%29.3%23.3%0.0%0.0%1.8%40.4K-532.4K-1.6K0.0088.67N/AN/A50479131
2010-02-25$30.10$25.0033.6%9.6%29.4%23.6%0.0%0.0%1.3%42.0K-558.0K-1.6K0.0072.51N/AN/A00479131
2010-02-26$30.38$25.0032.2%9.2%27.8%21.2%32.2%0.0%2.8%44.6K-613.9K-1.6K0.0388.15N/AN/A351479131