VSAT Options History — March 2010

In March 2010, VSAT traded between $30.99 and $35.00. ATM implied volatility averaged 27.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.6% (HV 20d: 23.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-03-23: Highest Volume — 555 contracts
  • 2010-03-11: Largest IV spike — 38.4% change
  • 2010-03-01: Highest IV Rank — 21.9%
  • 2010-03-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.48$30.99$35.00$30.99$34.61
Max Pain$28.82$25.00$30.00$25.00$30.00
ATM IV27.8%22.3%32.6%32.6%26.2%
Expected Move8.2%6.4%9.3%9.3%7.5%
HV 20d23.2%18.2%28.4%28.2%24.7%
HV 60d28.3%27.3%29.9%29.9%28.5%
IV Rank13.4%3.7%21.9%21.9%10.7%
IV Percentile8.3%0.4%17.9%17.9%6.7%
Term Structure3.1%-1.2%11.3%1.2%3.0%
VWIV25.7%22.0%34.4%32.6%26.0%
Bid-Ask Spread %81.4261.01107.2695.4692.31
Gamma HHI0.740.500.980.790.89
Net GEX50.6K6.4K137.9K47.4K122.2K
Net DEX-1.3M-2.2M-235.6K-758.4K-2.1M
Net VEX-1.9K-3.5K-1.4K-1.6K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.005.000.000.00
Total Volume71.39105551201
Total OI720.4352181,1006251,063

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$30.99$25.0032.6%9.3%28.2%21.9%32.6%0.0%1.2%47.4K-758.4K-1.6K0.0095.46N/AN/A1200494131
2010-03-02$31.51$25.0032.0%9.2%28.4%20.9%0.0%0.0%1.2%54.4K-1.0M-1.7K0.0095.81N/AN/A50560131
2010-03-03$31.86$25.0027.0%7.7%27.7%12.0%22.0%0.0%11.3%50.1K-1.1M-1.6K0.0596.26N/AN/A201560131
2010-03-04$31.83$25.0022.3%6.4%27.8%3.7%22.5%0.0%9.6%45.3K-1.2M-1.4K1.82107.26N/AN/A1120570131
2010-03-05$32.92$0.0027.3%8.8%24.4%12.6%0.0%0.0%-1.2%42.6K-1.3M-1.8K0.0072.02N/AN/A10574151
2010-03-08$32.76$0.0028.8%8.6%24.6%15.3%0.0%0.0%0.6%41.4K-1.3M-1.6K0.0071.90N/AN/A30573151
2010-03-09$33.17$0.0025.9%8.8%23.7%10.1%0.0%0.0%-0.0%34.1K-1.4M-1.4K0.0075.54N/AN/A200572151
2010-03-10$33.65$0.0022.3%8.7%23.5%3.8%0.0%0.0%1.4%32.5K-1.5M-1.5K0.6772.29N/AN/A1510592151
2010-03-11$33.70$0.0030.9%8.9%23.2%18.9%0.0%0.0%1.2%32.4K-1.5M-1.6K0.0077.52N/AN/A00590161
2010-03-12$33.50$0.0029.9%8.6%20.0%17.2%34.4%0.0%1.9%30.4K-1.4M-1.6K0.0072.03N/AN/A021590161
2010-03-15$33.02$30.0030.7%8.8%20.3%18.6%0.0%0.0%0.6%19.2K-1.3M-1.5K0.0091.19N/AN/A00590182
2010-03-16$33.28$30.0031.5%9.0%19.5%20.0%0.0%0.0%0.4%20.8K-1.3M-1.5K0.0090.32N/AN/A10590182
2010-03-17$34.00$30.0030.3%8.7%20.1%17.9%0.0%0.0%2.1%32.7K-1.4M-1.5K0.0086.00N/AN/A00589182
2010-03-18$34.39$30.0030.5%8.7%20.0%18.2%0.0%0.0%2.1%53.6K-1.5M-1.5K0.0077.70N/AN/A150589182
2010-03-19$34.41$30.0028.5%8.2%18.5%14.7%0.0%0.0%2.2%55.0K-1.5M-1.5K5.0085.77N/AN/A210599182
2010-03-22$34.65$30.0029.2%8.4%18.2%15.9%0.0%0.0%3.3%6.4K-281.5K-1.5K0.0061.66N/AN/A0015167
2010-03-23$33.50$30.0029.8%8.6%22.8%17.0%24.7%0.0%2.2%6.6K-235.6K-1.6K0.0062.24N/AN/A555015167
2010-03-24$33.57$30.0028.2%8.1%22.6%14.2%0.0%0.0%2.8%20.8K-961.0K-1.9K0.0061.01N/AN/A10038467
2010-03-25$34.11$30.0023.2%6.7%22.9%5.4%23.2%0.0%8.3%12.0K-1.0M-1.7K0.0675.20N/AN/A5053038467
2010-03-26$35.00$30.0022.5%6.4%23.9%4.1%22.5%0.0%7.4%130.7K-1.9M-3.4K0.0067.34N/AN/A108088997
2010-03-29$34.58$30.0023.5%6.7%24.3%5.8%23.5%0.0%5.8%137.9K-2.1M-3.5K1.1092.71N/AN/A101199497
2010-03-30$35.00$30.0026.0%7.5%24.1%10.3%26.0%0.0%4.0%134.7K-2.2M-3.5K0.0093.06N/AN/A13701,00298
2010-03-31$34.61$30.0026.2%7.5%24.7%10.7%0.0%0.0%3.0%122.2K-2.1M-3.4K0.0092.31N/AN/A1096598