VSAT Options History — April 2010

In April 2010, VSAT traded between $34.50 and $36.41. ATM implied volatility averaged 27.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.5% (HV 20d: 19.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2010-04-15: Highest Volume — 298 contracts
  • 2010-04-15: Largest IV spike — 53.5% change
  • 2010-04-29: Highest IV Rank — 20.6%
  • 2010-04-29: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.12$34.50$36.41$34.58$35.42
Max Pain$32.62$30.00$35.00$30.00$35.00
ATM IV27.9%19.6%31.4%26.0%29.9%
Expected Move8.6%7.5%9.0%7.5%8.6%
HV 20d19.4%12.6%24.7%24.7%16.7%
HV 60d25.3%22.6%28.6%28.3%23.5%
IV Rank14.1%0.0%20.6%10.3%18.0%
IV Percentile14.0%0.0%27.0%6.3%17.5%
Term Structure0.4%-0.7%3.0%3.0%-0.7%
VWIV29.8%24.6%32.0%29.4%24.6%
Bid-Ask Spread %84.7164.2195.0494.7493.23
Gamma HHI0.830.530.980.890.77
Net GEX122.5K11.5K411.7K125.3K17.8K
Net DEX-1.5M-2.3M-647.7K-2.0M-939.2K
Net VEX-2.5K-3.3K-1.9K-3.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.490.000.00
Total Volume28.6670298111
Total OI817.7624781,1471,064551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$34.58$30.0026.0%7.5%24.7%10.3%0.0%0.0%3.0%125.3K-2.0M-3.3K0.0094.74N/AN/A1096698
2010-04-05$35.00$30.0025.5%8.4%22.4%9.4%0.0%0.0%0.7%150.1K-2.2M-3.0K0.0086.14N/AN/A0096798
2010-04-06$34.63$30.0024.7%8.7%22.7%8.0%0.0%0.0%-0.1%153.3K-2.1M-3.0K0.0083.30N/AN/A5096798
2010-04-07$34.99$30.0026.4%8.5%22.6%11.0%0.0%0.0%0.6%156.0K-2.2M-2.9K0.0080.08N/AN/A0096998
2010-04-08$34.89$30.0025.3%8.4%22.2%9.1%0.0%0.0%1.2%168.5K-2.1M-2.9K0.0082.07N/AN/A0096998
2010-04-09$34.50$30.0022.4%8.5%22.7%3.9%0.0%0.0%0.3%182.0K-1.9M-2.7K0.0085.32N/AN/A0096998
2010-04-12$34.64$30.0026.0%8.6%22.6%10.3%0.0%0.0%1.2%205.7K-2.0M-2.6K0.0070.84N/AN/A0096998
2010-04-13$35.00$30.0023.1%8.3%21.9%5.1%0.0%0.0%1.5%285.4K-2.2M-2.3K0.0088.49N/AN/A22096998
2010-04-14$35.11$30.0019.6%8.6%21.9%0.0%29.4%0.0%0.8%332.6K-2.3M-2.3K0.0064.21N/AN/A102094798
2010-04-15$34.76$30.0030.1%8.6%21.1%18.3%30.1%0.0%-0.4%411.7K-2.0M-2.5K0.4982.43N/AN/A200981,04998
2010-04-16$34.58$35.0030.2%8.7%20.9%18.5%30.2%0.0%0.3%234.5K-1.6M-2.5K0.1669.55N/AN/A6310927158
2010-04-19$35.00$35.0031.2%9.0%21.3%20.3%31.2%0.0%-0.6%11.5K-647.7K-2.1K0.0084.62N/AN/A560333145
2010-04-20$35.04$35.0030.8%8.8%21.2%19.5%0.0%0.0%-0.3%18.2K-753.2K-2.4K0.0087.67N/AN/A100386145
2010-04-21$35.15$35.0030.9%8.9%16.9%19.7%30.9%0.0%-0.5%18.0K-804.1K-2.4K0.0077.39N/AN/A10396145
2010-04-22$35.33$35.0030.6%8.8%16.9%19.2%32.0%0.0%-0.1%18.0K-830.7K-2.3K0.0088.16N/AN/A100396145
2010-04-23$35.52$35.0030.2%8.7%16.2%18.5%0.0%0.0%0.3%16.3K-859.6K-2.3K0.0087.14N/AN/A00396145
2010-04-26$35.65$35.0030.8%8.8%13.6%19.5%0.0%0.0%-0.1%17.8K-891.5K-2.2K0.0091.54N/AN/A00396145
2010-04-27$35.48$35.0030.3%8.7%12.9%18.6%0.0%0.0%-0.5%17.2K-900.2K-2.1K0.0092.53N/AN/A130396145
2010-04-28$35.81$35.0030.4%8.7%12.6%18.8%0.0%0.0%0.8%17.2K-957.8K-2.2K0.0095.04N/AN/A00406145
2010-04-29$36.41$35.0031.4%9.0%12.8%20.6%0.0%0.0%0.1%16.2K-1.1M-1.9K0.0094.36N/AN/A00406145
2010-04-30$35.42$35.0029.9%8.6%16.7%18.0%24.6%0.0%-0.7%17.8K-939.2K-2.1K0.0093.23N/AN/A110406145