VSAT Options History — June 2010

In June 2010, VSAT traded between $30.96 and $34.88. ATM implied volatility averaged 35.8%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 4.1% (HV 20d: 39.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2010-06-14: Highest Volume — 220 contracts
  • 2010-06-25: Largest IV spike — 137.8% change
  • 2010-06-25: Highest IV Rank — 100.0%
  • 2010-06-25: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.10$30.96$34.88$30.96$32.56
Max Pain$30.68$30.00$35.00$30.00$30.00
ATM IV35.8%27.3%72.6%38.0%34.7%
Expected Move10.3%7.8%20.8%10.9%10.0%
HV 20d39.9%35.1%43.0%35.1%35.7%
HV 60d30.4%26.2%31.7%26.2%31.7%
IV Rank55.7%19.1%100.0%73.4%28.5%
IV Percentile49.8%12.7%100.0%74.6%54.8%
Term Structure-1.2%-30.3%12.5%-0.7%-4.4%
VWIV38.2%28.8%56.3%35.7%37.8%
Skew 25d5.3%-10.3%71.2%0.6%0.9%
Skew 10d1.7%-39.1%16.0%-0.2%1.8%
Call IV 25d32.4%26.7%40.0%33.8%40.0%
Put IV 25d37.7%27.5%103.6%34.4%40.8%
Bid-Ask Spread %95.3872.96136.90101.5972.96
Gamma HHI0.620.400.890.610.65
Net GEX21.1K-14.2K49.6K11.9K39.8K
Net DEX-550.7K-949.4K-55.6K-55.6K-645.8K
Net VEX-4.1K-5.4K-3.1K-3.1K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.670.000.00
Total Volume41.5450220075
Total OI792.455656881656881

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$30.96$30.0038.0%10.9%35.1%73.4%0.0%0.6%-0.7%11.9K-55.6K-3.1K0.00101.59N/AN/A00398258
2010-06-02$32.36$30.0030.5%8.7%39.1%43.3%0.0%4.4%5.5%8.4K-206.8K-3.1K0.00112.67N/AN/A10398258
2010-06-03$33.33$30.0027.3%7.8%40.8%30.6%35.7%6.0%12.5%3.3K-374.3K-3.3K0.00111.70N/AN/A1080398258
2010-06-04$31.65$35.0041.2%11.2%43.0%86.1%0.0%5.9%-3.0%15.5K-218.0K-3.6K0.0084.79N/AN/A500476258
2010-06-07$31.93$35.0029.8%11.2%42.5%40.5%0.0%5.1%-1.5%17.9K-266.7K-3.7K0.0090.29N/AN/A100496258
2010-06-08$31.29$35.0040.3%11.3%39.6%82.5%39.4%1.9%-2.0%19.8K-175.9K-3.7K0.0093.87N/AN/A200506258
2010-06-09$30.98$30.0042.9%11.1%39.4%92.7%38.9%0.2%-1.7%19.1K-134.7K-3.6K1.6793.53N/AN/A610506258
2010-06-10$32.15$30.0037.1%10.6%41.2%69.9%35.4%0.0%-0.9%16.0K-270.8K-3.7K0.0094.84N/AN/A100507268
2010-06-11$32.90$30.0035.6%10.2%42.0%63.6%39.6%4.9%-0.7%10.9K-422.3K-3.8K1.0090.10N/AN/A1010517268
2010-06-14$33.24$30.0036.8%10.5%42.2%68.4%36.6%1.0%-3.2%8.3K-470.6K-3.8K0.0097.89N/AN/A2200517278
2010-06-15$33.79$30.0033.1%9.5%42.4%53.8%0.0%6.7%0.1%11.1K-643.1K-4.0K0.0093.86N/AN/A200577278
2010-06-16$33.92$30.0033.3%9.6%42.3%54.6%28.8%9.6%0.5%9.5K-641.8K-4.1K0.0091.35N/AN/A100577278
2010-06-17$34.36$30.0032.6%9.3%42.5%51.7%0.0%0.7%1.0%-739-732.5K-4.1K0.1097.49N/AN/A101587278
2010-06-18$34.61$30.0032.1%9.2%38.8%49.9%0.0%2.7%-1.6%-14.2K-807.6K-4.1K0.0095.49N/AN/A120597278
2010-06-21$34.88$30.0033.9%9.7%38.8%56.9%33.9%1.9%-0.4%33.4K-821.0K-4.0K0.0095.24N/AN/A620496179
2010-06-22$34.75$30.0032.5%9.3%38.0%51.4%0.0%1.5%-0.9%37.5K-904.5K-4.4K0.0095.94N/AN/A1270558179
2010-06-23$34.05$30.0029.8%8.5%39.0%40.6%0.0%-1.1%2.5%48.5K-946.9K-5.2K0.00105.03N/AN/A00685179
2010-06-24$33.35$30.0030.5%8.7%39.9%43.5%56.3%-2.3%2.4%44.0K-796.2K-5.0K0.4083.34N/AN/A2510685179
2010-06-25$34.02$30.0072.6%20.8%38.8%100.0%0.0%71.2%-30.3%35.9K-927.3K-5.4K0.00136.90N/AN/A00685189
2010-06-28$34.20$30.0029.7%8.5%38.4%19.1%0.0%0.2%3.1%49.6K-949.4K-5.1K0.0079.69N/AN/A20685189
2010-06-29$32.91$30.0032.9%9.4%38.6%25.1%37.8%-10.3%-2.2%38.4K-704.1K-4.9K0.0079.80N/AN/A1050687189
2010-06-30$32.56$30.0034.7%10.0%35.7%28.5%0.0%0.9%-4.4%39.8K-645.8K-4.7K0.0072.96N/AN/A750692189