VSAT Options History — July 2010

In July 2010, VSAT traded between $31.14 and $37.81. ATM implied volatility averaged 33.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.4% (HV 20d: 33.4%). 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 15 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2010-07-21: Highest Volume — 1,087 contracts
  • 2010-07-26: Largest IV drop — 25.4% change
  • 2010-07-16: Highest IV Rank — 35.8%
  • 2010-07-16: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.11$31.14$37.81$32.06$36.14
Max Pain$33.89$30.00$35.00$30.00$35.00
ATM IV33.0%26.2%38.6%27.9%35.9%
Expected Move9.8%7.5%11.1%8.0%10.3%
HV 20d33.4%27.2%39.9%34.3%37.5%
HV 60d34.7%31.8%37.7%31.8%37.5%
IV Rank25.2%12.4%35.8%15.7%30.8%
IV Percentile45.1%9.9%79.0%14.3%65.1%
Term Structure0.8%-3.2%9.4%9.4%0.3%
VWIV31.7%25.4%37.8%37.8%33.8%
Skew 25d3.7%-7.8%10.2%0.4%8.9%
Skew 10d6.8%-13.6%16.0%3.5%10.5%
Call IV 25d31.5%24.9%40.0%28.5%27.0%
Put IV 25d35.3%26.6%39.2%28.9%35.9%
Bid-Ask Spread %88.8070.06113.11112.9771.94
Gamma HHI0.570.440.720.610.45
Net GEX54.2K27.0K93.7K33.0K82.9K
Net DEX-1.0M-2.3M-329.7K-466.7K-1.8M
Net VEX-5.2K-7.6K-3.9K-4.3K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.600.000.00
Total Volume74.57101,08700
Total OI1,039.3337251,4528811,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$32.06$30.0027.9%8.0%34.3%15.7%0.0%0.4%9.4%33.0K-466.7K-4.3K0.00112.97N/AN/A00692189
2010-07-02$31.49$30.0030.2%8.6%29.6%19.9%0.0%-4.8%3.6%29.4K-371.9K-4.1K0.00113.11N/AN/A00692189
2010-07-06$31.14$0.0035.2%10.6%29.6%29.4%0.0%-1.5%1.7%27.0K-329.7K-3.9K0.0088.30N/AN/A00692189
2010-07-07$31.94$0.0030.3%11.0%30.2%20.2%0.0%3.6%-0.6%29.1K-422.2K-4.0K0.0088.77N/AN/A00692189
2010-07-08$32.53$0.0033.8%9.9%30.5%26.7%0.0%6.1%0.7%36.9K-549.4K-4.2K0.0086.97N/AN/A00692189
2010-07-09$33.12$0.0028.2%10.3%28.3%16.2%0.0%6.0%0.5%44.0K-644.1K-4.3K0.0088.46N/AN/A00692189
2010-07-12$32.95$0.0034.0%10.0%27.2%27.1%0.0%6.4%0.4%41.8K-632.6K-4.2K0.0091.58N/AN/A50692189
2010-07-13$33.87$0.0033.8%10.4%28.7%26.7%0.0%6.3%-0.9%61.3K-818.7K-4.3K0.0095.27N/AN/A200694189
2010-07-14$33.97$0.0030.7%10.1%28.1%20.9%0.0%9.6%0.5%64.8K-822.2K-4.3K0.0089.47N/AN/A100694189
2010-07-15$33.84$0.0034.4%9.9%28.1%28.0%0.0%6.0%0.9%61.0K-778.8K-4.2K0.0094.16N/AN/A100696189
2010-07-16$32.22$0.0038.6%11.1%32.5%35.8%0.0%2.8%0.2%30.4K-505.6K-3.9K0.6090.59N/AN/A53702189
2010-07-19$32.64$0.0034.1%9.8%32.8%27.3%0.0%4.1%-0.6%28.1K-440.6K-3.9K0.0097.25N/AN/A150553172
2010-07-20$33.36$0.0034.2%9.8%33.8%27.5%0.0%3.8%0.0%33.1K-584.7K-4.0K0.1499.39N/AN/A23133563172
2010-07-21$35.08$0.0035.1%10.1%38.6%29.3%37.8%-7.8%1.3%45.7K-1.2M-5.0K0.1070.06N/AN/A984103676205
2010-07-22$35.61$35.0034.6%9.9%38.1%28.4%0.0%5.0%1.4%67.7K-1.5M-7.1K0.0094.09N/AN/A101,076267
2010-07-23$36.19$35.0035.1%10.1%37.4%29.2%25.4%-0.3%-1.4%73.4K-1.7M-6.9K0.1479.57N/AN/A711,072267
2010-07-26$37.81$35.0026.2%7.5%39.6%12.4%29.9%2.7%2.6%85.7K-2.2M-6.8K0.0075.86N/AN/A11801,079267
2010-07-27$37.54$35.0029.0%8.3%39.9%17.7%33.8%1.0%-3.2%93.7K-2.3M-7.6K0.0079.30N/AN/A2001,185267
2010-07-28$36.58$35.0035.3%10.1%38.3%29.7%0.0%10.0%0.7%85.4K-1.9M-7.4K0.0085.48N/AN/A001,165267
2010-07-29$36.29$35.0036.1%10.4%38.2%31.1%0.0%10.2%-0.9%83.8K-1.8M-7.4K0.0072.23N/AN/A001,165267
2010-07-30$36.14$35.0035.9%10.3%37.5%30.8%0.0%8.9%0.3%82.9K-1.8M-7.3K0.0071.94N/AN/A001,165267