VSAT Options History — August 2010

In August 2010, VSAT traded between $33.59 and $37.46. ATM implied volatility averaged 32.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.3% (HV 20d: 34.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2010-08-02: Highest Volume — 104 contracts
  • 2010-08-27: Largest IV drop — 16.5% change
  • 2010-08-09: Highest IV Rank — 33.1%
  • 2010-08-03: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.09$33.59$37.46$37.29$34.95
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.4%26.2%37.1%31.6%29.4%
Expected Move9.2%7.5%10.3%9.1%8.4%
HV 20d34.7%26.4%42.8%37.4%27.5%
HV 60d35.9%32.1%37.7%37.2%32.2%
IV Rank24.2%12.3%33.1%22.7%18.5%
IV Percentile42.2%9.9%73.0%34.9%19.0%
Term Structure1.6%-1.7%13.2%9.0%1.6%
VWIV34.1%31.3%40.0%40.0%31.3%
Skew 25d4.2%-3.3%10.5%-3.2%3.4%
Skew 10d7.6%-3.8%18.0%6.4%3.8%
Call IV 25d30.3%23.4%42.1%40.1%23.4%
Put IV 25d34.6%25.9%38.8%36.9%26.8%
Bid-Ask Spread %88.1267.69104.8476.2796.88
Gamma HHI0.520.470.610.470.58
Net GEX88.5K64.3K111.4K90.9K87.7K
Net DEX-1.4M-2.4M-878.6K-2.2M-1.2M
Net VEX-6.0K-7.6K-5.1K-7.2K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.070.000.00
Total Volume16.13601041042
Total OI1,512.1361,2991,6261,4321,368

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$37.29$35.0031.6%9.1%37.4%22.7%40.0%-3.2%9.0%90.9K-2.2M-7.2K0.0076.27N/AN/A10401,165267
2010-08-03$37.19$35.0035.9%10.3%37.0%30.7%34.9%10.5%-1.7%105.5K-2.3M-7.3K0.0080.48N/AN/A5501,269267
2010-08-04$37.46$35.0030.5%8.7%36.5%20.6%0.0%4.3%13.2%111.4K-2.4M-7.6K0.2086.93N/AN/A511,314267
2010-08-05$36.94$35.0035.2%10.1%37.0%29.4%34.7%7.2%-0.1%108.2K-2.3M-7.3K0.00104.84N/AN/A401,317267
2010-08-06$36.66$35.0036.2%10.2%37.1%31.3%0.0%7.3%-1.5%105.9K-2.1M-7.3K0.0076.64N/AN/A201,318267
2010-08-09$36.85$35.0037.1%10.1%36.9%33.1%0.0%-3.3%-1.5%108.5K-2.1M-7.0K0.0083.50N/AN/A2501,320267
2010-08-10$35.29$35.0033.9%9.4%39.8%27.0%32.9%3.8%0.4%91.8K-1.5M-6.6K0.0091.65N/AN/A1701,335267
2010-08-11$33.82$35.0035.9%9.7%42.8%30.8%33.7%0.6%-0.5%71.3K-1.0M-6.1K0.0084.40N/AN/A021,348267
2010-08-12$33.59$35.0032.4%9.3%42.8%24.2%0.0%4.6%1.1%68.1K-878.6K-5.8K0.0090.18N/AN/A001,348269
2010-08-13$33.73$35.0032.3%9.3%38.8%23.9%0.0%9.8%1.5%72.5K-928.1K-5.8K0.0094.49N/AN/A001,348269
2010-08-16$34.31$35.0032.8%9.4%39.0%24.9%0.0%3.8%0.8%85.2K-1.1M-5.7K0.0092.67N/AN/A001,348269
2010-08-17$34.71$35.0034.2%9.8%38.4%27.5%34.2%4.1%-0.4%92.6K-1.3M-5.9K0.6779.77N/AN/A15101,348269
2010-08-18$34.62$35.0031.6%9.1%34.0%22.6%0.0%3.4%2.5%101.8K-1.2M-5.8K0.0095.17N/AN/A031,348278
2010-08-19$34.11$35.0032.4%9.3%33.8%24.1%0.0%4.8%0.9%87.3K-1.0M-5.5K0.0094.52N/AN/A001,348275
2010-08-20$34.40$35.0031.1%8.9%33.3%21.7%0.0%4.0%1.8%101.0K-1.1M-5.3K0.0095.33N/AN/A2601,348275
2010-08-23$33.82$35.0031.4%9.0%28.8%22.3%0.0%5.2%0.9%64.3K-945.4K-5.1K0.0095.44N/AN/A3501,045254
2010-08-24$33.91$35.0031.4%9.0%29.0%22.2%31.3%8.6%0.2%68.9K-1.0M-5.4K0.0093.54N/AN/A0201,070254
2010-08-25$34.45$35.0030.5%8.8%28.8%20.6%0.0%9.3%1.6%74.2K-1.1M-5.3K0.0082.07N/AN/A001,070269
2010-08-26$34.78$35.0031.3%9.0%29.0%22.1%31.3%3.0%0.2%79.3K-1.3M-5.6K1.0767.69N/AN/A14151,070269
2010-08-27$34.74$35.0026.2%7.5%29.0%12.3%0.0%1.7%4.2%89.7K-1.1M-5.2K0.0077.13N/AN/A001,084284
2010-08-30$34.34$35.0029.8%8.5%26.4%19.3%0.0%0.6%1.3%79.9K-1.1M-5.2K0.0099.09N/AN/A001,084284
2010-08-31$34.95$35.0029.4%8.4%27.5%18.5%0.0%3.4%1.6%87.7K-1.2M-5.2K0.0096.88N/AN/A201,084284