VSAT Options History — September 2010

In September 2010, VSAT traded between $35.89 and $41.11. ATM implied volatility averaged 27.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.5% (HV 20d: 23.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2010-09-02: Highest Volume — 40 contracts
  • 2010-09-07: Largest IV spike — 42.4% change
  • 2010-09-10: Highest IV Rank — 21.5%
  • 2010-09-07: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.40$35.89$41.11$35.89$41.11
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV27.5%20.1%31.0%30.6%27.3%
Expected Move8.2%6.8%9.1%8.8%7.8%
HV 20d23.0%18.7%29.3%29.2%23.6%
HV 60d31.3%30.2%32.3%32.3%30.6%
IV Rank15.0%0.8%21.5%20.8%14.5%
IV Percentile17.2%0.4%35.7%30.2%14.7%
Term Structure2.7%0.1%4.4%0.5%4.1%
VWIV29.3%25.2%31.1%30.6%28.9%
Skew 25d5.2%-2.8%21.3%6.8%6.0%
Skew 10d9.1%-2.2%37.1%3.5%9.6%
Call IV 25d26.4%21.9%32.6%22.1%21.9%
Put IV 25d31.6%24.1%45.4%28.9%27.9%
Bid-Ask Spread %93.2882.62103.5399.71100.66
Gamma HHI0.610.470.780.530.68
Net GEX62.2K35.3K97.8K95.7K36.3K
Net DEX-1.9M-2.5M-1.3M-1.6M-1.7M
Net VEX-4.3K-5.3K-3.6K-5.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.501.000.00
Total Volume8040100
Total OI1,090.4766581,4281,368664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$35.89$35.0030.6%8.8%29.2%20.8%30.6%6.8%0.5%95.7K-1.6M-5.3K0.0099.71N/AN/A0101,084284
2010-09-02$36.14$35.0029.3%8.4%29.1%18.3%29.3%-0.0%1.6%94.8K-1.7M-5.2K1.00103.53N/AN/A20201,084294
2010-09-03$36.44$35.0020.1%8.7%29.1%0.8%0.0%0.7%2.3%90.1K-1.9M-5.0K0.0094.34N/AN/A001,094314
2010-09-07$36.03$35.0028.5%9.1%29.3%16.9%0.0%6.7%1.1%97.8K-1.7M-5.0K0.0096.13N/AN/A501,094314
2010-09-08$36.56$35.0023.9%8.8%25.2%8.2%0.0%-1.3%0.1%86.6K-2.0M-4.6K0.0093.50N/AN/A1901,094314
2010-09-09$36.69$35.0029.9%8.6%19.0%19.5%30.4%1.6%4.4%82.5K-2.1M-4.7K0.4598.56N/AN/A22101,113314
2010-09-10$37.12$35.0031.0%8.9%18.7%21.5%0.0%4.2%3.1%69.2K-2.2M-4.6K0.0098.25N/AN/A001,093324
2010-09-13$38.08$35.0028.1%8.1%20.1%16.0%0.0%4.4%2.2%81.7K-2.5M-4.5K0.0082.67N/AN/A011,093324
2010-09-14$37.93$35.0023.6%6.8%19.9%7.6%0.0%1.4%2.5%67.9K-2.4M-4.4K0.0087.54N/AN/A001,093324
2010-09-15$38.36$35.0028.6%8.2%19.9%16.9%31.1%2.7%1.8%68.4K-2.5M-4.3K0.0084.18N/AN/A0101,093324
2010-09-16$37.93$35.0027.3%7.8%20.6%14.5%0.0%2.9%2.5%67.7K-2.4M-4.3K0.0085.78N/AN/A401,093334
2010-09-17$38.59$35.0027.4%7.8%19.7%14.6%0.0%4.8%2.2%73.3K-2.5M-4.1K0.0084.83N/AN/A1001,094334
2010-09-20$39.57$35.0027.3%7.8%20.8%14.5%0.0%18.2%3.8%38.6K-1.4M-3.8K2.5082.62N/AN/A41056593
2010-09-21$39.38$35.0027.5%7.9%19.3%14.8%0.0%-0.0%3.8%35.7K-1.4M-4.0K0.0094.68N/AN/A01565103
2010-09-22$39.21$35.0028.4%8.2%19.7%16.7%25.2%-1.4%2.8%36.4K-1.4M-4.0K0.2095.81N/AN/A153565104
2010-09-23$38.87$35.0028.9%8.3%20.2%17.5%28.9%-2.8%2.1%35.3K-1.3M-4.0K0.0095.70N/AN/A20556107
2010-09-24$40.79$35.0027.8%8.0%25.2%15.4%0.0%19.2%3.7%37.5K-1.6M-3.8K0.0097.19N/AN/A10558107
2010-09-27$40.39$35.0026.8%7.7%25.8%13.6%0.0%3.7%4.4%35.7K-1.6M-3.8K0.0097.44N/AN/A10558107
2010-09-28$40.45$35.0027.6%7.9%24.9%15.1%0.0%21.3%3.7%37.8K-1.6M-3.6K0.0095.30N/AN/A00557107
2010-09-29$40.85$35.0028.4%8.1%24.6%16.6%0.0%10.0%3.1%37.7K-1.6M-3.6K0.0090.39N/AN/A00557107
2010-09-30$41.11$35.0027.3%7.8%23.6%14.5%0.0%6.0%4.1%36.3K-1.7M-3.6K0.00100.66N/AN/A00557107