VSAT Options History — October 2010

In October 2010, VSAT traded between $40.16 and $41.89. ATM implied volatility averaged 31.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.2% (HV 20d: 25.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.47.

Notable Days

  • 2010-10-01: Highest Volume — 63 contracts
  • 2010-10-04: Largest IV drop — 16.4% change
  • 2010-10-29: Highest IV Rank — 30.8%
  • 2010-10-29: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.05$40.16$41.89$41.59$41.17
Max Pain$37.38$35.00$40.00$35.00$35.00
ATM IV31.5%28.0%35.9%33.5%35.9%
Expected Move9.2%8.7%10.3%9.6%10.3%
HV 20d25.3%21.2%27.8%23.7%22.4%
HV 60d28.0%25.3%31.1%30.5%25.5%
IV Rank22.5%15.9%30.8%26.3%30.8%
IV Percentile48.4%19.4%86.5%62.7%86.5%
Term Structure-0.6%-3.8%1.1%-1.9%-3.3%
VWIV30.6%28.0%33.8%33.8%32.4%
Skew 25d4.2%-3.7%13.3%13.3%8.7%
Skew 10d6.1%-5.0%44.3%44.3%5.1%
Call IV 25d27.6%18.9%32.5%26.2%25.7%
Put IV 25d31.8%25.3%39.5%39.5%34.4%
Bid-Ask Spread %89.1775.31103.4592.9095.00
Gamma HHI0.710.680.760.680.73
Net GEX44.0K36.2K51.2K36.2K42.6K
Net DEX-1.7M-1.9M-1.5M-1.7M-1.6M
Net VEX-3.7K-4.2K-3.3K-3.5K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.0030.000.261.00
Total Volume8.952063630
Total OI719.81664763664758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$41.59$35.0033.5%9.6%23.7%26.3%33.8%13.3%-1.9%36.2K-1.7M-3.5K0.2692.90N/AN/A5013557107
2010-10-04$40.53$40.0028.0%9.0%26.4%15.9%0.0%2.2%-0.7%40.7K-1.7M-3.9K0.0077.67N/AN/A00607120
2010-10-05$40.97$40.0030.9%8.9%25.7%21.4%0.0%4.0%0.6%40.7K-1.8M-3.8K0.0080.49N/AN/A00607120
2010-10-06$40.37$40.0028.2%9.0%26.6%16.2%0.0%3.4%-0.6%39.7K-1.7M-3.9K0.0075.31N/AN/A00607120
2010-10-07$40.16$40.0028.2%8.8%26.8%16.2%0.0%-3.7%-0.1%41.2K-1.6M-3.8K0.0086.07N/AN/A00607120
2010-10-08$41.22$40.0030.0%8.9%27.8%19.5%0.0%5.8%0.8%40.0K-1.8M-3.7K0.0080.15N/AN/A010607120
2010-10-11$40.75$40.0028.2%9.0%27.3%16.3%0.0%0.7%1.1%38.9K-1.7M-3.7K0.0091.25N/AN/A00607130
2010-10-12$40.97$40.0030.3%8.9%27.2%20.1%30.8%6.3%-0.3%40.8K-1.7M-3.6K0.0086.58N/AN/A100607130
2010-10-13$41.89$40.0033.8%8.7%27.8%26.8%0.0%1.7%0.2%43.8K-1.9M-3.4K0.0090.81N/AN/A20613130
2010-10-14$41.75$40.0030.3%8.7%27.4%20.2%28.0%0.9%0.3%46.1K-1.9M-3.6K0.0089.74N/AN/A10615130
2010-10-15$41.60$40.0031.7%9.1%27.1%22.8%28.0%1.9%0.1%43.2K-1.9M-3.6K0.0088.03N/AN/A100616130
2010-10-18$41.74$35.0030.7%8.8%25.9%20.8%0.0%11.7%1.0%46.2K-1.9M-3.3K0.00103.45N/AN/A0060184
2010-10-19$40.72$35.0031.1%8.9%27.6%21.7%0.0%-1.6%-0.2%49.9K-1.7M-3.5K0.0089.47N/AN/A0060184
2010-10-20$40.82$35.0031.4%9.0%27.5%22.2%0.0%3.8%-1.0%50.0K-1.7M-3.6K0.0086.55N/AN/A0060184
2010-10-21$40.92$35.0031.3%9.0%27.2%22.1%0.0%7.1%-0.6%51.2K-1.7M-3.3K0.0093.22N/AN/A0060184
2010-10-22$40.99$35.0030.7%8.8%21.2%20.9%0.0%7.2%-0.1%50.7K-1.7M-3.3K0.0097.50N/AN/A01060184
2010-10-25$41.49$35.0031.6%9.1%21.3%22.7%32.4%2.1%-1.0%49.4K-1.8M-3.3K0.0092.61N/AN/A01060194
2010-10-26$40.96$35.0034.3%9.8%21.8%27.8%0.0%-0.3%0.0%45.8K-1.7M-3.5K30.0089.25N/AN/A260601104
2010-10-27$40.94$35.0035.9%10.3%21.6%30.7%0.0%7.3%-3.8%44.7K-1.6M-4.2K0.0094.06N/AN/A00599164
2010-10-28$40.46$35.0035.6%10.2%21.8%30.2%0.0%5.0%-2.3%42.8K-1.5M-4.2K1.0092.52N/AN/A55599164
2010-10-29$41.17$35.0035.9%10.3%22.4%30.8%0.0%8.7%-3.3%42.6K-1.6M-4.0K0.0095.00N/AN/A00594164