VSAT Options History — November 2010

In November 2010, VSAT traded between $39.64 and $41.94. ATM implied volatility averaged 35.4%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 13.9% (HV 20d: 21.5%). 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 5 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-11-01: Highest Volume — 192 contracts
  • 2010-11-05: Largest IV drop — 14.6% change
  • 2010-11-04: Highest IV Rank — 37.8%
  • 2010-11-04: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.97$39.64$41.94$40.39$41.36
Max Pain$35.71$35.00$40.00$35.00$35.00
ATM IV35.4%32.9%39.6%36.8%36.8%
Expected Move10.1%9.3%11.4%10.6%10.6%
HV 20d21.5%19.8%22.9%21.5%20.8%
HV 60d23.4%22.4%26.1%25.8%22.9%
IV Rank29.7%25.1%37.8%32.5%32.5%
IV Percentile80.9%65.1%96.0%90.9%90.9%
Term Structure-0.8%-2.6%1.3%-0.9%-2.6%
VWIV36.5%34.9%38.2%38.2%34.9%
Skew 25d5.3%-6.4%15.0%-6.4%2.8%
Skew 10d10.6%-11.0%31.6%-11.0%12.5%
Call IV 25d32.4%27.9%41.8%41.6%32.8%
Put IV 25d37.7%35.0%45.2%35.2%35.5%
Bid-Ask Spread %88.3374.8797.6286.9493.42
Gamma HHI0.890.710.950.710.95
Net GEX30.7K22.4K52.2K44.6K26.8K
Net DEX-1.2M-1.5M-850.7K-1.5M-1.3M
Net VEX-5.7K-6.4K-4.0K-4.0K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.102.100.00
Total Volume22.71401921920
Total OI1,051.197581,0957581,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$40.39$35.0036.8%10.6%21.5%32.5%38.2%-6.4%-0.9%44.6K-1.5M-4.0K0.0086.94N/AN/A0192594164
2010-11-02$41.30$40.0038.1%10.9%22.6%35.0%0.0%9.4%-2.1%30.9K-1.4M-4.8K2.1096.82N/AN/A2042594339
2010-11-03$41.20$40.0037.5%10.8%21.9%33.8%0.0%15.0%-0.6%28.1K-1.3M-5.5K0.0097.04N/AN/A00614381
2010-11-04$41.04$40.0039.6%11.4%21.9%37.8%0.0%-2.5%-1.2%27.6K-1.3M-5.3K0.0086.27N/AN/A0100614381
2010-11-05$41.30$35.0033.9%9.8%19.9%26.9%0.0%4.4%-1.5%23.0K-1.2M-6.4K0.0083.21N/AN/A30614481
2010-11-08$40.59$35.0032.9%9.3%20.5%25.1%0.0%14.4%0.5%27.2K-1.1M-6.3K0.0078.49N/AN/A00614481
2010-11-09$40.84$35.0034.2%9.5%20.5%27.6%0.0%12.9%-0.7%27.2K-1.1M-6.2K0.0088.78N/AN/A00614481
2010-11-10$41.52$35.0035.7%9.8%19.8%30.4%0.0%7.5%0.6%25.4K-1.3M-6.1K0.0074.87N/AN/A05614481
2010-11-11$41.17$35.0033.4%9.6%20.0%26.0%0.0%4.9%0.4%28.4K-1.2M-6.1K0.0080.20N/AN/A00614476
2010-11-12$40.72$35.0034.4%9.9%20.3%27.9%0.0%4.3%-1.2%29.7K-1.2M-6.1K0.0093.14N/AN/A00614476
2010-11-15$40.96$35.0035.3%10.1%20.4%29.6%0.0%3.5%-1.3%32.8K-1.2M-6.1K0.0088.42N/AN/A00614476
2010-11-16$39.64$35.0035.2%10.1%21.8%29.5%0.0%5.4%-1.3%36.4K-876.6K-6.0K0.0086.85N/AN/A500614476
2010-11-17$39.87$35.0034.9%10.0%21.9%28.8%34.9%4.6%-1.0%45.3K-850.7K-5.7K0.0086.65N/AN/A015614476
2010-11-18$40.40$35.0034.3%9.8%22.4%27.7%0.0%4.7%-0.6%52.2K-1.1M-5.8K0.0089.24N/AN/A00614476
2010-11-19$40.89$35.0034.5%9.9%22.9%28.0%0.0%3.9%-0.3%37.5K-1.3M-5.6K0.0082.42N/AN/A500614476
2010-11-22$41.13$35.0035.7%10.2%22.5%30.3%0.0%4.0%-1.7%22.7K-1.2M-5.8K0.0089.03N/AN/A00598466
2010-11-23$41.21$35.0033.5%9.6%22.0%26.2%0.0%3.2%0.6%24.4K-1.2M-5.7K0.0090.77N/AN/A00598466
2010-11-24$41.94$35.0035.2%10.1%22.9%29.4%0.0%7.3%-1.4%22.4K-1.4M-5.5K0.0097.62N/AN/A00598466
2010-11-26$41.60$35.0034.8%10.0%22.6%28.6%0.0%5.9%1.3%24.2K-1.3M-5.5K0.0092.10N/AN/A00598466
2010-11-29$41.27$35.0036.1%10.3%22.0%31.1%0.0%3.1%-1.2%27.1K-1.3M-5.4K0.0092.68N/AN/A00598466
2010-11-30$41.36$35.0036.8%10.6%20.8%32.5%0.0%2.8%-2.6%26.8K-1.3M-5.3K0.0093.42N/AN/A00598466