VSAT Options History — December 2010

In December 2010, VSAT traded between $41.75 and $44.64. ATM implied volatility averaged 29.2%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 13.7% (HV 20d: 15.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2010-12-03: Highest Volume — 132 contracts
  • 2010-12-09: Largest IV spike — 46.8% change
  • 2010-12-02: Highest IV Rank — 29.5%
  • 2010-12-02: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.62$41.75$44.64$41.75$44.41
Max Pain$42.86$35.00$45.00$35.00$45.00
ATM IV29.2%22.0%35.3%33.6%27.8%
Expected Move8.6%6.4%10.1%9.6%8.0%
HV 20d15.5%11.9%20.1%19.6%13.0%
HV 60d20.9%18.3%22.8%22.8%18.3%
IV Rank18.0%4.5%29.5%26.4%15.5%
IV Percentile33.0%1.2%80.2%65.9%19.0%
Term Structure2.8%-1.1%10.0%1.6%5.4%
VWIV29.8%28.2%32.4%29.7%28.2%
Skew 25d3.8%-1.9%8.0%2.1%-0.9%
Skew 10d6.7%-1.8%19.3%2.7%-0.8%
Call IV 25d26.2%22.6%30.3%29.8%26.1%
Put IV 25d30.0%21.4%35.1%31.9%25.2%
Bid-Ask Spread %92.6080.45103.99101.8796.71
Gamma HHI0.550.240.890.890.67
Net GEX13.1K4.1K28.6K26.9K18.0K
Net DEX-1.5M-2.0M-964.2K-1.4M-1.2M
Net VEX-5.4K-5.8K-4.8K-5.1K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.670.020.00
Total Volume12.727013220
Total OI972.6367241,1731,064773

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$41.75$35.0033.6%9.6%19.6%26.4%0.0%2.1%1.6%26.9K-1.4M-5.1K0.00101.87N/AN/A02598466
2010-12-02$41.89$35.0035.3%10.1%19.6%29.5%0.0%0.8%-0.3%28.6K-1.4M-5.0K0.00101.72N/AN/A00598468
2010-12-03$42.40$35.0032.5%9.3%19.9%24.2%29.7%6.5%2.2%24.5K-1.6M-4.8K0.02103.99N/AN/A1302598468
2010-12-06$42.86$0.0027.0%8.9%20.1%13.9%0.0%6.1%1.2%17.2K-1.7M-5.5K0.6783.21N/AN/A3020622470
2010-12-07$43.25$0.0032.9%9.3%18.9%25.0%0.0%7.8%-0.3%13.8K-1.8M-5.7K0.0080.45N/AN/A250652490
2010-12-08$43.19$0.0022.0%8.8%18.9%4.5%0.0%7.0%0.4%10.9K-1.9M-5.8K0.0085.95N/AN/A00677490
2010-12-09$43.86$0.0032.3%9.2%18.8%23.9%0.0%8.0%-0.2%11.0K-1.9M-5.8K0.0084.91N/AN/A00677490
2010-12-10$43.83$0.0030.3%9.3%18.4%20.3%0.0%5.3%-1.1%6.6K-2.0M-5.7K0.0088.17N/AN/A00677490
2010-12-13$43.46$0.0027.6%8.9%18.2%15.0%0.0%7.2%0.1%5.0K-1.9M-5.6K0.0085.86N/AN/A00677490
2010-12-14$43.46$0.0032.8%9.2%18.2%24.9%0.0%5.0%0.3%5.3K-1.9M-5.6K0.0088.34N/AN/A00677490
2010-12-15$43.50$0.0032.4%9.3%12.4%24.2%32.4%4.4%-0.2%4.5K-1.9M-5.6K0.0089.80N/AN/A20677490
2010-12-16$43.55$45.0030.8%8.8%12.4%21.0%0.0%4.8%1.3%4.1K-1.9M-5.5K0.0088.73N/AN/A100679490
2010-12-17$44.08$45.0029.5%8.5%12.4%18.7%0.0%6.6%2.0%10.9K-2.0M-5.5K0.0086.73N/AN/A00683490
2010-12-20$44.10$45.0027.7%7.9%12.1%15.3%0.0%5.6%4.9%11.1K-1.0M-5.4K0.0091.27N/AN/A00435289
2010-12-21$44.08$45.0024.9%7.1%12.1%10.0%0.0%-1.9%8.2%11.6K-1.0M-5.3K0.00100.74N/AN/A00435289
2010-12-22$44.11$45.0025.6%7.4%12.2%11.4%0.0%5.3%7.4%11.3K-1.0M-5.3K0.0094.94N/AN/A20435289
2010-12-23$43.66$45.0022.3%6.4%11.9%5.1%0.0%4.2%10.0%11.8K-964.2K-5.4K0.0097.60N/AN/A00437289
2010-12-27$44.64$45.0029.1%8.3%13.2%17.8%29.1%-0.1%4.7%11.3K-1.1M-5.2K0.0096.03N/AN/A100437289
2010-12-28$44.44$45.0028.2%8.1%12.9%16.2%28.2%-0.7%5.7%14.0K-1.1M-5.2K0.0097.24N/AN/A20447289
2010-12-29$44.45$45.0028.9%8.3%12.9%17.5%0.0%-0.5%3.5%14.6K-1.1M-5.1K0.0096.04N/AN/A250449289
2010-12-30$44.60$45.0028.6%8.2%12.8%16.9%0.0%0.0%4.9%14.7K-1.2M-5.1K0.0096.85N/AN/A200464289
2010-12-31$44.41$45.0027.8%8.0%13.0%15.5%0.0%-0.9%5.4%18.0K-1.2M-5.3K0.0096.71N/AN/A00484289