VSAT Options History — January 2011

In January 2011, VSAT traded between $41.34 and $45.74. ATM implied volatility averaged 48.4%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 26.3% (HV 20d: 22.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 24.25.

Notable Days

  • 2011-01-13: Highest Volume — 98 contracts
  • 2011-01-12: Largest IV spike — 165.1% change
  • 2011-01-07: Highest IV Rank — 90.6%
  • 2011-01-06: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.50$41.34$45.74$45.74$43.40
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV48.4%20.4%67.6%59.5%59.9%
Expected Move13.1%8.5%18.9%17.1%17.2%
HV 20d22.1%15.8%26.7%15.8%26.7%
HV 60d19.8%19.0%20.7%19.1%20.4%
IV Rank54.3%1.4%90.6%75.3%76.0%
IV Percentile84.9%0.8%99.6%99.6%97.6%
Term Structure-8.2%-39.1%25.0%-23.8%-39.1%
VWIV29.0%23.4%34.7%23.4%34.7%
Skew 25d4.9%-28.2%37.3%-2.1%4.7%
Skew 10d12.5%-2.6%53.1%5.0%-2.6%
Call IV 25d52.9%25.2%85.4%81.8%50.5%
Put IV 25d57.8%27.9%87.7%79.7%55.2%
Bid-Ask Spread %139.17110.88149.35143.04149.35
Gamma HHI0.480.280.740.740.54
Net GEX9.6K-14.9K17.4K16.4K14.4K
Net DEX-978.3K-1.4M-469.0K-1.4M-1.2M
Net VEX-5.0K-5.4K-4.4K-4.9K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.250.0097.000.000.00
Total Volume1009800
Total OI805.3772870773778

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$45.74$45.0059.5%17.1%15.8%75.3%0.0%-2.1%-23.8%16.4K-1.4M-4.9K0.00143.04N/AN/A00484289
2011-01-04$44.48$45.0062.0%17.8%19.2%80.0%0.0%2.4%-15.5%12.1K-1.2M-5.3K0.00133.39N/AN/A00484289
2011-01-05$45.02$45.0046.0%13.2%19.4%49.8%0.0%7.4%-6.1%13.5K-1.3M-5.1K0.00135.91N/AN/A00484289
2011-01-06$45.22$45.0065.8%18.9%19.3%87.2%0.0%0.1%-22.1%16.0K-1.3M-5.0K0.00139.72N/AN/A00484289
2011-01-07$44.85$45.0067.6%11.4%19.0%90.6%0.0%1.7%-9.0%14.8K-1.3M-5.0K0.00146.94N/AN/A00484289
2011-01-10$45.06$45.0066.8%11.6%19.1%89.2%0.0%3.7%-3.1%12.9K-1.3M-4.9K0.00141.40N/AN/A00484289
2011-01-11$44.73$45.0020.4%9.6%19.0%1.4%0.0%5.7%17.4%17.4K-1.2M-5.1K0.00127.26N/AN/A077484289
2011-01-12$44.82$45.0054.0%12.5%19.0%64.9%0.0%8.1%-17.1%-14.9K-1.0M-5.3K0.00142.48N/AN/A70484366
2011-01-13$43.17$45.0040.0%11.5%23.5%38.4%0.0%10.5%1.5%-3.6K-803.5K-5.4K97.00139.10N/AN/A197491366
2011-01-14$42.70$45.0030.6%8.8%23.8%20.7%23.4%2.7%25.0%-1.5K-736.4K-5.3K0.00136.66N/AN/A120492366
2011-01-18$42.32$45.0045.3%13.0%23.4%48.5%0.0%12.9%-10.4%3.7K-659.2K-5.1K0.00140.97N/AN/A00504366
2011-01-19$41.86$45.0029.7%8.5%23.6%19.1%0.0%-0.4%8.7%8.8K-580.7K-5.0K0.00110.88N/AN/A00504366
2011-01-20$41.34$45.0044.8%12.8%23.8%47.6%0.0%37.3%-22.7%7.6K-478.5K-4.9K0.00135.88N/AN/A00504366
2011-01-21$41.51$45.0038.2%11.0%24.0%35.1%0.0%8.3%-17.2%8.6K-469.0K-5.0K0.00142.30N/AN/A00504366
2011-01-24$42.01$45.0049.9%14.3%24.4%57.1%0.0%-5.9%-1.3%10.3K-853.8K-5.0K0.00145.67N/AN/A00483289
2011-01-25$42.09$45.0048.3%13.9%22.7%54.2%0.0%12.9%-16.5%11.6K-816.8K-4.9K0.00140.98N/AN/A00483289
2011-01-26$43.30$45.0034.6%9.9%25.3%28.3%34.7%0.7%7.7%13.3K-967.9K-4.7K0.00142.03N/AN/A60483289
2011-01-27$43.60$45.0043.4%12.4%25.4%44.8%0.0%15.5%-0.3%17.2K-1.0M-4.8K0.00145.99N/AN/A00489289
2011-01-28$42.79$45.0061.2%17.5%26.1%78.5%0.0%-28.2%-19.8%13.9K-990.0K-5.0K0.00143.53N/AN/A00489289
2011-01-31$43.40$45.0059.9%17.2%26.7%76.0%0.0%4.7%-39.1%14.4K-1.2M-4.4K0.00149.35N/AN/A00489289