VSAT Options History — March 2011

In March 2011, VSAT traded between $37.68 and $41.16. ATM implied volatility averaged 52.5%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 22.4% (HV 20d: 30.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2011-03-16: Highest Volume — 56 contracts
  • 2011-03-02: Largest IV spike — 238.6% change
  • 2011-03-08: Highest IV Rank — 100.0%
  • 2011-03-30: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.59$37.68$41.16$40.56$39.84
Max Pain$29.35$25.00$30.00$25.00$30.00
ATM IV52.5%21.0%92.5%21.0%44.3%
Expected Move14.0%6.0%20.7%6.0%12.7%
HV 20d30.2%24.6%36.5%36.5%24.6%
HV 60d28.2%26.9%29.4%27.0%28.3%
IV Rank48.2%2.6%100.0%2.6%33.8%
IV Percentile85.7%1.2%100.0%1.2%84.9%
Term Structure-11.6%-32.9%14.6%14.6%-0.7%
VWIV38.3%31.9%44.7%44.7%31.9%
Skew 25d17.0%0.2%73.7%23.8%10.4%
Skew 10d12.9%-46.6%71.8%71.8%10.5%
Call IV 25d54.9%21.7%98.0%63.4%38.1%
Put IV 25d71.9%37.3%104.7%87.2%48.5%
Bid-Ask Spread %142.40135.82146.71137.92144.59
Gamma HHI0.450.340.750.440.46
Net GEX6.0K-11.8K29.5K29.5K-8.1K
Net DEX-238.7K-750.3K242.6K-695.7K221.4K
Net VEX-3.3K-4.1K-2.8K-3.8K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.201.000.00
Total Volume7.087056200
Total OI731.957490913837529

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$40.56$25.0021.0%6.0%36.5%2.6%0.0%23.8%14.6%29.5K-695.7K-3.8K1.00137.92N/AN/A1010518319
2011-03-02$40.43$25.0071.1%20.4%33.5%97.1%0.0%3.0%-32.9%11.7K-670.4K-4.1K0.00139.65N/AN/A00528329
2011-03-03$41.16$25.0037.4%10.7%34.4%33.6%0.0%13.1%-2.2%20.6K-734.2K-3.8K0.00141.73N/AN/A00528329
2011-03-04$41.00$30.0055.7%13.1%34.4%68.1%0.0%23.8%-6.3%16.4K-750.3K-3.8K0.00135.82N/AN/A05528329
2011-03-07$40.34$30.0039.1%14.2%34.5%36.8%0.0%12.5%-15.1%16.8K-597.6K-3.6K0.00136.69N/AN/A00528334
2011-03-08$40.67$30.0088.1%13.6%34.7%100.0%0.0%4.4%-15.7%12.8K-647.4K-3.7K0.00145.18N/AN/A00528334
2011-03-09$40.55$30.0092.5%13.6%34.5%100.0%0.0%1.6%-13.9%9.3K-618.5K-3.7K0.00145.48N/AN/A10528334
2011-03-10$39.38$30.0048.8%14.0%35.5%40.1%0.0%30.2%-16.9%5.2K-468.7K-3.4K1.20144.90N/AN/A56529334
2011-03-11$40.06$30.0049.0%14.1%36.4%40.4%0.0%3.8%-16.4%13.4K-544.8K-3.2K0.00144.92N/AN/A00524340
2011-03-14$39.31$30.0051.8%14.8%36.2%44.1%0.0%3.6%-20.6%10.2K-542.9K-3.4K0.00145.91N/AN/A20524340
2011-03-15$39.20$30.0053.7%15.4%27.0%46.7%0.0%3.9%-19.6%16.1K-315.1K-3.0K0.00143.71N/AN/A08526340
2011-03-16$38.07$30.0054.4%15.6%26.1%47.7%0.0%73.7%-21.5%13.8K-210.7K-2.9K0.00137.32N/AN/A560526340
2011-03-17$37.68$30.0058.5%16.8%25.7%53.4%0.0%14.0%-20.6%14.0K-277.3K-3.4K0.00146.71N/AN/A40575338
2011-03-18$38.32$30.0038.8%11.1%26.1%26.4%44.7%15.3%-9.7%-11.8K188-2.8K0.00143.79N/AN/A170575338
2011-03-21$39.17$30.0058.4%16.7%27.7%53.2%0.0%56.0%-5.2%-8.6K179.7K-3.1K0.00144.61N/AN/A025245245
2011-03-22$39.12$30.0035.5%10.2%26.9%21.8%31.9%12.1%-3.0%-8.3K242.6K-3.0K0.00141.01N/AN/A100245270
2011-03-23$38.46$30.0037.2%10.7%27.2%24.1%0.0%51.1%-6.6%-2.9K176.1K-3.1K0.00141.54N/AN/A00255270
2011-03-24$39.39$30.0045.1%12.9%28.3%35.0%0.0%21.1%3.6%-4.4K218.6K-3.1K0.00136.31N/AN/A00255270
2011-03-25$39.46$30.0044.1%12.6%26.6%33.6%0.0%2.2%0.8%-4.3K194.6K-3.1K0.00143.77N/AN/A20255270
2011-03-28$39.55$30.0068.0%19.5%26.6%66.3%0.0%5.8%-28.6%63169.3K-3.4K0.00144.78N/AN/A00257270
2011-03-29$39.44$30.0043.4%12.4%25.1%32.6%0.0%0.2%2.1%-5.6K205.9K-3.0K0.00143.34N/AN/A02257270
2011-03-30$39.36$30.0072.1%20.7%25.1%71.9%0.0%6.0%-31.9%85074.9K-3.3K0.00145.42N/AN/A00257272
2011-03-31$39.84$30.0044.3%12.7%24.6%33.8%0.0%10.4%-0.7%-8.1K221.4K-2.8K0.00144.59N/AN/A00257272