VSAT Options History — April 2011

In April 2011, VSAT traded between $37.27 and $39.92. ATM implied volatility averaged 66.3%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 45.5% (HV 20d: 20.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2011-04-19: Highest Volume — 446 contracts
  • 2011-04-08: Largest IV spike — 84.2% change
  • 2011-04-06: Highest IV Rank — 100.0%
  • 2011-04-01: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.80$37.27$39.92$39.15$39.92
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV66.3%41.1%132.7%64.4%52.6%
Expected Move14.9%11.4%18.5%18.5%15.1%
HV 20d20.7%17.3%25.3%25.3%19.1%
HV 60d27.8%26.4%28.5%28.3%26.5%
IV Rank48.6%18.7%100.0%61.4%28.9%
IV Percentile90.9%77.4%100.0%95.6%83.7%
Term Structure-11.4%-28.6%12.7%-23.9%-10.9%
VWIV47.4%47.4%47.4%47.4%47.4%
Skew 25d16.6%3.0%56.9%12.1%8.5%
Skew 10d21.1%-39.6%86.1%-20.3%-7.7%
Call IV 25d63.7%34.2%93.9%93.9%75.9%
Put IV 25d80.3%44.0%106.0%106.0%84.4%
Bid-Ask Spread %142.54125.86150.88127.47145.27
Gamma HHI0.370.260.560.390.33
Net GEX1.0K-12.4K15.4K-25111.2K
Net DEX33.2K-501.2K296.6K128.0K-501.2K
Net VEX-4.6K-8.1K-2.8K-3.1K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.000.800.000.80
Total Volume32.950446600
Total OI704.254761,0485291,048

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$39.15$30.0064.4%18.5%25.3%61.4%47.4%12.1%-23.9%-251128.0K-3.1K0.00127.47N/AN/A600257272
2011-04-04$39.17$30.0086.3%12.8%24.7%91.4%0.0%6.7%-9.3%-610118.0K-3.5K0.00144.45N/AN/A00294272
2011-04-05$39.01$30.0058.6%13.0%24.5%53.5%0.0%12.4%-10.5%-3.5K171.3K-3.3K0.00143.82N/AN/A00294272
2011-04-06$39.65$30.0093.9%13.0%25.3%100.0%0.0%10.9%-17.4%75138.8K-3.5K0.00145.59N/AN/A00294272
2011-04-07$39.31$30.0057.2%13.2%23.2%50.6%0.0%12.8%-15.4%-6.8K141.2K-3.2K0.00145.17N/AN/A00294272
2011-04-08$39.36$30.00105.3%13.4%22.4%100.0%0.0%12.8%-11.4%-1.2K111.8K-3.4K0.00146.25N/AN/A00294272
2011-04-11$39.07$30.00132.7%13.9%21.5%100.0%0.0%13.6%-12.7%-1.4K118.3K-3.3K0.00146.33N/AN/A00294272
2011-04-12$38.35$30.0042.6%14.3%22.4%20.4%0.0%3.0%-28.6%-12.4K220.6K-2.9K0.00144.16N/AN/A00294272
2011-04-13$38.20$30.0074.7%11.4%19.9%48.6%0.0%9.3%2.3%-5.9K272.2K-2.9K0.00135.87N/AN/A00294272
2011-04-14$38.23$30.0041.1%11.8%19.5%18.7%0.0%13.7%12.7%-2.6K221.7K-3.0K0.00135.56N/AN/A00294272
2011-04-15$37.91$30.0054.6%15.7%18.8%30.7%0.0%13.1%-15.0%-5.2K222.8K-3.0K0.00138.08N/AN/A00294272
2011-04-18$37.38$30.0063.0%18.1%17.3%38.1%0.0%22.0%-8.9%-5.1K291.9K-2.8K0.00145.16N/AN/A00214262
2011-04-19$37.27$30.0064.2%18.4%17.3%39.2%0.0%56.9%-6.4%-4.3K296.6K-2.8K0.41145.72N/AN/A316130214262
2011-04-20$38.39$30.0054.6%15.7%19.9%30.7%0.0%7.1%-17.5%6.6K100.9K-3.7K0.00150.88N/AN/A1080306392
2011-04-21$38.69$30.0055.5%15.9%18.0%31.4%0.0%15.3%-6.5%15.4K-175.1K-7.3K0.80147.40N/AN/A2520614392
2011-04-25$38.58$30.0055.2%15.8%18.0%31.2%0.0%10.1%-21.1%7.2K-136.4K-7.6K0.00125.86N/AN/A00636412
2011-04-26$39.27$30.0059.5%17.1%19.2%35.0%0.0%8.1%-11.0%13.0K-268.5K-7.9K0.00147.51N/AN/A00636412
2011-04-27$39.58$30.0060.5%17.3%19.4%35.9%0.0%54.4%-12.5%13.0K-356.1K-8.0K0.00147.59N/AN/A00636412
2011-04-28$39.58$30.0048.9%14.0%19.4%25.7%0.0%29.9%-3.4%2.7K-352.9K-8.1K0.00142.70N/AN/A00636412
2011-04-29$39.92$30.0052.6%15.1%19.1%28.9%0.0%8.5%-10.9%11.2K-501.2K-7.9K0.00145.27N/AN/A00636412