VSAT Options History — May 2011

In May 2011, VSAT traded between $39.35 and $44.27. ATM implied volatility averaged 45.2%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 20.5% (HV 20d: 24.7%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2011-05-16: Highest Volume — 525 contracts
  • 2011-05-10: Largest IV spike — 51.3% change
  • 2011-05-05: Highest IV Rank — 47.9%
  • 2011-05-05: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.66$39.35$44.27$39.76$44.27
Max Pain$42.14$30.00$45.00$30.00$45.00
ATM IV45.2%30.1%74.0%68.1%32.2%
Expected Move12.3%8.6%21.2%19.5%9.2%
HV 20d24.7%17.4%33.3%18.0%33.2%
HV 60d25.5%22.5%27.0%26.5%26.3%
IV Rank22.4%8.9%47.9%42.6%10.8%
IV Percentile61.6%21.8%97.2%95.6%34.5%
Term Structure-10.0%-48.4%1.8%-25.2%0.3%
VWIV41.3%32.1%52.8%45.8%32.1%
Skew 25d5.6%-12.6%29.7%8.2%-3.1%
Skew 10d17.1%-44.7%110.0%28.9%0.8%
Call IV 25d50.3%28.2%100.1%92.0%30.1%
Put IV 25d55.9%21.1%113.3%100.2%27.0%
Bid-Ask Spread %116.1780.97146.91146.0594.85
Gamma HHI0.430.280.800.280.60
Net GEX69.4K-8.0K221.7K12.9K104.2K
Net DEX-1.4M-2.7M-302.4K-408.2K-2.3M
Net VEX-10.5K-12.3K-7.8K-7.8K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.0020.000.920.00
Total Volume109.619052514495
Total OI1,668.9051,0482,5331,0481,746

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$39.76$30.0068.1%19.5%18.0%42.6%0.0%8.2%-25.2%12.9K-408.2K-7.8K0.92146.05N/AN/A7569636412
2011-05-03$39.55$30.0069.8%20.0%18.2%44.2%0.0%9.8%-48.4%-8.0K-302.4K-8.7K0.00146.91N/AN/A550695481
2011-05-04$39.35$30.0072.1%20.7%18.2%46.2%0.0%15.5%-41.8%512-501.9K-10.1K0.00146.02N/AN/A100750481
2011-05-05$39.62$30.0074.0%21.2%17.4%47.9%0.0%10.7%-41.8%4.8K-379.3K-9.2K0.00144.88N/AN/A500760481
2011-05-06$40.30$45.0051.1%10.7%18.1%27.6%0.0%12.3%-6.7%9.8K-586.4K-9.7K0.00135.75N/AN/A340762481
2011-05-09$40.61$45.0032.5%10.8%18.2%11.0%0.0%15.2%-5.2%17.1K-682.1K-10.0K0.00136.02N/AN/A020794481
2011-05-10$41.44$45.0049.1%10.5%19.0%25.8%45.8%-12.6%-0.2%24.5K-817.1K-9.9K0.25139.23N/AN/A19549794501
2011-05-11$41.06$45.0063.0%10.2%17.9%38.1%0.0%-12.6%-2.3%59.7K-1.5M-10.7K0.00141.89N/AN/A010979501
2011-05-12$42.32$45.0036.8%10.6%20.0%14.9%40.5%1.2%1.8%43.8K-1.4M-10.6K0.00107.88N/AN/A3180979511
2011-05-13$41.10$45.0035.2%10.1%23.4%13.5%0.0%1.8%-3.6%173.0K-1.8M-11.6K0.00134.77N/AN/A011,269511
2011-05-16$40.72$45.0049.9%14.3%23.5%26.5%47.0%11.1%-18.8%58.0K-2.0M-11.1K0.22103.13N/AN/A430951,269512
2011-05-17$41.08$45.0048.6%13.9%22.6%25.4%52.8%29.7%-8.1%140.3K-1.6M-11.9K0.48119.35N/AN/A193921,669586
2011-05-18$43.58$45.0042.3%12.1%29.5%19.8%44.2%11.6%-14.0%200.2K-2.5M-12.3K0.00123.01N/AN/A2101,848677
2011-05-19$43.38$45.0033.2%9.5%28.6%11.7%34.0%4.4%1.7%94.0K-2.4M-11.6K2.5084.46N/AN/A481201,856677
2011-05-20$43.35$45.0031.5%9.0%28.7%10.2%36.7%6.6%0.2%221.7K-2.7M-11.3K0.0680.97N/AN/A176101,845642
2011-05-23$41.69$45.0034.0%9.7%32.7%12.4%0.0%1.5%1.6%41.8K-1.2M-10.9K0.0090.61N/AN/A2001,114573
2011-05-24$41.75$45.0033.7%9.6%32.3%12.1%0.0%3.0%0.8%36.2K-1.2M-11.1K0.0095.82N/AN/A001,123573
2011-05-25$42.51$45.0030.9%8.9%32.7%9.6%0.0%3.5%0.5%48.7K-1.5M-10.3K0.0091.39N/AN/A001,123573
2011-05-26$43.42$45.0030.1%8.6%33.3%8.9%38.8%7.9%0.6%81.0K-1.8M-10.7K20.0082.90N/AN/A1201,123573
2011-05-27$43.90$45.0031.7%9.1%33.3%10.4%0.0%-7.1%-0.6%93.6K-2.1M-10.7K0.0093.70N/AN/A9501,123563
2011-05-31$44.27$45.0032.2%9.2%33.2%10.8%32.1%-3.1%0.3%104.2K-2.3M-10.6K0.0094.85N/AN/A9501,183563