VSAT Options History — June 2011

In June 2011, VSAT traded between $39.75 and $43.32. ATM implied volatility averaged 32.3%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.4% (HV 20d: 29.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2011-06-30: Highest Volume — 565 contracts
  • 2011-06-02: Largest IV spike — 50.3% change
  • 2011-06-02: Highest IV Rank — 27.0%
  • 2011-06-02: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.62$39.75$43.32$43.32$43.27
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV32.3%24.5%50.5%33.6%26.3%
Expected Move9.5%7.0%14.5%9.6%7.5%
HV 20d29.9%23.1%36.6%34.4%23.2%
HV 60d26.0%25.2%26.9%26.5%25.9%
IV Rank10.9%4.0%27.0%12.0%5.6%
IV Percentile33.6%2.8%79.8%42.9%6.0%
Term Structure1.7%-14.0%7.8%-6.7%7.8%
VWIV34.3%34.3%34.3%34.3%34.3%
Skew 25d1.8%-10.2%12.5%-10.2%-0.9%
Skew 10d4.0%-8.5%16.1%0.8%-2.9%
Call IV 25d32.6%24.2%62.1%34.7%26.0%
Put IV 25d34.4%24.5%63.0%24.5%25.1%
Bid-Ask Spread %94.8273.61140.71106.22106.93
Gamma HHI0.600.340.790.490.76
Net GEX174.5K-103.7K441.1K84.8K441.1K
Net DEX-4.0M-8.0M-595.7K-2.1M-8.0M
Net VEX-32.8K-60.9K-9.3K-12.0K-60.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.003.330.000.00
Total Volume51.909056561565
Total OI4,079.2731,8046,7491,8046,333

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$43.32$45.0033.6%9.6%34.4%12.0%0.0%-10.2%-6.7%84.8K-2.1M-12.0K0.00106.22N/AN/A6101,241563
2011-06-02$43.21$45.0050.5%14.5%34.3%27.0%0.0%-5.3%-14.0%82.9K-2.0M-11.9K0.00131.31N/AN/A001,302563
2011-06-03$42.21$45.0045.7%13.4%35.7%22.8%0.0%0.9%2.7%84.9K-1.8M-11.7K0.00140.71N/AN/A501,302563
2011-06-06$41.65$45.0026.8%10.1%35.8%6.0%0.0%1.6%-1.3%54.1K-1.4M-10.7K0.0082.85N/AN/A081,307563
2011-06-07$41.66$45.0028.2%9.9%35.7%7.2%0.0%4.8%-0.8%50.4K-1.3M-10.9K0.2073.61N/AN/A511,307571
2011-06-08$40.43$45.0034.3%9.9%36.6%12.6%0.0%3.8%-0.3%-3.3K-922.9K-10.4K0.0080.65N/AN/A1101,312571
2011-06-09$40.44$45.0032.6%9.4%36.5%11.2%0.0%4.1%2.6%-20.7K-920.7K-10.2K0.0082.88N/AN/A001,317561
2011-06-10$39.88$45.0032.5%9.3%34.8%11.1%34.3%1.8%3.9%-36.3K-701.8K-9.7K0.8078.87N/AN/A40321,317561
2011-06-13$39.75$45.0032.8%9.4%33.4%11.3%0.0%-5.2%2.7%-53.2K-595.7K-9.5K0.0086.61N/AN/A0231,327570
2011-06-14$40.65$45.0032.5%9.3%34.3%11.1%0.0%-4.1%3.4%-64.4K-980.0K-9.3K3.3383.13N/AN/A3101,327565
2011-06-15$40.27$45.0033.0%9.4%34.3%11.5%0.0%5.7%4.4%-103.7K-996.9K-9.8K0.0085.94N/AN/A201,330565
2011-06-16$40.50$45.0033.6%9.6%26.2%12.0%0.0%12.5%1.2%120.5K-5.0M-47.6K0.0089.53N/AN/A1006,184565
2011-06-17$40.58$45.0034.7%9.9%26.3%13.0%0.0%-2.7%-0.3%143.5K-6.1M-54.9K0.0081.59N/AN/A006,184565
2011-06-20$41.03$45.0034.8%10.0%26.8%13.1%0.0%8.1%3.3%324.7K-5.6M-51.2K0.0094.28N/AN/A005,814262
2011-06-21$42.10$45.0032.5%9.3%24.9%11.0%0.0%4.3%2.9%375.4K-6.7M-53.0K0.0094.19N/AN/A2005,814262
2011-06-22$42.61$45.0024.5%7.0%25.2%4.0%0.0%4.8%4.4%382.7K-7.5M-56.8K0.0094.08N/AN/A005,834262
2011-06-23$42.55$45.0025.1%7.2%24.4%4.5%0.0%4.0%3.5%374.9K-7.4M-56.2K0.0095.47N/AN/A2205,834262
2011-06-24$41.80$45.0031.6%9.1%23.9%10.3%0.0%1.5%3.3%392.5K-6.9M-56.0K0.1793.66N/AN/A120205,817262
2011-06-27$42.07$45.0033.0%9.5%23.6%11.5%0.0%4.4%3.2%383.3K-7.2M-57.9K0.0095.48N/AN/A16405,937282
2011-06-28$42.71$45.0025.8%7.4%24.1%5.1%0.0%0.7%4.9%412.2K-7.5M-56.9K0.00104.46N/AN/A006,051282
2011-06-29$42.95$45.0025.7%7.4%23.1%5.0%0.0%4.7%5.7%412.1K-6.8M-53.7K0.00103.65N/AN/A2006,051282
2011-06-30$43.27$45.0026.3%7.5%23.2%5.6%0.0%-0.9%7.8%441.1K-8.0M-60.9K0.00106.93N/AN/A56506,051282