VSAT Options History — July 2011

In July 2011, VSAT traded between $41.17 and $45.73. ATM implied volatility averaged 36.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 12.6% (HV 20d: 24.1%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2011-07-26: Highest Volume — 323 contracts
  • 2011-07-14: Largest IV spike — 40.2% change
  • 2011-07-21: Highest IV Rank — 22.5%
  • 2011-07-21: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.80$41.17$45.73$43.52$44.93
Max Pain$42.00$35.00$45.00$45.00$45.00
ATM IV36.7%23.9%45.4%25.6%43.1%
Expected Move11.3%7.3%13.0%7.3%12.4%
HV 20d24.1%17.9%31.7%21.5%31.6%
HV 60d27.2%25.7%29.8%25.7%29.7%
IV Rank14.8%3.4%22.5%5.0%20.5%
IV Percentile46.4%2.4%75.0%4.0%68.7%
Term Structure-4.3%-10.1%7.9%7.9%-7.1%
VWIV43.4%40.8%45.6%40.8%43.2%
Skew 25d3.1%0.1%9.7%0.1%1.0%
Skew 10d3.6%-3.8%11.2%-3.8%0.3%
Call IV 25d37.6%25.0%46.6%25.3%43.8%
Put IV 25d40.7%25.4%48.6%25.4%44.8%
Bid-Ask Spread %73.8352.30105.99105.9979.37
Gamma HHI0.570.330.770.740.37
Net GEX386.5K192.4K544.8K488.6K246.5K
Net DEX-7.4M-10.8M-3.7M-9.7M-5.2M
Net VEX-45.5K-70.2K-17.5K-66.9K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.980.000.00
Total Volume65.250323538
Total OI5,318.352,6517,4706,8832,957

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$43.52$45.0025.6%7.3%21.5%5.0%0.0%0.1%7.9%488.6K-9.7M-66.9K0.00105.99N/AN/A506,601282
2011-07-05$44.24$45.0026.0%10.0%21.4%5.3%0.0%9.7%0.7%544.8K-10.0M-66.7K0.0079.51N/AN/A3006,601282
2011-07-06$44.00$45.0029.7%10.1%21.6%8.6%0.0%8.9%-2.3%499.7K-10.4M-69.8K0.0082.86N/AN/A006,631282
2011-07-07$44.49$45.0026.3%9.6%18.0%5.5%0.0%3.1%-0.9%542.2K-10.8M-70.2K0.0081.95N/AN/A1006,631282
2011-07-08$43.95$45.0025.4%9.8%18.9%4.8%0.0%1.9%-1.2%522.7K-9.2M-64.5K0.0081.06N/AN/A006,641282
2011-07-11$43.35$45.0023.9%9.8%18.9%3.4%0.0%1.3%-1.5%510.6K-9.2M-62.0K0.0079.84N/AN/A006,641282
2011-07-12$43.03$45.0025.1%9.9%19.1%4.5%0.0%1.3%-1.6%504.4K-8.3M-61.4K0.0076.42N/AN/A006,641282
2011-07-13$43.21$45.0029.4%10.0%17.9%8.3%0.0%7.6%-1.5%512.0K-8.3M-60.8K0.0080.05N/AN/A14306,641282
2011-07-14$42.15$45.0041.3%11.8%20.0%18.8%40.8%3.3%-4.5%431.4K-9.3M-64.8K0.2055.69N/AN/A100206,755282
2011-07-15$42.26$35.0041.7%12.0%20.0%19.2%43.8%2.0%-4.8%453.5K-8.1M-59.5K0.2852.30N/AN/A89256,855302
2011-07-18$41.17$35.0044.9%12.9%22.3%22.0%45.6%2.5%-6.9%414.8K-6.5M-50.2K0.0455.58N/AN/A226106,914327
2011-07-19$43.09$35.0044.5%12.8%27.3%21.7%44.1%3.1%-7.6%520.8K-9.3M-60.9K0.7863.18N/AN/A51407,133337
2011-07-20$43.02$35.0045.0%12.9%25.9%22.1%0.0%0.8%-8.3%192.4K-3.7M-17.5K0.0058.48N/AN/A002,304347
2011-07-21$43.90$35.0045.4%13.0%26.5%22.5%0.0%3.2%-10.1%207.7K-4.2M-17.8K0.0073.50N/AN/A2702,304347
2011-07-22$45.73$35.0043.3%12.4%29.9%20.6%43.2%3.4%-7.8%217.4K-5.3M-19.3K0.9865.32N/AN/A43422,304347
2011-07-25$45.35$45.0043.4%12.5%29.2%20.8%42.8%2.5%-7.6%217.7K-5.3M-18.8K0.3478.64N/AN/A29102,317379
2011-07-26$45.62$45.0043.3%12.4%29.2%20.6%43.2%1.9%-7.5%224.3K-5.4M-18.4K0.0882.92N/AN/A300232,312369
2011-07-27$44.20$45.0043.7%12.5%31.5%21.0%0.0%0.7%-7.5%235.5K-4.9M-20.2K0.0074.82N/AN/A1102,552392
2011-07-28$44.79$45.0043.0%12.3%31.7%20.4%0.0%3.9%-6.6%242.6K-5.2M-20.2K0.4369.19N/AN/A23102,555392
2011-07-29$44.93$45.0043.1%12.4%31.6%20.5%0.0%1.0%-7.1%246.5K-5.2M-20.0K0.0079.37N/AN/A3802,555402