VSAT Options History — August 2011

In August 2011, VSAT traded between $31.54 and $44.64. ATM implied volatility averaged 55.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 3.7% (HV 20d: 59.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-08-02: Highest Volume — 193 contracts
  • 2011-08-26: Largest IV spike — 52.2% change
  • 2011-08-26: Highest IV Rank — 51.5%
  • 2011-08-26: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.68$31.54$44.64$44.64$35.50
Max Pain$40.87$40.00$45.00$45.00$40.00
ATM IV55.8%42.8%78.0%42.8%49.7%
Expected Move15.6%12.3%22.4%12.3%14.2%
HV 20d59.5%31.7%71.6%31.7%71.2%
HV 60d41.7%29.8%47.2%29.8%47.2%
IV Rank31.8%20.2%51.5%20.2%26.3%
IV Percentile82.1%67.5%97.6%67.5%71.8%
Term Structure-6.7%-25.4%3.9%-7.3%3.0%
VWIV46.9%37.9%57.9%42.6%44.3%
Skew 25d8.6%-4.9%39.8%0.3%11.6%
Skew 10d8.4%-11.0%31.6%3.1%10.7%
Call IV 25d46.2%32.6%57.7%44.4%36.8%
Put IV 25d54.8%44.1%77.5%44.6%48.4%
Bid-Ask Spread %92.3663.04129.7282.7699.44
Gamma HHI0.300.240.380.370.36
Net GEX72.9K9.2K254.7K254.7K59.4K
Net DEX-738.9K-5.0M631.0K-5.0M-442.7K
Net VEX-9.0K-19.4K-4.4K-19.4K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.004.400.000.00
Total Volume35.08701932520
Total OI2,938.3912,4423,2892,9572,520

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$44.64$45.0042.8%12.3%31.7%20.2%42.6%0.3%-7.3%254.7K-5.0M-19.4K0.0082.76N/AN/A2502,555402
2011-08-02$43.23$45.0046.3%13.3%33.3%23.3%46.0%3.8%-9.0%226.8K-4.1M-18.0K0.0363.04N/AN/A18762,549402
2011-08-03$43.76$45.0049.0%14.0%33.6%25.7%49.2%9.0%-12.0%248.7K-4.3M-18.5K0.0383.70N/AN/A8022,624408
2011-08-04$40.66$45.0053.8%15.4%42.1%30.0%53.8%4.2%-11.6%190.2K-2.7M-15.8K2.2869.41N/AN/A471072,669410
2011-08-05$37.67$40.0052.2%12.4%49.2%28.5%39.0%2.3%-6.8%104.0K-947.0K-11.2K1.6596.47N/AN/A23382,714507
2011-08-08$33.58$40.0062.4%16.1%62.3%37.6%0.0%7.5%-6.0%31.8K265.7K-7.7K0.0095.51N/AN/A002,711545
2011-08-09$34.70$40.0064.7%15.9%64.3%39.7%50.6%20.7%-7.9%39.9K51.6K-8.3K0.0084.90N/AN/A042,711525
2011-08-10$33.55$40.0065.9%16.4%64.6%40.7%0.0%12.4%-6.6%32.0K197.6K-8.1K0.0089.05N/AN/A002,711527
2011-08-11$34.17$40.0054.9%15.7%65.3%31.0%0.0%10.1%-5.1%37.9K33.8K-8.6K0.0092.21N/AN/A002,711527
2011-08-12$34.26$40.0057.8%16.6%65.3%33.5%47.3%6.5%-6.7%32.2K158.8K-7.8K0.7191.32N/AN/A28202,711527
2011-08-15$35.25$40.0051.0%14.6%66.4%27.5%57.9%5.4%-0.3%38.2K20.4K-8.4K4.4063.86N/AN/A10442,711547
2011-08-16$34.63$40.0057.4%16.5%63.4%33.2%37.9%5.6%-7.3%30.4K254.0K-6.4K0.0088.45N/AN/A4002,721550
2011-08-17$34.66$40.0050.1%14.4%63.5%26.7%0.0%8.6%-0.3%30.9K177.6K-7.9K0.0086.70N/AN/A2002,716550
2011-08-18$32.81$40.0052.8%15.2%64.2%29.1%0.0%2.7%0.2%22.6K501.9K-6.2K0.0088.41N/AN/A302,736550
2011-08-19$31.54$40.0057.7%16.5%61.3%33.4%0.0%3.4%-6.1%19.3K631.0K-5.6K0.0083.11N/AN/A002,739550
2011-08-22$31.61$40.0056.7%16.3%61.6%32.6%0.0%7.5%-2.9%13.1K208.2K-4.6K0.00101.13N/AN/A002,071371
2011-08-23$32.84$40.0076.5%21.9%64.3%50.1%0.0%39.8%-25.0%35.3K-209.3K-5.8K0.00129.72N/AN/A002,071371
2011-08-24$33.61$40.0046.4%13.3%65.5%23.4%0.0%-4.9%-4.9%9.2K135.7K-4.4K0.37104.17N/AN/A27102,071371
2011-08-25$32.50$40.0051.3%14.7%65.1%27.7%0.0%8.9%-5.8%43.9K-374.2K-6.3K0.00127.86N/AN/A2002,098371
2011-08-26$33.90$40.0078.0%22.4%68.0%51.5%0.0%12.7%-25.4%45.6K-402.4K-6.7K0.00116.64N/AN/A002,118371
2011-08-29$35.57$40.0052.6%15.1%71.5%28.9%0.0%4.7%3.9%58.8K-490.0K-7.3K0.0092.81N/AN/A002,118371
2011-08-30$36.11$40.0054.1%15.5%71.6%30.3%0.0%15.3%-3.2%71.8K-664.4K-7.5K1.8893.56N/AN/A16302,113361
2011-08-31$35.50$40.0049.7%14.2%71.2%26.3%44.3%11.6%3.0%59.4K-442.7K-7.3K0.0099.44N/AN/A2002,129391