VSAT Options History — September 2011

In September 2011, VSAT traded between $33.23 and $36.50. ATM implied volatility averaged 49.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 2.5% (HV 20d: 52.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2011-09-12: Highest Volume — 85 contracts
  • 2011-09-15: Largest IV drop — 22.0% change
  • 2011-09-14: Highest IV Rank — 34.5%
  • 2011-09-06: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.84$33.23$36.50$35.67$33.31
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV49.7%44.6%59.1%48.9%50.6%
Expected Move13.7%12.8%15.9%14.0%14.5%
HV 20d52.3%45.3%67.3%67.3%53.4%
HV 60d50.7%46.9%54.4%46.9%54.4%
IV Rank26.2%21.6%34.5%25.7%27.0%
IV Percentile69.4%59.1%86.1%69.8%70.6%
Term Structure-0.7%-4.3%4.1%3.6%-3.5%
VWIV46.2%44.7%48.8%48.8%46.3%
Skew 25d6.4%-9.6%17.4%11.5%5.3%
Skew 10d12.7%-15.7%31.5%11.6%14.7%
Call IV 25d43.6%37.6%54.7%37.6%44.9%
Put IV 25d49.9%45.1%57.5%49.1%50.2%
Bid-Ask Spread %97.9488.64102.20100.3799.97
Gamma HHI0.420.300.540.370.39
Net GEX27.6K6.8K61.5K61.5K20.3K
Net DEX-80.5K-443.2K78.9K-443.2K20.3K
Net VEX-4.5K-7.2K-3.5K-7.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.310.000.00
Total Volume15.571085149
Total OI2,084.2861,5512,5882,5001,651

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$35.67$40.0048.9%14.0%67.3%25.7%0.0%11.5%3.6%61.5K-443.2K-7.2K0.00100.37N/AN/A102,109391
2011-09-02$33.82$40.0051.1%14.6%64.6%27.5%0.0%-9.6%-4.1%25.5K-10.4K-5.4K0.00102.13N/AN/A002,110391
2011-09-06$33.23$35.0054.6%15.9%50.4%30.5%0.0%17.4%0.8%6.8K78.9K-4.8K0.0095.31N/AN/A002,110391
2011-09-07$35.37$35.0051.2%13.4%54.0%27.5%0.0%10.4%-0.1%43.2K-56.3K-4.2K0.0088.64N/AN/A0202,110391
2011-09-08$34.97$35.0048.7%13.5%52.6%25.2%0.0%1.3%-2.8%35.4K-20.4K-4.2K0.0095.69N/AN/A0102,110391
2011-09-09$33.67$35.0055.7%13.4%54.1%31.5%0.0%4.8%-1.9%17.1K77.1K-4.3K0.0096.07N/AN/A002,110391
2011-09-12$34.63$35.0052.8%14.1%55.0%28.9%48.8%6.7%-4.3%22.9K56.6K-4.1K0.3194.18N/AN/A65202,110391
2011-09-13$35.51$35.0057.3%13.8%54.8%32.9%0.0%3.8%-3.4%36.8K-142.0K-5.1K0.0097.69N/AN/A1702,160411
2011-09-14$35.68$35.0059.1%13.7%54.4%34.5%0.0%5.6%-2.7%32.7K-84.4K-4.9K0.0097.48N/AN/A1002,177411
2011-09-15$36.23$35.0046.1%13.2%54.6%22.9%0.0%4.5%-0.7%33.3K-230.7K-5.7K0.0096.63N/AN/A002,174411
2011-09-16$36.04$35.0044.6%12.8%50.4%21.6%44.7%4.2%0.4%23.5K-97.7K-4.6K0.0096.20N/AN/A0102,174411
2011-09-19$35.26$35.0048.0%13.8%48.8%24.6%0.0%7.4%-2.9%25.2K-103.4K-4.2K0.0098.77N/AN/A001,378173
2011-09-20$35.02$35.0045.8%13.1%48.9%22.6%0.0%8.6%-0.1%21.7K-60.6K-3.8K0.0099.17N/AN/A001,378173
2011-09-21$34.42$35.0044.6%12.8%47.9%21.6%0.0%4.2%1.4%23.2K-111.4K-4.2K0.0097.73N/AN/A5501,378173
2011-09-22$33.40$35.0048.2%13.8%48.6%24.8%0.0%9.4%1.6%18.5K30.3K-3.5K0.00100.98N/AN/A001,413173
2011-09-23$33.97$35.0047.3%13.6%47.3%24.0%0.0%7.4%1.7%21.1K-17.8K-4.0K0.00102.20N/AN/A001,413173
2011-09-26$35.02$35.0048.6%13.9%46.1%25.2%0.0%14.0%-0.2%22.4K-47.2K-3.7K0.00101.00N/AN/A001,413173
2011-09-27$36.50$35.0045.8%13.1%45.3%22.6%45.0%2.5%4.1%35.2K-324.1K-5.2K0.0098.78N/AN/A5501,413173
2011-09-28$34.54$35.0047.9%13.7%49.2%24.5%0.0%0.1%-3.1%29.9K-187.8K-4.3K0.0097.37N/AN/A0151,463173
2011-09-29$35.28$35.0047.5%13.6%49.5%24.1%0.0%14.2%1.5%22.5K-16.4K-3.7K0.00100.36N/AN/A001,463188
2011-09-30$33.31$35.0050.6%14.5%53.4%27.0%46.3%5.3%-3.5%20.3K20.3K-3.8K0.0099.97N/AN/A4901,463188