VSAT Options History — October 2011

In October 2011, VSAT traded between $31.81 and $44.28. ATM implied volatility averaged 50.7%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 8.4% (HV 20d: 59.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 6.50.

Notable Days

  • 2011-10-19: Highest Volume — 565 contracts
  • 2011-10-13: Largest IV spike — 20.5% change
  • 2011-10-19: Highest IV Rank — 33.3%
  • 2011-10-19: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.32$31.81$44.28$31.81$42.59
Max Pain$32.62$30.00$35.00$35.00$30.00
ATM IV50.7%41.7%57.7%41.7%51.7%
Expected Move14.7%11.8%16.5%11.9%14.8%
HV 20d59.1%52.6%63.3%52.6%56.3%
HV 60d59.2%55.0%62.6%55.0%58.8%
IV Rank27.0%19.0%33.3%19.0%27.9%
IV Percentile68.5%48.0%84.1%48.8%69.4%
Term Structure-1.6%-9.9%28.4%28.4%-8.9%
VWIV55.4%43.7%80.2%48.4%43.7%
Skew 25d8.9%-4.0%40.1%-0.9%9.6%
Skew 10d18.1%0.2%72.3%8.5%12.8%
Call IV 25d45.7%38.8%53.4%52.4%45.4%
Put IV 25d54.6%43.2%79.3%51.5%55.0%
Bid-Ask Spread %96.2577.62112.47101.1199.10
Gamma HHI0.440.310.610.360.50
Net GEX61.8K13.5K178.1K15.3K112.1K
Net DEX-764.2K-2.1M123.7K123.7K-1.7M
Net VEX-5.8K-8.9K-2.9K-2.9K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.500.0069.6310.000.00
Total Volume115.04805651110
Total OI1,931.6671,6703,0001,6701,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$31.81$35.0041.7%11.9%52.6%19.0%0.0%-0.9%28.4%15.3K123.7K-2.9K10.00101.11N/AN/A1101,482188
2011-10-04$34.43$35.0049.3%14.1%59.8%25.8%48.4%0.2%3.4%20.8K902-3.6K0.00109.56N/AN/A401,483188
2011-10-05$34.95$35.0050.5%14.5%55.6%26.8%50.5%3.6%2.9%26.9K-124.3K-4.2K0.00104.55N/AN/A401,483188
2011-10-06$35.93$35.0047.2%13.5%56.3%23.9%0.0%40.1%6.0%32.4K-249.4K-4.6K0.00105.66N/AN/A001,485188
2011-10-07$34.60$35.0041.9%11.8%56.3%19.2%0.0%5.6%4.8%27.5K-138.2K-4.3K0.00112.47N/AN/A001,485188
2011-10-10$36.22$35.0047.7%14.2%57.8%24.3%0.0%-4.0%-0.5%33.1K-251.2K-4.5K0.0296.77N/AN/A5311,485188
2011-10-11$36.72$35.0049.2%14.8%57.3%25.6%0.0%1.4%-2.9%36.2K-333.5K-4.9K1.0099.99N/AN/A10101,485189
2011-10-12$37.53$35.0044.1%14.3%57.7%21.1%0.0%6.4%-3.2%43.5K-488.3K-5.5K0.0099.48N/AN/A001,491199
2011-10-13$36.97$35.0053.1%15.2%57.9%29.2%0.0%6.0%-3.4%39.4K-426.7K-5.1K0.0098.81N/AN/A001,491199
2011-10-14$38.26$35.0047.9%13.7%59.0%24.5%0.0%12.2%-1.1%50.8K-641.9K-5.9K0.0096.94N/AN/A01501,491199
2011-10-17$36.86$35.0055.9%16.0%60.1%31.7%64.3%5.9%-5.8%18.8K-267.6K-4.7K3.3577.62N/AN/A1153851,491322
2011-10-18$38.62$30.0055.8%16.0%62.0%31.6%58.5%16.3%-9.9%28.1K-576.2K-5.7K1.8689.25N/AN/A1613001,556702
2011-10-19$38.02$30.0057.7%16.5%61.9%33.3%80.2%28.6%-9.4%13.5K-527.2K-6.4K69.6387.48N/AN/A85571,697985
2011-10-20$39.82$30.0055.5%15.9%62.1%31.3%0.0%9.3%-5.5%124.2K-1.2M-6.8K4.0688.16N/AN/A331341,7001,300
2011-10-21$40.49$30.0055.1%15.8%62.1%30.9%55.6%7.4%-6.2%178.1K-1.6M-6.9K0.0087.62N/AN/A11501,7021,194
2011-10-24$41.69$30.0053.4%15.3%62.1%29.4%45.5%14.7%-4.1%87.4K-1.3M-7.1K0.4291.29N/AN/A24101,533293
2011-10-25$40.27$30.0056.7%16.3%62.6%32.4%55.9%3.9%-7.2%78.6K-1.1M-6.9K0.0094.00N/AN/A4001,539288
2011-10-26$41.00$30.0053.9%15.5%58.5%29.9%0.0%8.0%-7.3%82.9K-1.1M-6.5K0.0094.44N/AN/A001,544288
2011-10-27$44.28$30.0050.6%14.5%63.3%26.9%51.2%9.3%-4.9%122.4K-2.1M-8.6K0.6690.37N/AN/A142941,544288
2011-10-28$43.64$30.0045.3%13.0%58.8%22.2%43.7%2.9%0.5%125.1K-2.1M-8.9K0.0096.50N/AN/A4501,552344
2011-10-31$42.59$30.0051.7%14.8%56.3%27.9%0.0%9.6%-8.9%112.1K-1.7M-7.8K0.0099.10N/AN/A0101,584344