VSAT Options History — November 2011

In November 2011, VSAT traded between $41.18 and $47.32. ATM implied volatility averaged 46.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 4.1% (HV 20d: 50.0%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-11-29: Highest Volume — 250 contracts
  • 2011-11-08: Largest IV drop — 20.4% change
  • 2011-11-01: Highest IV Rank — 37.4%
  • 2011-11-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.58$41.18$47.32$41.18$47.32
Max Pain$38.57$30.00$40.00$30.00$40.00
ATM IV46.0%41.0%62.4%62.4%44.0%
Expected Move13.0%11.7%17.9%17.9%12.6%
HV 20d50.0%41.5%54.7%53.3%43.5%
HV 60d53.2%51.6%54.7%54.1%52.0%
IV Rank22.8%18.3%37.4%37.4%21.0%
IV Percentile49.4%35.7%88.5%88.5%44.0%
Term Structure-5.1%-12.6%-0.5%-12.1%-4.7%
VWIV43.1%32.5%53.1%53.1%43.0%
Skew 25d5.9%1.5%10.5%1.5%4.3%
Skew 10d7.4%-3.2%29.9%4.3%12.1%
Call IV 25d41.7%32.2%54.2%54.1%43.0%
Put IV 25d47.6%42.7%59.8%55.6%47.3%
Bid-Ask Spread %73.1257.08100.8899.5263.23
Gamma HHI0.580.440.710.440.69
Net GEX145.6K76.0K233.7K90.5K233.7K
Net DEX-2.0M-3.5M-622.5K-1.3M-2.9M
Net VEX-8.1K-11.0K-7.0K-7.3K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.005.370.000.00
Total Volume56.0480250269
Total OI2,137.8571,9382,4231,9382,423

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$41.18$30.0062.4%17.9%53.3%37.4%53.1%1.5%-12.1%90.5K-1.3M-7.3K0.0099.52N/AN/A201,584354
2011-11-02$42.31$30.0059.0%16.9%53.7%34.4%0.0%6.4%-12.6%103.0K-1.4M-7.0K0.00100.88N/AN/A001,584354
2011-11-03$44.19$30.0052.0%14.9%54.7%28.1%0.0%5.6%-4.2%132.1K-2.1M-8.3K0.5996.00N/AN/A110651,584354
2011-11-04$43.91$40.0051.3%13.1%52.1%27.6%43.3%5.1%-8.2%132.1K-2.1M-8.8K0.2962.20N/AN/A1751,646419
2011-11-07$43.15$40.0054.2%13.4%51.5%30.1%49.2%6.4%-9.0%119.6K-1.7M-7.5K0.0059.59N/AN/A1101,630424
2011-11-08$45.13$40.0043.1%12.1%53.0%20.3%42.6%6.4%-4.9%160.2K-2.5M-8.5K2.4068.44N/AN/A5121,640424
2011-11-09$44.08$40.0045.5%12.2%54.2%22.4%0.0%5.8%-4.5%143.6K-2.0M-7.8K0.0071.82N/AN/A001,645431
2011-11-10$44.53$40.0041.6%11.9%53.5%18.9%0.0%4.3%-3.9%150.7K-2.2M-7.4K0.0060.85N/AN/A001,645431
2011-11-11$45.95$40.0041.0%11.7%53.3%18.3%32.5%5.7%-3.4%176.2K-2.9M-8.4K0.0059.17N/AN/A01101,645431
2011-11-14$45.36$40.0042.1%12.1%51.1%19.4%0.0%3.9%-3.6%166.5K-2.5M-7.2K0.0061.23N/AN/A0301,645514
2011-11-15$47.19$40.0041.7%12.0%50.5%19.0%39.1%5.8%-3.1%195.3K-3.5M-8.1K0.8857.08N/AN/A57501,645544
2011-11-16$46.50$40.0043.3%12.4%50.5%20.5%43.3%4.5%-5.3%188.3K-3.2M-8.4K5.3766.05N/AN/A191021,646594
2011-11-17$45.71$40.0043.2%12.4%49.4%20.3%43.2%3.5%-5.8%178.4K-2.6M-9.1K0.3363.65N/AN/A621,661696
2011-11-18$45.47$40.0042.1%12.1%49.5%19.4%45.0%6.2%-3.1%196.6K-2.4M-8.6K1.4663.79N/AN/A24351,667694
2011-11-21$44.38$40.0041.7%12.0%49.8%19.0%41.0%6.4%-0.5%119.7K-1.2M-7.6K0.0072.94N/AN/A14501,523575
2011-11-22$44.24$40.0043.3%12.4%47.8%20.4%0.0%5.9%-2.9%119.9K-1.3M-8.3K0.0074.73N/AN/A001,572575
2011-11-23$42.54$40.0044.0%12.6%50.0%21.0%42.5%9.3%-4.6%76.0K-622.5K-7.0K0.5275.33N/AN/A31161,572575
2011-11-25$42.83$40.0044.6%12.8%41.5%21.6%0.0%10.3%-5.6%88.5K-812.2K-7.6K0.0093.91N/AN/A001,592591
2011-11-28$44.88$40.0042.6%12.2%44.5%19.8%42.6%10.5%-3.0%132.8K-1.3M-7.6K0.0082.04N/AN/A401,592591
2011-11-29$45.29$40.0042.6%12.2%43.5%19.8%0.0%5.5%-1.8%153.0K-1.5M-7.6K0.2583.06N/AN/A200501,592591
2011-11-30$47.32$40.0044.0%12.6%43.5%21.0%43.0%4.3%-4.7%233.7K-2.9M-11.0K0.0063.23N/AN/A6901,792631