VSAT Options History — December 2011

In December 2011, VSAT traded between $45.80 and $47.95. ATM implied volatility averaged 41.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.6% (HV 20d: 37.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-12-14: Highest Volume — 216 contracts
  • 2011-12-09: Largest IV drop — 29.0% change
  • 2011-12-14: Highest IV Rank — 26.1%
  • 2011-12-02: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.05$45.80$47.95$47.40$46.12
Max Pain$44.23$40.00$45.00$40.00$45.00
ATM IV41.3%33.8%49.7%43.9%40.2%
Expected Move11.6%10.0%12.7%12.6%11.5%
HV 20d37.6%30.3%42.9%42.9%30.3%
HV 60d49.0%43.2%50.9%50.6%43.2%
IV Rank18.6%11.9%26.1%20.9%17.7%
IV Percentile33.8%21.0%61.9%43.3%24.2%
Term Structure1.8%-3.9%4.8%-2.3%4.8%
VWIV41.2%38.4%43.5%38.4%41.2%
Skew 25d5.7%-1.6%11.3%3.4%-1.5%
Skew 10d10.3%-2.0%21.7%13.5%-2.0%
Call IV 25d35.0%29.4%43.5%43.5%37.7%
Put IV 25d40.7%35.7%46.9%46.9%36.2%
Bid-Ask Spread %88.9574.0296.8074.0293.90
Gamma HHI0.490.230.810.700.27
Net GEX108.1K-28.0K328.1K241.3K-23.2K
Net DEX-1.2M-3.0M331.2K-3.0M259.7K
Net VEX-10.2K-12.0K-9.1K-11.1K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.002.352.350.01
Total Volume47.952021652126
Total OI2,001.0481,0442,8832,4281,186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$47.40$40.0043.9%12.6%42.9%20.9%0.0%3.4%-2.3%241.3K-3.0M-11.1K0.0074.02N/AN/A0521,797631
2011-12-02$47.48$40.0044.4%12.7%40.5%21.4%38.4%5.5%-3.9%249.9K-2.9M-11.4K2.3580.44N/AN/A461081,797683
2011-12-05$47.91$0.0040.4%11.2%40.4%17.9%0.0%5.0%1.5%270.1K-3.0M-12.0K0.2684.24N/AN/A39101,818791
2011-12-06$47.67$0.0040.5%11.1%39.7%17.9%0.0%5.4%1.0%276.3K-2.9M-12.0K0.0085.69N/AN/A0301,848801
2011-12-07$47.15$0.0048.1%11.7%37.2%24.7%0.0%10.7%2.7%242.8K-2.3M-11.6K0.0086.97N/AN/A031,848831
2011-12-08$45.87$0.0047.5%11.9%37.6%24.2%0.0%6.6%2.0%174.6K-1.5M-10.7K0.0086.69N/AN/A101,848828
2011-12-09$47.85$0.0033.8%10.9%40.1%11.9%0.0%4.9%2.4%312.7K-2.8M-11.3K0.7788.15N/AN/A13101,849828
2011-12-12$47.88$0.0034.4%11.1%38.8%12.5%0.0%11.3%0.4%328.1K-2.5M-10.4K0.0089.70N/AN/A0101,851833
2011-12-13$47.60$0.0042.9%11.0%38.5%20.0%0.0%10.2%2.6%289.9K-2.3M-10.0K0.0089.75N/AN/A01601,851843
2011-12-14$45.80$0.0049.7%12.5%38.5%26.1%43.5%6.2%1.3%72.9K-801.3K-9.8K0.0787.14N/AN/A201151,851967
2011-12-15$46.48$45.0043.7%12.5%38.6%20.8%0.0%7.2%1.5%20.5K-1.1M-10.2K0.0089.01N/AN/A001,901982
2011-12-16$47.07$45.0042.3%12.1%38.2%19.5%41.9%10.4%2.3%1.8K-1.2M-10.1K0.3786.75N/AN/A30111,901982
2011-12-19$45.81$45.0042.4%12.1%39.5%19.6%0.0%3.5%1.9%-22.5K288.1K-9.2K0.0088.11N/AN/A020378666
2011-12-20$46.88$45.0041.7%12.0%39.2%19.0%0.0%7.3%2.0%-22.9K237.3K-9.3K0.0091.88N/AN/A00378686
2011-12-21$46.68$45.0042.1%12.1%39.2%19.4%0.0%-0.4%1.5%-23.5K269.0K-9.3K0.0093.31N/AN/A00378686
2011-12-22$47.73$45.0034.9%10.0%36.5%13.0%0.0%9.5%4.8%-21.6K95.3K-9.1K1.0093.25N/AN/A1010378686
2011-12-23$47.95$45.0035.1%10.1%36.5%13.1%0.0%10.3%3.9%-20.9K51.0K-9.3K0.0094.34N/AN/A00388696
2011-12-27$47.64$45.0036.6%10.5%33.3%14.5%0.0%6.7%2.7%-21.8K122.4K-9.1K0.0096.80N/AN/A052388696
2011-12-28$46.75$45.0041.0%11.8%34.1%18.4%0.0%-0.4%2.5%-26.4K288.4K-9.4K0.0092.66N/AN/A00388748
2011-12-29$46.39$45.0040.7%11.7%30.3%18.1%0.0%-1.6%2.6%-28.0K331.2K-9.2K0.0095.19N/AN/A500388748
2011-12-30$46.12$45.0040.2%11.5%30.3%17.7%41.2%-1.5%4.8%-23.2K259.7K-9.5K0.0193.90N/AN/A1251438748