VSAT Options History — January 2012

In January 2012, VSAT traded between $44.99 and $47.76. ATM implied volatility averaged 42.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 15.7% (HV 20d: 26.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2012-01-03: Highest Volume — 256 contracts
  • 2012-01-31: Largest IV drop — 10.0% change
  • 2012-01-30: Highest IV Rank — 22.1%
  • 2012-01-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.96$44.99$47.76$47.17$47.53
Max Pain$45.25$45.00$50.00$45.00$45.00
ATM IV42.3%39.4%45.7%41.5%41.1%
Expected Move12.4%11.5%13.1%11.9%11.8%
HV 20d26.6%21.4%33.0%31.5%23.1%
HV 60d38.7%32.9%43.1%43.1%32.9%
IV Rank19.2%17.0%22.1%18.8%18.0%
IV Percentile34.8%23.0%52.8%27.8%27.0%
Term Structure-1.0%-2.9%6.4%2.9%-2.0%
VWIV42.4%40.0%45.4%41.9%40.0%
Skew 25d7.3%-0.9%13.6%3.5%5.4%
Skew 10d12.3%-3.3%25.2%4.0%7.2%
Call IV 25d37.2%29.1%41.6%36.2%39.5%
Put IV 25d44.4%36.0%49.8%39.7%44.9%
Bid-Ask Spread %90.3583.67100.4696.7492.86
Gamma HHI0.350.260.390.260.36
Net GEX33.9K-6.6K49.2K-6.6K49.2K
Net DEX-638.4K-1.2M-64.4K-107.7K-571.1K
Net VEX-11.3K-12.5K-10.1K-10.1K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.003.000.060.00
Total Volume47.5502562561
Total OI1,723.151,3121,9681,3121,968

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$47.17$45.0041.5%11.9%31.5%18.8%41.9%3.5%2.9%-6.6K-107.7K-10.1K0.0696.74N/AN/A24214563749
2012-01-04$45.82$45.0040.2%11.5%32.8%17.7%0.0%-0.9%6.4%18.9K-263.6K-11.2K0.2298.55N/AN/A327805756
2012-01-05$45.66$45.0041.3%11.9%32.8%18.7%41.3%7.2%3.3%20.5K-238.5K-11.2K3.00100.46N/AN/A2575837756
2012-01-06$44.99$50.0040.2%13.0%33.0%17.6%45.4%8.1%-1.1%16.6K-64.4K-11.3K0.0084.63N/AN/A500852774
2012-01-09$45.87$45.0039.4%12.9%32.4%17.0%0.0%10.1%-0.9%29.1K-396.4K-11.4K0.0084.25N/AN/A060902774
2012-01-10$46.83$45.0039.7%13.0%29.5%17.2%0.0%9.0%-2.4%34.2K-718.5K-11.7K0.0083.67N/AN/A50902803
2012-01-11$47.44$45.0040.2%13.0%29.9%17.7%0.0%8.3%-1.8%37.6K-925.8K-11.7K0.0084.89N/AN/A022897801
2012-01-12$47.75$45.0041.9%12.0%29.9%18.7%0.0%7.5%-2.1%37.8K-1.0M-11.6K0.0084.41N/AN/A01897812
2012-01-13$47.50$45.0044.7%12.8%26.3%21.2%0.0%7.2%-1.7%35.2K-902.2K-11.6K0.0085.52N/AN/A00897812
2012-01-17$47.04$45.0045.5%13.1%26.2%22.0%45.4%11.9%-1.1%37.0K-816.3K-10.9K0.0987.11N/AN/A434897812
2012-01-18$47.56$45.0042.3%12.1%26.1%19.0%42.0%13.1%-2.9%37.8K-1.0M-10.9K0.0088.09N/AN/A10912816
2012-01-19$47.66$45.0041.5%11.9%23.9%18.3%0.0%12.8%-2.7%40.2K-1.0M-10.9K0.0089.84N/AN/A500918816
2012-01-20$47.76$45.0041.0%11.8%22.6%18.0%0.0%13.6%-1.8%43.2K-1.2M-11.2K0.0091.68N/AN/A00951816
2012-01-23$47.23$45.0045.1%12.9%23.0%21.6%0.0%10.0%-2.3%41.0K-703.7K-10.7K0.0088.66N/AN/A30891783
2012-01-24$47.67$45.0040.9%11.7%21.8%17.8%40.5%11.8%-0.8%46.5K-869.9K-10.6K0.0090.12N/AN/A640894783
2012-01-25$47.40$45.0044.3%12.7%21.8%20.9%0.0%4.5%-1.5%49.2K-787.3K-10.8K0.0093.47N/AN/A0247935783
2012-01-26$46.74$45.0045.1%12.9%22.2%21.6%0.0%-0.1%-2.2%34.9K-401.4K-12.4K0.0093.46N/AN/A409351,030
2012-01-27$47.15$45.0044.1%12.6%21.4%20.7%0.0%2.1%-1.6%40.7K-479.8K-12.5K0.0093.98N/AN/A009371,030
2012-01-30$46.47$45.0045.7%13.1%21.9%22.1%40.0%0.1%-2.9%35.4K-277.9K-11.8K0.0094.62N/AN/A019371,030
2012-01-31$47.53$45.0041.1%11.8%23.1%18.0%0.0%5.4%-2.0%49.2K-571.1K-11.9K0.0092.86N/AN/A109371,031