VSAT Options History — February 2012

In February 2012, VSAT traded between $45.04 and $49.67. ATM implied volatility averaged 36.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.0% (HV 20d: 32.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-02-06: Highest Volume — 532 contracts
  • 2012-02-07: Largest IV drop — 29.0% change
  • 2012-02-06: Highest IV Rank — 26.9%
  • 2012-02-02: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.36$45.04$49.67$48.76$46.13
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV36.0%32.3%51.0%42.1%32.6%
Expected Move10.1%9.2%12.9%12.1%9.4%
HV 20d32.0%20.7%35.7%23.5%34.1%
HV 60d32.2%29.1%34.6%32.1%29.1%
IV Rank13.4%10.1%26.9%18.9%10.4%
IV Percentile20.8%9.5%68.7%33.3%11.1%
Term Structure-0.7%-11.9%2.8%-2.6%-1.8%
VWIV32.9%22.4%42.1%41.5%32.6%
Skew 25d2.9%-30.7%9.6%9.6%5.7%
Skew 10d6.3%-7.6%19.7%13.0%6.8%
Call IV 25d32.5%23.5%63.5%34.5%25.0%
Put IV 25d35.4%28.2%45.4%44.2%30.7%
Bid-Ask Spread %97.2182.32119.1796.15103.25
Gamma HHI0.350.280.490.390.31
Net GEX13.3K-138.1K119.6K63.2K5.5K
Net DEX-209.7K-2.2M1.1M-1.1M-346.3K
Net VEX-11.4K-14.0K-9.5K-11.8K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.003.170.001.00
Total Volume146.250532914
Total OI2,588.71,9683,2541,9682,888

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$48.76$45.0042.1%12.1%23.5%18.9%41.5%9.6%-2.6%63.2K-1.1M-11.8K0.0096.15N/AN/A9109371,031
2012-02-02$48.53$45.0045.1%12.9%20.7%21.6%0.0%8.0%-6.7%71.4K-1.2M-11.9K0.0095.61N/AN/A101,0081,031
2012-02-03$49.67$45.0040.6%10.4%21.8%17.6%36.7%4.0%-0.1%93.9K-1.7M-11.6K0.0084.70N/AN/A26201,0091,031
2012-02-06$49.50$45.0051.0%11.4%20.8%26.9%42.1%3.9%-4.7%119.6K-2.2M-12.9K2.5982.32N/AN/A1483841,2591,031
2012-02-07$45.89$45.0036.3%10.1%34.7%13.7%34.0%3.3%0.6%-23.1K567.2K-12.4K1.3789.99N/AN/A1311801,3341,406
2012-02-08$45.04$45.0035.7%10.0%34.4%13.1%26.4%7.0%-0.3%-49.9K1.1M-11.5K0.5693.64N/AN/A82461,3931,375
2012-02-09$45.59$45.0033.2%9.5%34.4%10.9%22.4%7.4%2.8%-49.5K836.5K-12.0K0.0092.94N/AN/A0601,3411,396
2012-02-10$45.22$45.0034.9%10.0%34.3%12.4%35.0%4.8%0.4%-75.0K1.1M-12.0K0.0096.35N/AN/A061,3411,454
2012-02-13$45.37$45.0034.0%9.7%34.3%11.7%34.5%2.2%0.8%-138.1K1.1M-11.2K0.0297.58N/AN/A460101,3411,459
2012-02-14$45.34$45.0033.4%9.6%34.2%11.1%0.0%1.5%1.0%110.3K-167.6K-11.8K0.0097.29N/AN/A901,7711,409
2012-02-15$45.28$45.0033.7%9.7%33.9%11.4%26.1%2.4%1.9%116.0K-186.6K-11.4K3.1798.36N/AN/A18571,7711,409
2012-02-16$45.82$45.0033.0%9.5%34.2%10.8%0.0%-2.3%2.3%104.6K-1.3M-11.0K0.0099.23N/AN/A1001,7861,459
2012-02-17$45.98$45.0033.7%9.7%34.3%11.4%0.0%5.7%1.2%41.3K-1.7M-10.4K0.0095.62N/AN/A001,7951,459
2012-02-21$45.18$45.0032.8%9.4%34.6%10.6%32.8%4.4%2.3%-31.2K419.5K-9.5K1.2599.92N/AN/A20258831,128
2012-02-22$45.36$45.0034.0%9.7%34.4%11.6%0.0%5.6%-0.4%-28.3K378.2K-9.5K0.0099.23N/AN/A079031,153
2012-02-23$46.52$45.0033.2%9.5%35.7%10.9%33.2%1.6%0.7%-5.8K-115.0K-9.8K0.0096.94N/AN/A05059031,157
2012-02-24$46.14$45.0035.8%10.2%35.5%13.2%31.3%-30.7%-11.9%-926-177.8K-11.0K0.00119.17N/AN/A2009031,662
2012-02-27$45.77$45.0032.3%9.2%35.4%10.1%32.3%6.9%1.5%-31.0K306.2K-11.6K0.83102.64N/AN/A12109181,662
2012-02-28$46.06$45.0032.6%9.3%35.2%10.4%32.6%7.1%-0.1%-27.7K241.2K-11.7K0.03103.22N/AN/A357109161,662
2012-02-29$46.13$45.0032.6%9.4%34.1%10.4%0.0%5.7%-1.8%5.5K-346.3K-14.0K1.00103.25N/AN/A221,2261,662