VSAT Options History — March 2012

In March 2012, VSAT traded between $44.05 and $48.21. ATM implied volatility averaged 31.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 5.3% (HV 20d: 25.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2012-03-15: Highest Volume — 795 contracts
  • 2012-03-12: Largest IV spike — 30.4% change
  • 2012-03-12: Highest IV Rank — 9.9%
  • 2012-03-12: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.21$44.05$48.21$46.26$48.21
Max Pain$45.45$45.00$50.00$45.00$45.00
ATM IV31.1%25.6%34.6%32.0%29.8%
Expected Move9.4%8.5%11.6%9.2%8.5%
HV 20d25.8%19.4%32.9%32.7%25.9%
HV 60d28.2%26.9%29.7%29.1%26.9%
IV Rank6.6%1.5%9.9%7.4%5.4%
IV Percentile11.0%2.0%22.2%7.9%7.1%
Term Structure1.6%-2.6%4.1%0.1%0.5%
VWIV31.6%29.4%33.0%30.1%31.7%
Skew 25d4.6%-3.1%49.7%8.0%-3.1%
Skew 10d13.1%-3.4%93.6%9.1%33.1%
Call IV 25d32.2%23.7%64.2%23.7%33.8%
Put IV 25d36.9%28.4%75.1%31.7%30.7%
Bid-Ask Spread %95.5285.18129.05102.76115.72
Gamma HHI0.510.310.720.320.72
Net GEX55.2K-168.5K244.3K8.6K244.3K
Net DEX-1.4M-3.8M675.7K-409.6K-3.8M
Net VEX-16.5K-22.8K-11.4K-14.2K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.630.000.00
Total Volume91.45507951071
Total OI3,022.3182,6343,6922,8893,339

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$46.26$45.0032.0%9.2%32.7%7.4%0.0%8.0%0.1%8.6K-409.6K-14.2K0.00102.76N/AN/A10701,2281,661
2012-03-02$45.63$45.0030.0%8.6%32.9%5.6%30.1%49.7%1.5%-19.4K-75.3K-13.7K0.00102.12N/AN/A0101,2861,661
2012-03-05$45.64$50.0030.3%9.1%31.4%5.9%0.0%3.5%3.2%-26.1K-130.8K-13.4K0.0087.13N/AN/A001,2861,656
2012-03-06$44.35$50.0030.9%9.4%32.6%6.4%33.0%2.4%2.1%-58.9K492.8K-12.8K0.0085.18N/AN/A5401,2861,656
2012-03-07$44.05$45.0030.1%9.4%19.4%5.7%0.0%2.8%3.1%-67.8K675.7K-12.6K0.6390.59N/AN/A19121,2701,656
2012-03-08$45.39$45.0032.3%9.3%21.5%7.7%0.0%2.6%3.5%-40.7K-56.2K-13.1K0.0087.91N/AN/A011,2721,668
2012-03-09$45.16$45.0026.6%11.5%21.1%2.4%0.0%2.9%0.9%-82.8K122.8K-12.8K0.0094.80N/AN/A0351,2721,668
2012-03-12$44.81$45.0034.6%11.6%21.1%9.9%0.0%9.6%-2.6%-59.8K319.5K-13.3K0.00129.05N/AN/A011,2721,673
2012-03-13$46.00$45.0025.6%9.3%23.1%1.5%0.0%2.6%2.5%-76.3K-360.6K-11.7K0.0090.46N/AN/A401,2721,674
2012-03-14$45.31$45.0026.9%9.3%23.8%2.8%0.0%2.0%2.1%-152.4K-6.9K-11.6K0.0091.44N/AN/A001,2721,674
2012-03-15$45.57$45.0032.4%9.3%23.8%7.8%32.4%1.4%2.0%-168.5K-311.2K-11.4K0.0392.99N/AN/A775201,2721,674
2012-03-16$46.30$45.0032.2%9.2%24.1%7.6%32.5%3.5%3.0%38.2K-1.9M-17.6K0.0191.64N/AN/A20012,0031,689
2012-03-19$47.47$45.0033.2%9.5%25.6%8.5%29.4%4.5%0.5%143.9K-2.4M-18.3K0.0090.44N/AN/A3001,5871,047
2012-03-20$46.55$45.0032.7%9.4%25.8%8.1%0.0%-0.7%2.2%137.9K-2.0M-18.2K0.0092.64N/AN/A051,6171,047
2012-03-21$46.44$45.0033.1%9.5%25.9%8.4%0.0%-1.5%1.4%135.2K-1.9M-17.4K0.0094.54N/AN/A001,6171,052
2012-03-22$46.02$45.0031.6%9.1%24.5%7.1%0.0%-2.7%2.2%126.6K-1.6M-16.9K0.0094.83N/AN/A60011,6171,052
2012-03-23$47.39$45.0033.4%9.6%26.5%8.7%32.3%3.2%-1.1%211.0K-3.2M-22.0K0.1391.92N/AN/A102132,1501,053
2012-03-26$47.27$45.0031.4%9.0%26.3%6.9%0.0%4.8%4.1%221.7K-3.3M-22.3K0.0093.48N/AN/A0102,2521,066
2012-03-27$47.48$45.0033.3%9.5%26.2%8.6%0.0%3.3%1.6%230.3K-3.6M-22.8K0.0092.72N/AN/A002,2521,076
2012-03-28$47.66$45.0031.1%8.9%26.2%6.6%31.7%0.8%0.7%230.4K-3.5M-22.4K0.0094.22N/AN/A1002,2521,076
2012-03-29$47.62$45.0030.2%8.7%26.2%5.8%0.0%2.7%1.6%239.4K-3.6M-22.5K0.0094.89N/AN/A102,2621,076
2012-03-30$48.21$45.0029.8%8.5%25.9%5.4%0.0%-3.1%0.5%244.3K-3.8M-22.1K0.00115.72N/AN/A012,2631,076