VSAT Options History — April 2012

In April 2012, VSAT traded between $45.87 and $48.40. ATM implied volatility averaged 34.1%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.0% (HV 20d: 24.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.78.

Notable Days

  • 2012-04-20: Highest Volume — 500 contracts
  • 2012-04-30: Largest IV spike — 20.7% change
  • 2012-04-30: Highest IV Rank — 33.6%
  • 2012-04-30: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.52$45.87$48.40$48.38$48.30
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV34.1%25.6%42.1%30.3%42.1%
Expected Move10.1%7.4%12.1%8.7%12.1%
HV 20d24.1%21.0%26.3%25.9%26.0%
HV 60d27.6%26.1%29.1%26.9%28.2%
IV Rank17.3%1.6%33.6%5.9%33.6%
IV Percentile25.5%2.8%50.8%9.1%50.8%
Term Structure-0.8%-4.7%3.5%3.3%-4.7%
VWIV36.2%30.9%41.4%30.9%41.4%
Skew 25d4.7%-3.3%13.0%3.8%5.9%
Skew 10d10.3%-4.9%32.6%27.1%8.7%
Call IV 25d31.0%26.0%35.7%29.2%35.3%
Put IV 25d35.7%30.6%41.2%32.9%41.2%
Bid-Ask Spread %94.5789.74100.7595.1296.65
Gamma HHI0.690.620.770.720.77
Net GEX274.6K204.0K417.1K252.8K417.1K
Net DEX-3.7M-5.5M-2.5M-4.0M-5.5M
Net VEX-21.4K-24.5K-18.4K-22.0K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0025.001.709.39
Total Volume79.15050027343
Total OI3,675.33,3394,3543,3394,346

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$48.38$45.0030.3%8.7%25.9%5.9%0.0%3.8%3.3%252.8K-4.0M-22.0K1.7095.12N/AN/A10172,2631,076
2012-04-03$48.40$45.0029.7%8.5%23.1%5.3%30.9%1.9%3.5%261.1K-4.1M-22.0K1.0098.69N/AN/A10102,2631,086
2012-04-04$47.91$45.0025.6%7.4%23.3%1.6%32.4%0.8%2.7%246.5K-3.7M-21.9K0.0099.07N/AN/A0212,2601,096
2012-04-05$48.04$45.0026.1%7.5%21.2%2.0%0.0%1.1%2.8%249.9K-3.7M-21.9K0.00100.75N/AN/A0102,2601,117
2012-04-09$48.29$45.0028.0%9.4%21.0%3.8%38.6%11.8%0.2%261.0K-3.9M-21.1K1.4391.09N/AN/A35502,2601,117
2012-04-10$46.45$45.0031.7%10.8%25.6%7.2%0.0%4.8%-2.7%204.0K-2.5M-19.5K0.0689.74N/AN/A3522,2551,167
2012-04-11$47.32$45.0029.1%10.8%24.8%4.8%0.0%8.8%-2.3%235.1K-3.1M-20.6K0.0089.74N/AN/A012,2531,167
2012-04-12$48.25$45.0032.5%9.3%24.7%15.8%39.2%13.0%0.1%261.7K-3.9M-21.0K25.0090.39N/AN/A2502,2531,167
2012-04-13$47.41$45.0038.0%10.9%25.8%26.0%0.0%8.1%-3.3%235.9K-3.3M-20.7K0.0092.90N/AN/A002,2511,217
2012-04-16$47.57$45.0034.3%9.8%25.3%19.1%34.2%5.9%-0.9%244.3K-3.2M-20.1K0.0092.32N/AN/A102,2511,217
2012-04-17$47.78$45.0034.4%9.9%23.7%19.3%0.0%8.7%-1.3%252.2K-3.6M-19.7K0.0092.68N/AN/A202,2521,217
2012-04-18$47.46$45.0038.4%11.0%22.7%26.8%38.1%4.9%-3.5%237.2K-3.1M-19.7K0.2592.90N/AN/A2052,2521,217
2012-04-19$46.55$45.0038.6%11.1%23.8%27.1%0.0%-1.0%-1.7%207.5K-2.5M-18.4K0.0492.10N/AN/A20072,2721,217
2012-04-20$46.33$45.0038.5%11.0%23.6%27.0%0.0%-2.2%-1.1%232.3K-2.7M-19.5K0.0093.21N/AN/A50002,4721,219
2012-04-23$46.21$45.0040.2%11.5%21.0%30.1%0.0%-1.0%-4.6%286.8K-3.2M-22.4K0.0095.69N/AN/A032,9261,189
2012-04-24$45.87$45.0039.0%11.2%21.1%27.8%0.0%-3.3%-3.5%270.7K-2.8M-20.7K0.0096.75N/AN/A002,9261,190
2012-04-25$47.87$45.0035.7%10.2%26.3%21.8%36.1%6.8%0.4%335.4K-4.6M-23.0K0.0096.21N/AN/A24002,9261,190
2012-04-26$47.92$45.0035.5%10.2%26.3%21.4%0.0%8.0%0.4%394.0K-5.3M-24.5K0.0098.18N/AN/A103,1641,190
2012-04-27$48.08$45.0034.8%10.0%26.3%20.2%34.7%7.5%1.3%407.0K-5.4M-24.5K0.0097.27N/AN/A803,1551,190
2012-04-30$48.30$45.0042.1%12.1%26.0%33.6%41.4%5.9%-4.7%417.1K-5.5M-24.2K9.3996.65N/AN/A333103,1561,190