VSAT Options History — May 2012

In May 2012, VSAT traded between $41.64 and $48.03. ATM implied volatility averaged 49.4%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 27.0% (HV 20d: 22.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.46.

Notable Days

  • 2012-05-24: Highest Volume — 910 contracts
  • 2012-05-03: Largest IV spike — 22.5% change
  • 2012-05-17: Highest IV Rank — 70.1%
  • 2012-05-17: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.45$41.64$48.03$48.03$42.02
Max Pain$46.36$45.00$50.00$50.00$45.00
ATM IV49.4%40.6%61.9%41.5%51.8%
Expected Move13.7%11.6%17.7%11.9%14.9%
HV 20d22.4%18.2%26.7%26.0%19.5%
HV 60d24.0%23.0%27.8%27.8%23.7%
IV Rank47.0%30.8%70.1%32.5%51.6%
IV Percentile76.4%43.3%97.6%47.2%85.3%
Term Structure-7.7%-18.8%-2.1%-3.8%-9.3%
VWIV44.7%36.1%52.9%49.9%42.2%
Skew 25d7.0%0.5%14.8%7.3%3.9%
Skew 10d13.4%-11.8%31.5%23.2%8.3%
Call IV 25d41.4%32.6%54.1%36.2%46.0%
Put IV 25d48.4%42.4%68.9%43.5%49.9%
Bid-Ask Spread %91.6785.4096.9694.0391.37
Gamma HHI0.530.310.660.660.33
Net GEX190.5K86.1K344.5K344.5K108.5K
Net DEX-1.5M-5.1M2.0M-5.1M-6.4K
Net VEX-16.0K-24.7K-8.1K-24.7K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0010.000.001.00
Total Volume117.5910910320
Total OI4,764.2734,4455,1104,6894,651

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$48.03$50.0041.5%11.9%26.0%32.5%0.0%7.3%-3.8%344.5K-5.1M-24.7K0.0094.03N/AN/A033,1891,500
2012-05-02$47.85$50.0040.6%11.6%26.0%30.8%0.0%5.5%-3.9%343.2K-4.5M-24.2K0.0095.08N/AN/A003,1891,503
2012-05-03$47.04$50.0049.7%14.2%26.5%47.6%49.9%7.7%-7.7%298.0K-3.7M-23.1K0.0089.23N/AN/A0533,1891,503
2012-05-04$46.67$45.0049.0%12.0%26.5%46.4%38.1%9.8%-5.0%272.9K-3.2M-22.1K0.0091.12N/AN/A203,1891,553
2012-05-07$46.14$45.0050.6%12.1%26.7%49.3%38.5%7.5%-5.5%253.0K-2.7M-20.7K0.0091.07N/AN/A1203,1901,553
2012-05-08$45.83$45.0050.0%12.2%23.0%48.2%0.0%6.7%-6.0%236.5K-2.4M-20.3K0.0090.50N/AN/A003,1921,553
2012-05-09$46.30$45.0055.7%12.6%22.2%58.7%0.0%9.5%-6.0%254.3K-2.5M-19.8K1.3689.69N/AN/A28383,1921,553
2012-05-10$46.14$45.0044.6%12.8%20.9%38.2%43.7%8.6%-7.5%241.7K-2.7M-19.9K10.0089.99N/AN/A2203,2201,553
2012-05-11$46.23$45.0044.4%12.7%20.1%37.9%44.4%10.5%-7.7%269.3K-2.8M-19.8K0.0091.02N/AN/A0153,2221,573
2012-05-14$45.03$45.0048.8%14.0%21.9%45.9%41.6%9.9%-10.2%214.0K-1.6M-17.5K0.7288.34N/AN/A75543,2221,588
2012-05-15$44.61$45.0053.1%15.2%21.8%53.9%48.7%10.5%-13.3%175.0K-1.2M-17.1K0.0085.40N/AN/A01153,2281,640
2012-05-16$44.74$50.0055.6%15.9%21.9%58.5%48.9%10.7%-14.3%150.6K-1.3M-18.0K6.4787.17N/AN/A171103,2281,751
2012-05-17$43.75$50.0061.9%17.7%22.2%70.1%52.9%14.8%-18.8%107.9K-249.5K-17.4K1.5386.69N/AN/A1922943,2401,861
2012-05-18$42.19$50.0048.3%13.9%25.2%45.1%46.7%9.8%-6.6%103.8K2.0M-10.4K8.0394.83N/AN/A312493,4301,680
2012-05-21$42.21$45.0048.1%13.8%25.2%44.7%47.6%9.7%-2.1%119.8K-81.3K-10.2K0.2593.06N/AN/A163413,2661,179
2012-05-22$42.27$45.0048.3%13.8%25.3%45.0%47.3%0.6%-5.9%115.0K-67.5K-10.1K0.1992.33N/AN/A72143,4191,208
2012-05-23$42.26$45.0048.2%13.8%18.4%44.9%0.0%5.0%-6.9%114.5K-77.7K-10.5K0.0096.96N/AN/A003,4711,218
2012-05-24$42.38$45.0048.6%13.9%18.5%45.7%40.0%3.9%-5.6%109.0K-31.5K-10.0K0.0095.93N/AN/A91003,4711,218
2012-05-25$42.20$45.0048.3%13.8%18.2%45.1%48.3%0.5%-7.0%132.5K-248.5K-9.9K0.0094.02N/AN/A0253,7051,218
2012-05-29$42.39$45.0049.3%14.1%18.2%46.9%36.1%0.5%-7.8%141.8K-337.6K-9.4K0.0094.10N/AN/A0223,4251,222
2012-05-30$41.64$45.0049.8%14.3%18.6%47.8%42.2%0.7%-7.4%86.1K240.6K-8.1K0.0094.81N/AN/A0103,4251,234
2012-05-31$42.02$45.0051.8%14.9%19.5%51.6%0.0%3.9%-9.3%108.5K-6.4K-8.5K1.0091.37N/AN/A10103,4251,226