VSAT Options History — June 2012

In June 2012, VSAT traded between $35.81 and $41.05. ATM implied volatility averaged 43.8%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 11.4% (HV 20d: 32.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 5.55.

Notable Days

  • 2012-06-08: Highest Volume — 108 contracts
  • 2012-06-29: Largest IV drop — 17.7% change
  • 2012-06-01: Highest IV Rank — 50.5%
  • 2012-06-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.59$35.81$41.05$40.50$37.77
Max Pain$41.43$40.00$45.00$45.00$40.00
ATM IV43.8%31.7%51.3%51.3%31.7%
Expected Move12.0%9.1%14.7%14.7%9.1%
HV 20d32.4%22.0%38.6%22.0%38.6%
HV 60d27.1%23.9%29.7%24.8%29.7%
IV Rank36.8%14.5%50.5%50.5%14.5%
IV Percentile52.1%11.1%83.7%83.7%11.1%
Term Structure0.4%-6.4%4.9%-6.4%4.5%
VWIV37.7%32.4%42.9%32.4%34.8%
Skew 25d7.0%-5.1%12.6%-5.1%4.1%
Skew 10d11.6%-14.1%25.5%-14.1%23.3%
Call IV 25d35.8%26.7%49.5%49.5%32.1%
Put IV 25d42.8%36.2%50.7%44.4%36.2%
Bid-Ask Spread %93.0481.30101.5496.29100.34
Gamma HHI0.460.250.680.250.51
Net GEX-30.9K-59.6K31.8K31.8K-33.6K
Net DEX1.3M725.2K1.9M725.2K1.0M
Net VEX-5.9K-7.2K-5.4K-7.2K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.550.0030.001.380.00
Total Volume36.429010810
Total OI3,212.5241,3374,9254,6711,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$40.50$45.0051.3%14.7%22.0%50.5%32.4%-5.1%-6.4%31.8K725.2K-7.2K0.0096.29N/AN/A013,4351,236
2012-06-04$40.50$45.0050.2%12.6%22.2%48.6%0.0%6.9%-2.0%6.4K906.1K-6.6K0.0086.62N/AN/A093,4351,235
2012-06-05$41.05$45.0050.2%12.3%23.3%48.5%39.9%9.3%-2.1%12.5K812.0K-6.2K1.3886.45N/AN/A40553,4351,235
2012-06-06$40.40$45.0048.8%12.1%23.5%46.0%41.8%7.8%-1.8%-9.3K1.0M-6.2K0.0086.81N/AN/A0303,4751,290
2012-06-07$38.30$45.0050.2%11.3%28.0%48.6%39.5%5.5%0.9%-47.1K1.6M-6.1K1.8686.09N/AN/A28523,4751,312
2012-06-08$38.66$45.0048.8%10.6%28.7%46.0%36.9%7.1%2.8%-52.4K1.5M-6.3K0.1990.07N/AN/A91173,4881,341
2012-06-11$36.93$40.0046.3%12.6%31.2%41.3%0.0%10.1%-1.1%-59.1K1.9M-6.0K0.0081.30N/AN/A0113,5791,346
2012-06-12$35.81$40.0047.1%13.1%31.6%42.8%37.7%11.1%-3.0%-59.6K1.9M-5.7K0.0087.37N/AN/A0653,5591,311
2012-06-13$36.95$40.0040.3%12.9%35.0%30.2%35.6%10.8%-1.8%-45.6K1.7M-5.7K0.3189.46N/AN/A42133,5591,337
2012-06-14$36.46$40.0045.1%12.9%34.8%39.1%34.0%7.9%-1.7%-53.8K1.8M-5.8K0.4288.67N/AN/A40173,5791,333
2012-06-15$36.99$40.0045.4%13.0%35.5%39.7%36.8%10.1%-1.5%-36.4K1.5M-5.8K30.0091.10N/AN/A1303,6101,297
2012-06-18$36.59$40.0044.2%12.7%34.0%37.6%42.9%4.1%-0.9%-28.3K972.6K-5.5K0.0094.50N/AN/A027343994
2012-06-19$37.42$40.0042.0%12.0%35.5%33.4%0.0%7.1%0.6%-25.5K891.3K-5.4K0.0293.92N/AN/A5013431,018
2012-06-20$37.25$40.0041.6%11.9%35.4%32.6%0.0%6.0%1.5%-26.8K893.6K-5.6K21.3395.35N/AN/A3643931,019
2012-06-21$36.08$40.0038.6%11.1%36.4%27.2%0.0%1.9%3.1%-35.1K1.2M-5.8K0.0097.98N/AN/A023961,083
2012-06-22$36.53$40.0038.8%11.1%37.0%27.5%0.0%2.4%4.9%-34.2K1.2M-5.8K0.0098.32N/AN/A0123961,078
2012-06-25$36.10$40.0040.5%11.6%37.0%30.7%0.0%11.9%2.4%-37.3K1.3M-5.7K0.00101.30N/AN/A403961,090
2012-06-26$36.23$40.0040.5%11.6%36.9%30.7%40.5%12.6%2.2%-36.3K1.3M-5.6K0.00101.54N/AN/A0203981,090
2012-06-27$36.55$40.0039.6%11.4%37.2%29.1%0.0%4.9%4.6%-38.8K1.2M-5.5K0.0099.35N/AN/A003981,110
2012-06-28$36.30$40.0038.6%11.1%36.7%27.1%34.8%10.1%4.0%-40.0K1.3M-5.5K0.00100.98N/AN/A4003981,110
2012-06-29$37.77$40.0031.7%9.1%38.6%14.5%0.0%4.1%4.5%-33.6K1.0M-5.4K0.00100.34N/AN/A003981,110