VSAT Options History — July 2012

In July 2012, VSAT traded between $37.15 and $40.85. ATM implied volatility averaged 35.1%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.9% (HV 20d: 31.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2012-07-18: Highest Volume — 86 contracts
  • 2012-07-09: Largest IV spike — 49.8% change
  • 2012-07-31: Highest IV Rank — 39.9%
  • 2012-07-31: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$37.15$40.85$38.15$38.30
Max Pain$36.67$35.00$40.00$40.00$40.00
ATM IV35.1%20.7%43.6%22.7%43.6%
Expected Move10.7%6.5%12.5%6.5%12.5%
HV 20d31.1%27.9%38.9%38.8%30.1%
HV 60d29.8%28.4%31.0%29.8%31.0%
IV Rank24.7%0.0%39.9%0.0%39.9%
IV Percentile22.3%0.0%53.6%0.0%53.6%
Term Structure1.0%-5.9%38.3%38.3%-5.9%
VWIV37.7%33.7%43.6%34.4%43.6%
Skew 25d6.9%-5.2%24.8%24.8%5.7%
Skew 10d11.1%-3.7%24.3%24.3%12.5%
Call IV 25d32.5%22.6%38.6%22.6%38.6%
Put IV 25d39.4%27.3%47.5%47.5%44.3%
Bid-Ask Spread %97.6091.22123.50123.5096.69
Gamma HHI0.390.280.490.440.44
Net GEX-22.7K-39.0K-2.1K-27.7K-23.2K
Net DEX592.8K-122.7K1.2M945.2K486.7K
Net VEX-4.1K-5.5K-3.0K-5.5K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.000.000.00
Total Volume14.286086560
Total OI1,421.6671,2151,5471,5081,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$38.15$40.0022.7%6.5%38.8%0.0%0.0%24.8%38.3%-27.7K945.2K-5.5K0.00123.50N/AN/A503981,110
2012-07-03$38.68$40.0032.6%9.4%38.9%18.0%0.0%6.7%4.4%-30.1K834.2K-4.9K0.00100.87N/AN/A004011,110
2012-07-05$38.40$40.0032.7%9.4%38.6%18.1%0.0%-5.2%4.7%-29.0K892.8K-5.1K0.00104.06N/AN/A104011,110
2012-07-06$37.55$35.0020.7%10.8%34.5%0.0%0.0%5.7%-1.3%-35.8K1.1M-4.6K0.0091.87N/AN/A004011,110
2012-07-09$37.15$35.0030.9%11.8%34.5%17.9%0.0%3.2%-1.2%-39.0K1.2M-4.5K0.0093.06N/AN/A004011,106
2012-07-10$37.25$35.0032.8%11.9%30.4%21.2%0.0%4.7%-1.5%-36.4K1.1M-4.5K0.0091.22N/AN/A104011,095
2012-07-11$37.43$35.0031.3%12.1%28.0%18.5%34.4%5.0%-1.8%-36.2K1.1M-4.2K0.1094.02N/AN/A4044011,095
2012-07-12$38.70$35.0038.2%10.9%28.3%30.5%0.0%13.0%-1.3%-22.3K784.6K-4.6K0.0093.35N/AN/A004411,099
2012-07-13$39.56$35.0037.0%10.6%28.5%28.4%33.7%5.8%-0.2%-13.4K508.2K-4.1K1.0092.42N/AN/A114411,099
2012-07-16$39.09$35.0037.1%10.6%28.8%28.7%0.0%10.8%-0.9%-17.3K700.5K-4.1K0.0095.99N/AN/A8004421,100
2012-07-17$39.21$35.0036.8%10.5%28.3%28.1%0.0%11.9%-1.3%-12.3K627.3K-3.8K0.0095.31N/AN/A054221,100
2012-07-18$40.73$35.0036.9%10.6%30.2%28.3%0.0%6.9%-1.2%-2.1K-15.3K-3.0K0.0092.28N/AN/A8604221,105
2012-07-19$40.85$35.0037.8%10.8%30.0%29.9%0.0%-3.1%-0.9%-14.4K-122.7K-4.1K0.0094.84N/AN/A004471,100
2012-07-20$40.21$35.0037.3%10.7%27.9%29.0%0.0%4.4%-0.2%-22.6K70.9K-4.2K0.0095.39N/AN/A004471,100
2012-07-23$39.12$35.0037.7%10.8%30.1%29.8%0.0%8.6%-1.4%-19.8K378.8K-3.8K0.0099.08N/AN/A00247968
2012-07-24$39.16$35.0038.3%11.0%29.5%30.7%38.3%9.0%-1.6%-21.0K390.8K-3.8K0.0097.66N/AN/A01247968
2012-07-25$39.11$35.0038.6%11.1%29.6%31.3%38.6%5.0%-1.3%-21.9K416.2K-3.8K0.00100.21N/AN/A05247969
2012-07-26$39.32$40.0037.8%10.8%29.6%29.8%0.0%9.2%-1.8%-19.2K370.3K-3.6K0.0099.20N/AN/A00247974
2012-07-27$40.22$40.0037.8%10.8%30.0%29.8%37.8%4.9%0.3%-14.9K266.5K-3.6K0.00100.74N/AN/A100247974
2012-07-30$39.17$40.0038.1%10.9%29.1%30.3%0.0%8.1%-2.4%-17.6K355.1K-3.5K0.0097.76N/AN/A00257974
2012-07-31$38.30$40.0043.6%12.5%30.1%39.9%43.6%5.7%-5.9%-23.2K486.7K-3.6K0.0096.69N/AN/A060257974