VSAT Options History — August 2012

In August 2012, VSAT traded between $33.85 and $39.35. ATM implied volatility averaged 38.4%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 7.8% (HV 20d: 46.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 9.19.

Notable Days

  • 2012-08-07: Highest Volume — 111 contracts
  • 2012-08-07: Largest IV drop — 42.6% change
  • 2012-08-03: Highest IV Rank — 100.0%
  • 2012-08-03: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.59$33.85$39.35$37.90$38.70
Max Pain$44.35$40.00$45.00$40.00$45.00
ATM IV38.4%29.3%79.8%44.9%30.4%
Expected Move10.8%8.6%22.9%12.9%8.7%
HV 20d46.2%23.4%50.9%29.9%23.4%
HV 60d38.1%31.0%39.5%31.0%37.1%
IV Rank30.2%14.6%100.0%42.2%16.5%
IV Percentile28.6%3.6%100.0%59.5%7.9%
Term Structure-1.5%-42.5%3.4%-6.2%1.8%
VWIV37.6%27.8%67.1%44.9%28.7%
Skew 25d8.1%-24.7%98.9%5.3%6.2%
Skew 10d8.1%-30.0%28.0%10.6%9.4%
Call IV 25d34.6%22.5%80.2%42.5%29.3%
Put IV 25d42.6%27.0%121.3%47.7%35.6%
Bid-Ask Spread %100.6491.06125.7897.98100.92
Gamma HHI0.340.240.570.350.30
Net GEX-30.0K-53.8K-13.5K-33.1K-21.8K
Net DEX593.6K329.9K1.1M661.9K501.2K
Net VEX-3.1K-5.2K-2.3K-3.9K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.190.0063.0063.000.00
Total Volume20.8260111640
Total OI1,324.3041,2681,3691,2851,354

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$37.90$40.0044.9%12.9%29.9%42.2%44.9%5.3%-6.2%-33.1K661.9K-3.9K63.0097.98N/AN/A1632571,028
2012-08-02$37.75$40.0057.3%16.4%29.8%63.8%0.0%10.9%-7.0%-38.9K974.1K-5.2K0.00125.78N/AN/A002571,091
2012-08-03$33.85$40.0079.8%22.9%48.3%100.0%67.1%98.9%-42.5%-45.6K1.0M-3.7K11.00121.64N/AN/A8882571,091
2012-08-06$34.06$45.0072.9%14.6%48.4%88.3%0.0%-24.7%-10.7%-45.9K1.1M-4.4K0.20124.32N/AN/A4082651,024
2012-08-07$35.47$45.0041.8%10.7%50.9%35.8%37.2%7.8%1.6%-45.6K818.8K-3.4K8.2591.42N/AN/A12992601,008
2012-08-08$35.66$45.0041.4%10.6%50.9%35.1%37.0%5.5%2.2%-53.8K927.0K-4.2K0.0091.06N/AN/A0182721,097
2012-08-09$36.46$45.0041.5%11.0%50.0%35.3%0.0%5.0%1.0%-49.8K804.8K-3.8K0.0092.40N/AN/A002721,097
2012-08-10$37.10$45.0029.4%10.8%49.8%14.7%0.0%2.9%2.4%-45.6K633.2K-3.2K0.0094.00N/AN/A002721,097
2012-08-13$36.90$45.0031.7%11.1%49.7%18.6%0.0%3.6%0.6%-42.8K682.5K-3.4K0.0094.60N/AN/A1002721,097
2012-08-14$36.69$45.0029.3%10.9%49.6%14.6%0.0%1.7%0.2%-43.2K713.8K-3.3K0.0093.12N/AN/A002681,097
2012-08-15$37.89$45.0038.7%9.6%49.0%30.4%34.0%6.4%2.9%-29.2K535.0K-3.0K0.2095.41N/AN/A1532681,097
2012-08-16$38.54$45.0034.3%9.8%49.5%23.1%0.0%7.4%2.6%-25.2K409.0K-2.7K0.0095.28N/AN/A002431,080
2012-08-17$39.35$45.0030.1%8.6%50.0%16.0%30.1%6.0%3.4%-13.9K329.9K-2.5K0.0498.56N/AN/A2812431,080
2012-08-20$39.00$45.0031.4%9.0%49.1%18.1%0.0%7.4%1.6%-16.5K335.9K-2.7K0.0098.60N/AN/A002461,038
2012-08-21$38.71$45.0030.9%8.9%49.2%17.3%0.0%4.9%1.2%-16.8K351.8K-2.5K0.0098.26N/AN/A032461,038
2012-08-22$38.65$45.0030.9%8.9%49.2%17.3%0.0%5.9%2.2%-15.4K365.7K-2.5K0.0098.94N/AN/A002461,041
2012-08-23$38.52$45.0030.3%8.7%49.1%16.4%0.0%5.9%2.6%-13.5K390.0K-2.3K0.0098.96N/AN/A102461,041
2012-08-24$38.66$45.0030.8%8.8%48.4%17.2%31.1%6.1%1.2%-16.4K362.5K-2.5K0.0098.65N/AN/A302471,041
2012-08-27$38.35$45.0032.0%9.2%47.6%19.1%0.0%3.5%0.3%-17.5K407.8K-2.4K0.00101.35N/AN/A002491,041
2012-08-28$38.65$45.0031.7%9.1%47.0%18.7%27.8%5.7%-0.5%-14.9K358.2K-2.3K0.00100.30N/AN/A0652491,041
2012-08-29$39.12$45.0031.3%9.0%46.9%18.0%28.7%-1.7%1.1%-20.7K449.7K-2.7K0.00101.39N/AN/A0132491,102
2012-08-30$38.52$45.0030.9%8.9%47.3%17.3%0.0%4.9%2.2%-22.8K526.0K-2.7K0.00101.85N/AN/A002491,105
2012-08-31$38.70$45.0030.4%8.7%23.4%16.5%0.0%6.2%1.8%-21.8K501.2K-2.6K0.00100.92N/AN/A002491,105