VSAT Options History — September 2012

In September 2012, VSAT traded between $36.35 and $40.62. ATM implied volatility averaged 43.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 21.8% (HV 20d: 21.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.38.

Notable Days

2012-09-05: Highest Volume — 51 contracts
2012-09-11: Largest IV drop — 38.5% change
2012-09-06: Highest IV Rank — 92.1%
2012-09-06: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.65	$36.35	$40.62	$38.84	$37.38
Max Pain	$40.79	$40.00	$45.00	$45.00	$40.00
ATM IV	43.0%	31.6%	75.1%	57.7%	36.5%
Expected Move	11.7%	9.1%	21.5%	16.5%	10.5%
HV 20d	21.2%	17.7%	25.5%	23.4%	25.2%
HV 60d	35.0%	34.3%	37.0%	37.0%	34.9%
IV Rank	37.7%	18.6%	92.1%	62.7%	26.8%
IV Percentile	46.1%	13.1%	99.6%	97.2%	35.3%
Term Structure	-5.5%	-28.9%	4.3%	-28.9%	1.3%
VWIV	44.9%	32.1%	76.4%	76.4%	37.4%
Skew 25d	0.1%	-67.0%	19.1%	-62.8%	8.6%
Skew 10d	1.5%	-78.0%	38.4%	-74.2%	34.3%
Call IV 25d	41.4%	23.0%	100.8%	91.2%	28.0%
Put IV 25d	41.5%	28.4%	79.9%	28.4%	36.5%
Bid-Ask Spread %	106.67	92.08	130.42	123.51	100.33
Gamma HHI	0.37	0.25	0.55	0.27	0.33
Net GEX	-18.9K	-32.7K	-6.6K	-31.4K	-9.3K
Net DEX	441.7K	257.4K	682.7K	526.6K	324.6K
Net VEX	-2.3K	-3.6K	-1.2K	-3.2K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.00	1.55	1.55	0.00
Total Volume	9.474	0	51	0	1
Total OI	1,130	382	1,427	1,354	416

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$38.84	$45.00	57.7%	16.5%	23.4%	62.7%	0.0%	-62.8%	-28.9%	-31.4K	526.6K	-3.2K	0.00	123.51	N/A	N/A	0	0	249	1,105
2012-09-05	$38.41	$45.00	73.0%	20.9%	20.5%	88.4%	0.0%	-67.0%	-15.9%	-25.9K	435.3K	-3.3K	1.55	128.48	N/A	N/A	20	31	249	1,105
2012-09-06	$39.00	$45.00	75.1%	21.5%	20.9%	92.1%	76.4%	-13.8%	-23.9%	-28.7K	515.9K	-3.5K	0.00	124.84	N/A	N/A	2	0	265	1,115
2012-09-07	$39.36	$40.00	54.5%	10.5%	19.9%	57.2%	0.0%	18.7%	-15.1%	-22.7K	354.4K	-2.9K	0.00	130.42	N/A	N/A	0	20	265	1,115
2012-09-10	$38.70	$40.00	71.8%	13.9%	20.5%	86.4%	0.0%	19.1%	-21.0%	-32.7K	682.7K	-3.6K	0.00	129.95	N/A	N/A	5	0	265	1,122
2012-09-11	$39.39	$40.00	44.1%	13.2%	21.0%	39.7%	0.0%	15.2%	-23.1%	-21.7K	441.8K	-2.5K	0.00	120.54	N/A	N/A	0	0	265	1,122
2012-09-12	$39.30	$40.00	32.7%	9.6%	20.8%	20.3%	33.5%	7.5%	1.5%	-20.2K	476.4K	-2.4K	1.00	96.82	N/A	N/A	20	20	265	1,122
2012-09-13	$39.94	$40.00	33.2%	9.5%	18.6%	21.2%	0.0%	10.7%	2.0%	-15.2K	408.7K	-2.5K	0.00	95.57	N/A	N/A	0	0	285	1,142
2012-09-14	$40.62	$40.00	32.9%	9.4%	18.5%	20.6%	0.0%	2.0%	2.6%	-15.2K	281.2K	-2.6K	0.00	92.08	N/A	N/A	0	0	285	1,142
2012-09-17	$40.24	$40.00	32.9%	9.4%	17.7%	20.7%	0.0%	10.5%	1.7%	-18.4K	336.9K	-2.4K	0.00	96.08	N/A	N/A	0	2	285	1,142
2012-09-18	$39.79	$40.00	33.6%	9.6%	17.9%	21.9%	0.0%	8.5%	0.5%	-25.0K	452.3K	-2.2K	0.00	97.60	N/A	N/A	0	0	266	1,144
2012-09-19	$38.77	$40.00	33.1%	9.5%	20.1%	21.1%	0.0%	4.7%	1.1%	-21.2K	563.4K	-2.1K	0.00	98.22	N/A	N/A	20	0	266	1,134
2012-09-20	$38.21	$40.00	33.6%	9.6%	20.8%	21.9%	0.0%	4.0%	0.6%	-22.0K	641.3K	-1.9K	0.00	97.62	N/A	N/A	0	1	266	1,134
2012-09-21	$38.33	$40.00	32.9%	9.4%	20.8%	20.7%	0.0%	4.3%	1.1%	-19.2K	672.1K	-1.8K	0.50	99.25	N/A	N/A	2	1	251	1,129
2012-09-24	$37.96	$40.00	31.6%	9.1%	21.0%	18.6%	32.1%	3.7%	3.2%	-8.6K	257.4K	-1.6K	0.00	96.74	N/A	N/A	1	0	211	171
2012-09-25	$36.54	$40.00	34.6%	9.9%	24.7%	23.6%	0.0%	2.5%	4.3%	-6.6K	321.3K	-1.4K	0.00	97.14	N/A	N/A	0	1	212	171
2012-09-26	$36.35	$40.00	35.6%	10.2%	24.5%	25.3%	0.0%	11.2%	2.0%	-6.6K	352.1K	-1.2K	0.00	101.02	N/A	N/A	0	23	212	171
2012-09-27	$37.17	$40.00	36.8%	10.5%	25.5%	27.3%	0.0%	14.0%	1.1%	-8.8K	347.8K	-1.5K	0.00	100.50	N/A	N/A	10	0	212	194
2012-09-28	$37.38	$40.00	36.5%	10.5%	25.2%	26.8%	37.4%	8.6%	1.3%	-9.3K	324.6K	-1.6K	0.00	100.33	N/A	N/A	0	1	222	194