VSAT Options History — October 2012

In October 2012, VSAT traded between $36.68 and $39.80. ATM implied volatility averaged 33.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.5% (HV 20d: 25.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2012-10-05: Highest Volume — 41 contracts
  • 2012-10-03: Largest IV spike — 58.2% change
  • 2012-10-03: Highest IV Rank — 58.2%
  • 2012-10-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.32$36.68$39.80$36.84$38.84
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV33.8%20.7%55.1%36.0%35.6%
Expected Move10.0%9.0%15.8%10.3%10.2%
HV 20d25.3%21.3%27.8%25.5%22.2%
HV 60d33.4%24.1%34.7%34.7%24.1%
IV Rank22.2%0.0%58.2%26.0%25.2%
IV Percentile28.2%0.0%92.9%34.9%40.5%
Term Structure-0.0%-29.5%12.8%1.1%0.0%
VWIV34.7%33.2%37.0%33.2%33.6%
Skew 25d5.4%-30.5%11.6%11.6%7.1%
Skew 10d19.8%-1.2%47.4%43.0%13.5%
Call IV 25d32.3%25.6%92.6%26.0%34.1%
Put IV 25d37.7%34.3%62.1%37.7%41.2%
Bid-Ask Spread %99.7892.74132.55101.19100.11
Gamma HHI0.350.280.510.300.34
Net GEX-8.2K-25.7K4.7K-8.2K3.7K
Net DEX196.7K61.8K365.0K356.3K76.3K
Net VEX-1.7K-2.1K-1.4K-1.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0023.000.000.00
Total Volume8.85704104
Total OI453.905409518417452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$36.84$40.0036.0%10.3%25.5%26.0%0.0%11.6%1.1%-8.2K356.3K-1.5K0.00101.19N/AN/A00222195
2012-10-02$36.70$40.0034.8%10.0%25.4%24.0%0.0%9.2%2.7%-7.8K359.7K-1.4K0.00103.92N/AN/A50222195
2012-10-03$36.68$40.0055.1%15.8%25.2%58.2%0.0%-30.5%-29.5%-6.4K294.5K-1.7K0.00132.55N/AN/A00227195
2012-10-04$36.82$40.0034.9%10.0%24.5%24.1%0.0%8.3%2.4%-7.3K365.0K-1.4K0.00103.63N/AN/A00227195
2012-10-05$37.96$0.0020.7%9.5%26.9%0.0%33.2%6.1%0.0%-11.9K297.1K-1.6K0.9592.74N/AN/A2120227195
2012-10-08$38.90$40.0031.9%9.4%27.8%19.0%0.0%10.1%2.1%-14.9K237.9K-1.9K0.0094.83N/AN/A00248215
2012-10-09$38.74$40.0030.9%10.0%27.1%17.2%0.0%7.4%-0.3%-15.2K253.3K-1.9K0.0098.04N/AN/A100248215
2012-10-10$39.10$40.0028.4%9.5%27.3%13.0%0.0%11.4%1.1%-15.9K220.0K-1.9K0.0094.00N/AN/A100257215
2012-10-11$39.80$40.0033.4%9.6%27.5%21.6%0.0%9.2%1.1%-16.1K123.8K-2.1K0.0097.94N/AN/A100267215
2012-10-12$39.71$40.0033.6%9.6%26.7%21.9%35.7%8.9%1.7%-17.5K132.1K-2.1K0.0099.10N/AN/A01277215
2012-10-15$39.31$40.0034.0%9.7%26.7%22.5%34.0%7.2%0.1%-19.5K185.3K-1.9K0.0095.84N/AN/A240277215
2012-10-16$39.51$40.0033.3%9.6%26.6%21.4%0.0%9.5%1.5%-17.7K119.4K-2.0K0.0097.99N/AN/A03301215
2012-10-17$39.74$40.0033.6%9.6%24.8%21.9%0.0%8.9%0.2%-25.7K86.0K-2.0K0.0096.98N/AN/A010301217
2012-10-18$38.86$40.0034.0%9.7%25.6%22.5%0.0%5.1%-0.5%-13.8K272.0K-1.7K0.0097.41N/AN/A10286217
2012-10-19$38.11$40.0035.0%10.0%26.6%24.3%0.0%3.8%-1.2%4.7K359.9K-1.5K23.0096.57N/AN/A123287217
2012-10-22$37.92$40.0032.6%9.3%26.4%20.1%37.0%5.1%2.4%3.7K78.6K-1.4K0.0098.21N/AN/A10273136
2012-10-23$37.85$40.0031.4%9.0%22.3%18.2%0.0%4.7%1.0%3.2K87.8K-1.4K0.0097.13N/AN/A50274136
2012-10-24$37.50$40.0031.8%9.1%22.5%18.8%0.0%5.5%12.8%2.5K100.0K-1.4K0.0098.67N/AN/A40279136
2012-10-25$37.86$40.0033.6%9.6%21.4%21.9%33.6%3.4%1.6%4.2K63.5K-1.5K0.50100.46N/AN/A21283136
2012-10-26$37.89$40.0035.0%10.0%21.3%24.3%0.0%2.4%-0.3%4.3K61.8K-1.4K0.0098.12N/AN/A030285137
2012-10-31$38.84$40.0035.6%10.2%22.2%25.2%0.0%7.1%0.0%3.7K76.3K-1.6K0.00100.11N/AN/A40285167