VSAT Options History — November 2012

In November 2012, VSAT traded between $35.17 and $40.36. ATM implied volatility averaged 35.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.1% (HV 20d: 33.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.73.

Notable Days

  • 2012-11-06: Highest Volume — 639 contracts
  • 2012-11-29: Largest IV drop — 26.4% change
  • 2012-11-06: Highest IV Rank — 38.7%
  • 2012-11-12: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.93$35.17$40.36$39.71$38.23
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV35.8%21.9%43.6%36.8%21.9%
Expected Move10.0%6.3%11.2%10.6%6.3%
HV 20d33.7%21.3%37.7%23.1%36.9%
HV 60d27.3%22.9%29.2%24.4%29.0%
IV Rank25.6%2.1%38.7%27.3%2.1%
IV Percentile41.9%0.8%74.2%44.8%0.8%
Term Structure-0.5%-11.7%6.1%-0.6%6.1%
VWIV31.8%21.8%41.7%41.7%29.4%
Skew 25d6.7%-1.4%17.1%1.3%8.7%
Skew 10d9.7%-0.7%25.6%2.7%12.8%
Call IV 25d29.2%23.4%34.6%32.3%25.8%
Put IV 25d36.0%31.1%43.5%33.6%34.5%
Bid-Ask Spread %96.3887.29103.34101.5597.15
Gamma HHI0.530.350.660.350.53
Net GEX21.8K-14.1K44.3K6.5K43.3K
Net DEX172.8K-179.7K797.5K1.1K89.8K
Net VEX-3.5K-6.4K-1.7K-1.7K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.730.1122.001.700.15
Total Volume74.3330639300
Total OI1,055.194521,5154521,515

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$39.71$40.0036.8%10.6%23.1%27.3%0.0%1.3%-0.6%6.5K1.1K-1.7K0.00101.55N/AN/A030285167
2012-11-02$39.60$40.0037.4%10.7%23.1%28.3%0.0%2.0%-1.5%3.2K75.9K-1.8K0.00101.88N/AN/A00285193
2012-11-05$40.14$40.0037.0%10.4%23.4%27.6%41.7%5.4%-2.3%5.1K16.9K-1.8K1.7087.57N/AN/A2034285193
2012-11-06$40.36$40.0043.6%10.2%21.3%38.7%35.5%5.9%-1.4%6.3K-12.9K-2.0K0.1987.62N/AN/A535104302227
2012-11-07$37.95$40.0038.1%9.1%29.9%29.6%0.0%9.9%1.9%44.3K-179.7K-4.4K4.4092.23N/AN/A522809331
2012-11-08$35.70$40.0043.2%10.5%36.7%38.1%21.8%-1.4%0.5%28.5K330.7K-3.1K5.0094.01N/AN/A1680809312
2012-11-09$36.40$40.0032.6%10.5%37.4%20.1%0.0%7.5%-0.7%41.1K76.0K-3.2K1.4687.29N/AN/A2435823258
2012-11-12$36.30$40.0036.9%11.2%36.5%27.4%0.0%2.3%-2.9%40.0K88.4K-3.3K1.0095.69N/AN/A11833269
2012-11-13$35.82$40.0039.2%10.8%36.7%31.3%0.0%0.5%-0.7%34.6K192.7K-3.0K5.2096.34N/AN/A526833268
2012-11-14$35.45$40.0040.7%10.9%36.7%33.9%22.8%7.2%-1.3%31.0K222.0K-2.8K0.0098.86N/AN/A05838266
2012-11-15$35.17$40.0035.5%10.2%36.5%25.1%35.2%4.8%1.3%25.8K307.7K-2.5K22.0098.59N/AN/A122837260
2012-11-16$35.37$40.0035.7%10.2%36.5%25.5%0.0%6.8%1.7%25.8K265.3K-2.6K0.0099.22N/AN/A01837269
2012-11-19$35.72$40.0036.6%10.5%36.3%27.0%36.6%6.1%-0.8%27.5K-29.0K-2.6K3.2098.78N/AN/A516774186
2012-11-20$35.41$40.0035.8%10.3%35.9%25.6%35.8%17.1%-1.8%22.9K37.1K-2.4K0.1192.69N/AN/A91774202
2012-11-21$35.65$40.0035.7%10.2%36.1%25.4%0.0%17.1%0.2%25.8K-1.6K-2.6K0.0094.05N/AN/A00783202
2012-11-23$35.95$40.0032.1%9.2%36.3%19.4%0.0%14.4%-11.7%21.7K56.3K-2.2K0.00103.34N/AN/A0500783202
2012-11-26$35.68$40.0036.3%10.4%36.3%26.4%27.7%4.6%-0.6%-14.1K797.5K-6.0K0.4098.03N/AN/A52783702
2012-11-27$36.19$40.0034.5%9.9%36.5%23.4%0.0%0.8%2.4%831617.7K-6.3K0.0098.67N/AN/A018788702
2012-11-28$36.76$40.0035.6%10.2%37.1%25.3%0.0%14.6%-0.9%6.8K531.6K-6.3K0.00102.55N/AN/A00788699
2012-11-29$37.92$40.0026.2%7.5%37.7%9.4%29.4%5.4%1.8%31.4K145.0K-6.4K0.1597.83N/AN/A335788699
2012-11-30$38.23$40.0021.9%6.3%36.9%2.1%0.0%8.7%6.1%43.3K89.8K-6.4K0.0097.15N/AN/A00811704