VSAT Options History — December 2012

In December 2012, VSAT traded between $37.73 and $39.81. ATM implied volatility averaged 29.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.8% (HV 20d: 24.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 11.06.

Notable Days

  • 2012-12-04: Highest Volume — 88 contracts
  • 2012-12-24: Largest IV spike — 103.7% change
  • 2012-12-24: Highest IV Rank — 65.1%
  • 2012-12-24: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.47$37.73$39.81$38.62$38.90
Max Pain$36.00$35.00$40.00$40.00$35.00
ATM IV29.3%22.1%59.2%24.0%28.0%
Expected Move8.7%6.9%17.0%6.9%8.0%
HV 20d24.5%17.2%37.1%37.1%24.3%
HV 60d28.6%27.6%29.5%29.0%28.5%
IV Rank14.6%2.4%65.1%5.6%12.3%
IV Percentile11.4%1.2%97.6%1.6%6.7%
Term Structure1.8%-10.9%5.8%5.8%4.6%
VWIV30.4%28.7%32.1%30.3%28.7%
Skew 25d4.5%-4.7%27.3%27.3%-1.8%
Skew 10d9.3%-2.6%33.7%33.7%-2.6%
Call IV 25d30.5%23.9%81.9%25.6%28.2%
Put IV 25d35.0%24.5%83.7%52.9%26.4%
Bid-Ask Spread %99.4089.40134.3597.94100.66
Gamma HHI0.640.520.820.620.69
Net GEX73.5K-36.7K310.9K78.4K-33.8K
Net DEX206.8K-320.6K485.4K60.4K386.6K
Net VEX-4.9K-6.2K-3.7K-5.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.060.0043.0043.001.00
Total Volume11.45088120
Total OI1,325.26891,5561,515691

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$38.62$40.0024.0%6.9%37.1%5.6%0.0%27.3%5.8%78.4K60.4K-5.8K0.0097.94N/AN/A01811704
2012-12-04$38.34$40.0028.9%8.3%36.8%13.9%30.3%8.2%1.9%57.9K49.5K-6.2K43.00101.52N/AN/A286811705
2012-12-05$37.93$40.0026.6%7.6%36.8%10.1%0.0%3.6%-1.1%44.3K169.3K-6.0K0.00100.52N/AN/A035812725
2012-12-06$38.38$40.0024.8%7.1%29.9%7.0%0.0%9.6%4.3%64.9K221.2K-5.8K0.00100.04N/AN/A00812725
2012-12-07$38.22$35.0029.5%8.9%19.2%15.0%0.0%6.0%0.7%58.8K167.4K-5.8K0.0093.09N/AN/A00812725
2012-12-10$38.08$35.0026.6%9.0%18.4%10.0%0.0%7.0%1.0%54.8K164.9K-5.7K0.0093.55N/AN/A00812725
2012-12-11$38.35$35.0023.9%8.8%18.4%5.6%0.0%3.7%1.7%61.4K212.8K-5.5K0.0089.40N/AN/A00812725
2012-12-12$38.13$35.0022.1%9.1%17.7%2.4%0.0%2.1%1.2%46.9K140.3K-5.6K0.0094.04N/AN/A00812725
2012-12-13$37.76$35.0030.9%8.9%17.6%17.3%0.0%1.2%1.2%36.9K331.0K-5.2K0.0091.85N/AN/A00812725
2012-12-14$37.73$35.0030.3%8.7%17.2%16.4%32.1%2.9%1.7%34.8K330.0K-5.1K0.0094.09N/AN/A010812725
2012-12-17$37.76$35.0030.8%8.8%17.2%17.2%0.0%2.3%1.7%33.9K420.3K-4.9K0.0095.68N/AN/A00812735
2012-12-18$39.81$35.0028.7%8.2%24.6%13.6%28.7%1.3%3.5%310.9K-320.6K-4.5K0.2497.37N/AN/A348812735
2012-12-19$39.54$35.0029.8%8.5%24.4%15.4%0.0%1.4%2.1%310.2K-164.3K-4.3K0.0098.09N/AN/A10821735
2012-12-20$39.35$35.0029.6%8.5%24.7%15.1%0.0%-1.0%3.3%248.2K64.3K-4.3K0.00100.10N/AN/A030809728
2012-12-21$39.18$35.0029.1%8.3%24.9%14.2%0.0%8.5%3.9%193.7K98.5K-4.3K0.0094.11N/AN/A00809728
2012-12-24$38.43$35.0059.2%17.0%26.0%65.1%0.0%1.8%-10.9%-25.4K383.2K-3.9K0.00134.35N/AN/A0293596
2012-12-26$38.47$35.0025.2%7.2%25.7%7.7%0.0%4.7%4.1%-33.3K475.7K-4.0K0.00106.81N/AN/A0093598
2012-12-27$38.41$35.0029.0%8.3%25.3%14.1%0.0%5.2%2.9%-35.8K459.4K-4.0K0.0099.87N/AN/A0093598
2012-12-28$38.04$35.0029.2%8.4%23.2%14.4%0.0%-4.7%2.5%-36.7K485.4K-3.9K0.00104.88N/AN/A0093598
2012-12-31$38.90$35.0028.0%8.0%24.3%12.3%0.0%-1.8%4.6%-33.8K386.6K-3.7K1.00100.66N/AN/A101093598