VSAT Options History — January 2013

In January 2013, VSAT traded between $37.62 and $40.25. ATM implied volatility averaged 33.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 7.5% (HV 20d: 26.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-01-24: Highest Volume — 52 contracts
  • 2013-01-28: Largest IV spike — 142.3% change
  • 2013-01-28: Highest IV Rank — 99.5%
  • 2013-01-28: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.68$37.62$40.25$40.25$38.41
Max Pain$39.52$35.00$40.00$35.00$40.00
ATM IV33.8%26.2%79.5%27.7%33.6%
Expected Move9.9%7.9%22.8%7.9%9.6%
HV 20d26.3%20.3%30.4%26.9%20.3%
HV 60d29.0%28.6%29.5%29.3%28.6%
IV Rank22.2%9.3%99.5%11.9%21.9%
IV Percentile31.7%4.8%99.6%6.7%46.0%
Term Structure-0.5%-23.3%3.9%3.9%1.8%
VWIV36.1%32.1%40.2%32.1%40.2%
Skew 25d6.7%-4.7%37.2%37.2%7.1%
Skew 10d14.9%-2.3%63.2%63.2%9.7%
Call IV 25d30.2%23.4%36.4%26.3%33.5%
Put IV 25d36.9%26.4%63.5%63.5%40.6%
Bid-Ask Spread %95.3545.63122.2096.49103.32
Gamma HHI0.760.620.890.630.89
Net GEX-37.9K-49.5K-25.2K-25.2K-46.9K
Net DEX389.7K205.6K540.4K205.6K430.7K
Net VEX-3.4K-3.9K-3.1K-3.4K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.600.000.00
Total Volume5.52405202
Total OI720.571681756711756

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$40.25$35.0027.7%7.9%26.9%11.9%0.0%37.2%3.9%-25.2K205.6K-3.4K0.0096.49N/AN/A00103608
2013-01-03$39.67$35.0029.7%8.5%27.3%15.3%0.0%10.4%1.6%-29.3K258.4K-3.6K0.0096.11N/AN/A20103608
2013-01-04$39.83$40.0026.2%8.9%26.9%9.3%0.0%8.6%0.8%-25.9K227.9K-3.4K0.0096.49N/AN/A00105608
2013-01-07$39.34$40.0030.2%9.2%27.2%16.1%0.0%3.6%-0.1%-27.8K321.5K-3.5K0.0045.63N/AN/A010105608
2013-01-08$39.60$40.0028.5%9.1%27.2%13.2%0.0%8.4%2.0%-29.7K290.3K-3.5K0.0096.29N/AN/A00105618
2013-01-09$38.98$40.0028.5%9.2%27.8%13.3%0.0%-1.1%-0.6%-31.4K318.9K-3.5K0.0091.37N/AN/A00105618
2013-01-10$37.66$40.0031.8%9.1%30.4%18.8%0.0%3.2%0.0%-44.1K537.0K-3.7K0.0091.34N/AN/A100105618
2013-01-11$37.62$40.0032.6%9.4%30.4%20.2%0.0%1.7%0.9%-43.2K540.4K-3.9K0.0090.91N/AN/A00109618
2013-01-14$37.74$40.0032.6%9.3%30.2%20.2%0.0%4.4%-0.0%-44.4K534.4K-3.7K0.0093.67N/AN/A00109618
2013-01-15$38.01$40.0032.5%9.3%30.3%20.0%0.0%5.6%0.6%-41.4K475.9K-3.6K0.0094.66N/AN/A30109618
2013-01-16$37.91$40.0032.5%9.3%30.4%20.1%0.0%2.3%1.3%-40.3K478.2K-3.6K0.0096.15N/AN/A010109618
2013-01-17$38.49$40.0030.9%8.9%23.9%17.3%0.0%4.7%2.4%-39.0K419.4K-3.4K0.0098.36N/AN/A00109618
2013-01-18$38.67$40.0031.5%9.0%24.0%18.3%0.0%4.3%1.1%-33.5K368.8K-3.2K0.0097.59N/AN/A20109618
2013-01-22$38.46$40.0033.0%9.5%24.0%20.8%0.0%3.0%0.4%-41.1K394.2K-3.3K0.0099.99N/AN/A0088593
2013-01-23$38.09$40.0033.1%9.5%24.2%21.0%0.0%4.6%0.4%-42.4K405.4K-3.2K0.0097.83N/AN/A0088593
2013-01-24$38.85$40.0032.0%9.2%24.3%19.2%32.1%5.4%1.5%-41.9K358.3K-3.1K1.6096.78N/AN/A203288593
2013-01-25$38.72$40.0032.8%9.4%24.3%20.6%0.0%-4.7%0.5%-44.9K397.9K-3.4K0.00101.09N/AN/A00108623
2013-01-28$38.78$40.0079.5%22.8%24.3%99.5%0.0%22.7%-23.3%-30.9K411.7K-3.4K0.00122.20N/AN/A50108623
2013-01-29$38.96$40.0034.0%9.8%24.1%22.6%40.2%5.9%-0.1%-42.4K349.2K-3.2K0.0097.18N/AN/A020113623
2013-01-30$38.15$40.0036.7%10.5%23.9%27.1%0.0%3.7%-5.1%-49.5K460.6K-3.4K0.0098.85N/AN/A00113643
2013-01-31$38.41$40.0033.6%9.6%20.3%21.9%0.0%7.1%1.8%-46.9K430.7K-3.3K0.00103.32N/AN/A20113643