VSAT Options History — March 2013

In March 2013, VSAT traded between $46.21 and $48.58. ATM implied volatility averaged 28.9%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 3.8% (HV 20d: 32.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-03-08: Highest Volume — 104 contracts
  • 2013-03-12: Largest IV drop — 24.1% change
  • 2013-03-01: Highest IV Rank — 23.7%
  • 2013-03-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.22$46.21$48.58$46.58$48.44
Max Pain$44.00$40.00$50.00$50.00$45.00
ATM IV28.9%24.0%34.7%34.7%27.0%
Expected Move8.4%7.4%9.9%9.9%7.7%
HV 20d32.7%12.8%81.1%81.1%12.8%
HV 60d49.9%49.0%50.5%50.4%49.0%
IV Rank14.0%5.7%23.7%23.7%10.7%
IV Percentile17.1%2.8%54.4%54.4%8.7%
Term Structure3.2%-2.4%6.2%-2.4%3.6%
VWIV28.3%25.4%30.3%29.9%25.4%
Skew 25d4.1%-0.9%13.8%13.8%1.9%
Skew 10d12.6%0.5%26.8%12.7%5.9%
Call IV 25d26.9%21.2%29.7%21.2%24.7%
Put IV 25d31.0%24.8%37.6%35.0%26.5%
Bid-Ask Spread %95.1586.77102.22102.22101.77
Gamma HHI0.570.410.850.560.42
Net GEX-18.3K-55.4K8.9K-25.8K8.8K
Net DEX-267.6K-761.4K186.1K-77.2K-738.3K
Net VEX-2.6K-3.0K-2.2K-2.7K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.004.470.000.00
Total Volume18.45010400
Total OI985.154611,4611,273580

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$46.58$50.0034.7%9.9%81.1%23.7%0.0%13.8%-2.4%-25.8K-77.2K-2.7K0.00102.22N/AN/A00373900
2013-03-04$46.39$40.0034.0%9.5%81.1%22.5%0.0%8.2%0.8%-28.1K-38.8K-2.6K0.0089.71N/AN/A00373900
2013-03-05$46.73$40.0028.5%9.6%80.7%13.3%29.9%8.0%-0.2%-26.9K-90.5K-2.5K0.0090.19N/AN/A20373900
2013-03-06$46.90$40.0028.9%9.2%80.4%14.0%0.0%5.8%1.5%-32.6K-60.1K-2.3K0.0089.08N/AN/A00375900
2013-03-07$46.45$40.0034.6%8.8%80.6%23.6%30.3%5.4%2.4%-32.1K-15.9K-2.2K0.0090.67N/AN/A06375900
2013-03-08$46.79$40.0029.8%8.2%22.3%15.4%28.2%4.6%4.7%-29.5K-71.5K-2.3K4.4786.77N/AN/A1985375906
2013-03-11$46.21$45.0031.7%9.0%17.9%18.6%0.0%6.6%1.4%-55.4K186.1K-2.5K0.0091.73N/AN/A100371991
2013-03-12$46.25$45.0024.0%7.8%17.9%5.7%27.2%5.8%5.5%-54.7K132.3K-2.3K2.1990.61N/AN/A3270381991
2013-03-13$46.76$45.0029.6%8.6%18.3%15.2%29.5%5.9%2.8%-36.3K66.6K-2.7K0.3894.09N/AN/A834091,047
2013-03-14$47.02$45.0028.3%8.1%18.4%12.9%27.5%-0.4%4.3%-25.4K-5.0K-2.7K0.0095.92N/AN/A094111,050
2013-03-15$47.21$45.0028.4%8.1%18.4%13.1%28.4%1.3%4.3%-26.0K-39.3K-2.6K0.0094.09N/AN/A064111,050
2013-03-18$46.62$45.0030.3%8.7%18.8%16.3%28.4%0.7%2.8%-15.4K-279.0K-2.6K0.0096.99N/AN/A700224237
2013-03-19$46.99$45.0028.4%8.1%17.4%13.1%28.2%3.1%4.5%-8.7K-389.1K-3.0K0.0093.18N/AN/A110294237
2013-03-20$47.45$45.0029.0%8.3%15.1%14.0%0.0%2.3%4.0%-3.3K-494.0K-2.9K0.00100.44N/AN/A00305237
2013-03-21$47.96$45.0026.5%7.6%15.5%9.9%0.0%1.8%4.6%1.5K-592.6K-2.9K0.0096.99N/AN/A230305237
2013-03-22$48.48$45.0026.2%7.5%15.9%9.4%0.0%1.9%3.4%5.4K-689.9K-2.9K0.0098.88N/AN/A00328237
2013-03-25$48.19$45.0026.8%7.7%14.2%10.3%0.0%3.8%6.2%2.4K-669.4K-2.8K0.0097.06N/AN/A100328237
2013-03-26$48.58$45.0025.7%7.4%14.3%8.5%25.4%3.2%5.1%8.9K-761.4K-2.8K0.00101.98N/AN/A05338237
2013-03-27$48.44$45.0026.3%7.5%12.8%9.6%0.0%-0.9%4.5%7.3K-724.6K-2.9K0.00100.60N/AN/A00338242
2013-03-28$48.44$45.0027.0%7.7%12.8%10.7%0.0%1.9%3.6%8.8K-738.3K-2.8K0.00101.77N/AN/A00338242