VSAT Options History — April 2013

In April 2013, VSAT traded between $45.53 and $49.50. ATM implied volatility averaged 35.6%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.8% (HV 20d: 28.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2013-04-12: Highest Volume — 50 contracts
  • 2013-04-11: Largest IV spike — 48.2% change
  • 2013-04-29: Highest IV Rank — 34.3%
  • 2013-04-29: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.27$45.53$49.50$46.91$48.47
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV35.6%25.6%40.9%30.1%37.5%
Expected Move10.4%7.6%11.7%8.6%10.8%
HV 20d28.9%17.2%37.2%17.2%35.7%
HV 60d50.4%48.9%51.6%49.1%51.6%
IV Rank25.3%8.3%34.3%16.0%28.5%
IV Percentile53.7%4.4%77.4%20.6%65.5%
Term Structure-2.2%-8.0%7.9%4.1%-4.9%
VWIV36.8%21.5%41.6%21.5%38.3%
Skew 25d6.6%0.6%14.9%14.9%12.2%
Skew 10d13.0%2.2%43.6%43.6%12.7%
Call IV 25d32.1%18.4%39.0%18.7%34.0%
Put IV 25d38.7%26.9%46.2%33.6%46.2%
Bid-Ask Spread %91.8782.56106.69102.9586.13
Gamma HHI0.590.430.810.460.75
Net GEX5.9K-59.1K33.7K-5.7K32.1K
Net DEX-706.1K-1.1M-386.6K-478.9K-819.6K
Net VEX-2.7K-3.3K-2.3K-2.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0011.001.250.00
Total Volume13.045050450
Total OI601.227462713580480

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$46.91$45.0030.1%8.6%17.2%16.0%21.5%14.9%4.1%-5.7K-478.9K-2.7K1.25102.95N/AN/A2025338242
2013-04-02$47.07$45.0028.1%8.0%17.2%12.5%0.0%6.7%7.9%-8.6K-544.2K-3.0K0.00106.69N/AN/A00358262
2013-04-03$46.59$45.0026.7%7.6%17.4%10.1%0.0%8.5%7.7%-9.6K-508.1K-2.9K0.00104.24N/AN/A410358262
2013-04-04$46.50$45.0029.0%8.3%17.4%14.2%0.0%7.0%6.7%-4.1K-577.0K-3.2K0.0090.91N/AN/A00399262
2013-04-05$45.53$45.0029.7%11.3%18.6%15.2%0.0%7.8%-1.5%-12.3K-386.6K-3.3K0.0093.55N/AN/A70399262
2013-04-08$47.17$45.0033.1%9.1%22.5%21.0%0.0%6.8%5.8%3.8K-622.3K-2.9K0.00105.31N/AN/A00402262
2013-04-09$46.98$45.0035.2%10.5%22.1%24.6%0.0%6.8%-2.2%-88-663.9K-3.0K0.0096.93N/AN/A00402262
2013-04-10$48.79$45.0025.6%9.8%25.7%8.3%0.0%4.2%-2.0%23.2K-1.1M-2.5K0.0091.22N/AN/A90402262
2013-04-11$48.81$45.0037.9%10.9%25.5%29.2%38.9%5.9%-5.3%12.9K-1.0M-2.6K2.0092.25N/AN/A48396262
2013-04-12$49.50$45.0037.0%10.6%25.8%27.6%37.8%5.5%-6.4%33.7K-1.1M-2.5K0.4386.73N/AN/A3515400270
2013-04-15$46.58$45.0040.1%11.5%34.2%32.8%37.7%3.7%-5.7%-8.2K-703.6K-2.8K0.1791.16N/AN/A295433280
2013-04-16$47.22$45.0040.6%11.6%34.3%33.6%36.3%8.3%-6.8%5.9K-787.8K-2.5K0.0088.90N/AN/A20408275
2013-04-17$46.71$45.0039.0%11.2%34.4%31.0%0.0%4.8%-3.8%-5.6K-711.4K-2.5K0.0089.99N/AN/A100410275
2013-04-18$45.64$45.0039.8%11.4%35.1%32.3%0.0%0.6%-3.9%-59.1K-513.0K-2.7K5.8390.86N/AN/A635420272
2013-04-19$45.77$45.0038.9%11.1%34.8%30.8%38.4%2.6%-3.0%-41.6K-590.6K-2.5K0.0082.56N/AN/A100421262
2013-04-22$46.28$45.0040.5%11.6%34.9%33.6%40.3%6.5%-5.6%23.3K-551.1K-2.3K0.0084.25N/AN/A30342120
2013-04-23$47.50$45.0039.4%11.3%36.2%31.6%37.5%2.1%-4.9%27.9K-696.7K-2.4K0.0086.25N/AN/A50345120
2013-04-24$48.16$45.0036.8%10.6%36.5%27.3%0.0%7.4%-4.8%31.3K-783.9K-2.5K0.0087.13N/AN/A00350120
2013-04-25$48.40$45.0037.0%10.6%36.5%27.7%41.6%10.0%-5.2%32.2K-853.7K-2.5K11.0091.18N/AN/A111350120
2013-04-26$47.42$45.0040.7%11.7%37.2%33.9%38.3%7.0%-5.8%29.0K-753.9K-2.5K0.0086.21N/AN/A60351131
2013-04-29$47.87$45.0040.9%11.7%35.5%34.3%0.0%6.7%-8.0%28.7K-761.8K-2.4K0.0085.65N/AN/A00349131
2013-04-30$48.47$45.0037.5%10.8%35.7%28.5%0.0%12.2%-4.9%32.1K-819.6K-2.3K0.0086.13N/AN/A00349131