VSAT Options History — May 2013

In May 2013, VSAT traded between $47.32 and $71.64. ATM implied volatility averaged 47.2%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 8.2% (HV 20d: 55.4%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-05-17: Highest Volume — 921 contracts
  • 2013-05-16: Largest IV drop — 51.7% change
  • 2013-05-13: Highest IV Rank — 100.0%
  • 2013-05-16: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.70$47.32$71.64$47.32$70.06
Max Pain$48.86$40.00$55.00$45.00$55.00
ATM IV47.2%35.1%93.5%43.0%35.1%
Expected Move11.0%9.5%12.9%12.3%10.1%
HV 20d55.4%32.7%73.3%36.7%72.6%
HV 60d42.4%25.7%51.9%51.9%49.3%
IV Rank40.8%19.8%100.0%37.9%19.8%
IV Percentile76.2%54.0%100.0%80.2%54.0%
Term Structure-2.3%-8.5%4.0%-5.2%1.4%
VWIV38.4%30.4%46.8%38.6%35.4%
Skew 25d4.0%1.2%11.0%6.4%3.8%
Skew 10d10.3%-0.3%41.8%5.8%21.0%
Call IV 25d36.5%31.2%42.3%37.6%33.6%
Put IV 25d40.4%36.2%46.4%44.0%37.4%
Bid-Ask Spread %60.0825.7194.9593.6183.96
Gamma HHI0.430.220.820.750.26
Net GEX55.4K25.4K113.7K29.1K37.8K
Net DEX-3.8M-9.9M-705.9K-705.9K-4.2M
Net VEX-10.1K-18.7K-1.9K-2.3K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.006.850.000.03
Total Volume170.509215140
Total OI1,279.9094802,0824801,792

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$47.32$45.0043.0%12.3%36.7%37.9%38.6%6.4%-5.2%29.1K-705.9K-2.3K0.0093.61N/AN/A50349131
2013-05-02$48.27$45.0038.2%10.9%37.3%29.6%0.0%7.4%-5.9%32.6K-776.6K-2.2K0.0094.95N/AN/A100349131
2013-05-03$49.39$45.0036.8%10.5%36.9%27.3%30.4%11.0%-3.9%39.6K-962.4K-2.3K0.0093.59N/AN/A10359131
2013-05-06$49.73$40.0040.8%9.5%35.1%34.1%0.0%5.0%-0.9%40.3K-1.0M-2.1K0.0065.80N/AN/A00358131
2013-05-07$49.99$40.0044.7%9.5%35.0%40.6%0.0%4.7%-0.5%39.6K-1.0M-2.1K0.0073.84N/AN/A1000358131
2013-05-08$50.58$40.0046.6%9.9%32.7%43.8%34.8%4.1%-1.9%66.2K-1.4M-2.3K0.0074.15N/AN/A058458131
2013-05-09$56.52$45.0051.0%10.8%50.7%51.3%37.7%1.3%-2.2%25.4K-2.2M-1.9K0.0677.68N/AN/A50631458186
2013-05-10$58.68$45.0063.1%12.1%51.8%71.8%42.2%1.4%-2.3%70.7K-3.9M-7.3K0.1080.93N/AN/A34235912212
2013-05-13$58.42$45.0081.4%11.8%45.2%100.0%45.2%4.0%-6.7%102.9K-4.8M-10.5K0.1879.69N/AN/A130241,201229
2013-05-14$59.23$45.0081.4%12.1%45.2%99.9%42.5%5.0%-7.6%107.5K-5.1M-10.6K0.2076.37N/AN/A1531,252253
2013-05-15$59.71$45.0093.5%11.8%44.5%100.0%46.8%1.3%-3.0%113.7K-5.3M-10.1K0.9677.08N/AN/A1621561,260256
2013-05-16$59.81$50.0045.2%12.9%42.7%33.6%43.4%4.2%-8.5%99.1K-5.4M-11.1K1.0875.69N/AN/A2592791,340367
2013-05-17$71.38$50.0036.3%10.4%71.7%21.5%36.4%1.2%4.0%56.7K-9.9M-9.3K0.5039.22N/AN/A6163051,552530
2013-05-20$71.32$55.0037.2%10.7%72.1%22.7%35.5%4.1%0.3%54.7K-5.0M-11.9K1.8427.29N/AN/A701291,015403
2013-05-21$71.20$55.0037.2%10.7%72.6%22.8%36.8%3.1%-1.0%59.2K-5.2M-12.8K0.0028.19N/AN/A1501,048441
2013-05-22$70.55$55.0037.7%10.8%73.3%23.4%36.5%3.9%-1.9%58.9K-5.0M-13.0K6.8529.76N/AN/A392671,056441
2013-05-23$71.64$55.0037.7%10.8%73.1%23.4%37.8%2.1%-1.2%39.0K-4.7M-18.7K0.0029.13N/AN/A0131,081694
2013-05-24$71.57$55.0037.8%10.8%72.0%23.5%35.5%2.6%-1.2%37.7K-4.6M-18.7K1.5029.94N/AN/A231,081707
2013-05-28$70.86$55.0037.7%10.8%72.7%23.3%38.0%4.0%-0.8%34.7K-4.4M-18.3K0.4831.39N/AN/A23111,081710
2013-05-29$70.35$55.0038.2%11.0%73.3%24.1%38.2%2.8%-0.7%35.6K-4.3M-18.2K1.0033.76N/AN/A111,081710
2013-05-30$70.87$55.0037.3%10.7%71.7%22.8%0.0%3.5%-0.6%38.0K-4.4M-18.1K0.0025.71N/AN/A001,082710
2013-05-31$70.06$55.0035.1%10.1%72.6%19.8%35.4%3.8%1.4%37.8K-4.2M-17.9K0.0383.96N/AN/A13641,082710