VSAT Options History — June 2013

In June 2013, VSAT traded between $67.92 and $73.34. ATM implied volatility averaged 34.5%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 14.1% (HV 20d: 48.5%). Max pain ranged from $55.00 to $75.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.76.

Notable Days

  • 2013-06-18: Highest Volume — 217 contracts
  • 2013-06-21: Largest IV drop — 13.1% change
  • 2013-06-05: Highest IV Rank — 22.5%
  • 2013-06-05: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.79$67.92$73.34$71.42$71.46
Max Pain$71.00$55.00$75.00$55.00$75.00
ATM IV34.5%31.1%37.0%36.8%33.6%
Expected Move9.8%8.9%10.6%10.5%9.6%
HV 20d48.5%22.4%75.7%72.6%30.7%
HV 60d50.4%49.2%51.3%49.2%51.2%
IV Rank18.9%14.3%22.5%22.1%17.7%
IV Percentile49.0%26.6%65.5%60.3%46.8%
Term Structure6.2%-0.4%14.8%-0.1%10.7%
VWIV35.3%33.0%38.1%36.2%37.3%
Skew 25d3.3%1.6%7.6%2.7%7.6%
Skew 10d9.1%-0.4%19.5%6.5%14.0%
Call IV 25d32.9%26.5%36.3%34.7%26.5%
Put IV 25d36.2%33.6%38.8%37.4%34.1%
Bid-Ask Spread %56.2926.9999.8531.3696.62
Gamma HHI0.340.180.570.360.33
Net GEX38.1K-39.1K119.0K54.7K-33.5K
Net DEX-3.7M-5.4M-1.3M-4.7M-2.0M
Net VEX-19.6K-22.8K-17.2K-17.8K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0017.911.793.43
Total Volume50.750217390
Total OI1,907.81,6232,4501,8271,701

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$71.42$55.0036.8%10.5%72.6%22.1%36.2%2.7%-0.1%54.7K-4.7M-17.8K1.7931.36N/AN/A14251,121706
2013-06-04$70.13$55.0036.6%10.5%73.7%21.9%0.0%1.8%-0.4%46.5K-4.3M-17.7K0.0036.13N/AN/A1001,124722
2013-06-05$67.92$55.0037.0%10.6%75.6%22.5%38.1%3.0%-0.2%42.0K-3.7M-17.8K2.5026.99N/AN/A4101,134722
2013-06-06$69.65$55.0035.7%10.2%75.7%20.6%0.0%3.3%0.3%47.1K-4.1M-17.8K0.0032.05N/AN/A051,134727
2013-06-07$70.86$75.0036.5%10.0%66.9%21.7%34.9%2.8%4.6%55.5K-4.5M-17.7K3.5049.13N/AN/A6211,134724
2013-06-10$70.80$75.0036.1%9.9%66.3%21.2%34.4%3.0%4.6%56.0K-4.4M-17.3K1.0036.71N/AN/A22221,134729
2013-06-11$70.88$75.0036.9%10.1%66.1%22.3%34.5%3.2%5.2%57.4K-4.5M-17.2K3.8641.57N/AN/A21811,133728
2013-06-12$70.20$75.0035.5%9.9%66.5%20.4%33.8%2.6%5.9%51.7K-4.2M-18.3K0.0340.02N/AN/A3411,146805
2013-06-13$70.83$75.0034.3%9.8%66.5%18.7%0.0%3.5%5.6%59.6K-4.4M-18.4K0.0044.65N/AN/A001,155804
2013-06-14$70.40$75.0034.3%9.8%66.6%18.7%0.0%3.2%6.1%60.5K-4.3M-18.1K0.0043.48N/AN/A101,155804
2013-06-17$71.52$75.0034.9%10.0%22.4%19.5%0.0%2.3%5.6%69.6K-4.7M-17.9K0.0039.07N/AN/A8001,154804
2013-06-18$73.34$75.0033.0%9.5%24.1%16.9%33.0%2.5%7.6%119.0K-5.4M-17.6K0.7534.90N/AN/A124931,210804
2013-06-19$70.85$75.0033.5%9.6%27.3%17.6%34.1%1.6%7.0%88.1K-4.5M-21.2K17.9159.29N/AN/A111971,305897
2013-06-20$70.71$75.0035.8%10.3%27.1%20.8%36.4%2.4%5.6%78.1K-4.2M-22.5K0.0039.66N/AN/A01101,2951,075
2013-06-21$70.52$75.0031.1%8.9%26.5%14.3%34.5%3.4%9.0%49.1K-3.8M-22.7K1.1896.31N/AN/A11131,2951,155
2013-06-24$69.11$75.0033.5%9.6%27.3%17.6%36.8%3.3%10.7%-31.9K-1.3M-22.6K0.0093.92N/AN/A020776847
2013-06-25$71.26$75.0031.5%9.0%29.4%14.9%37.3%3.5%13.4%-39.1K-1.7M-22.1K3.4399.85N/AN/A1448776847
2013-06-26$71.13$75.0031.2%8.9%29.3%14.4%0.0%4.2%14.8%-35.8K-1.8M-22.8K0.0092.61N/AN/A06790894
2013-06-27$72.74$75.0031.4%9.0%30.3%14.8%0.0%6.2%8.9%-33.2K-2.2M-22.0K0.0091.53N/AN/A011790900
2013-06-28$71.46$75.0033.6%9.6%30.7%17.7%0.0%7.6%10.7%-33.5K-2.0M-22.1K0.0096.62N/AN/A00790911