VSAT Options History — July 2013

In July 2013, VSAT traded between $66.06 and $70.62. ATM implied volatility averaged 44.5%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 19.4% (HV 20d: 25.1%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 26.52.

Notable Days

  • 2013-07-29: Highest Volume — 227 contracts
  • 2013-07-11: Largest IV spike — 34.0% change
  • 2013-07-31: Highest IV Rank — 49.5%
  • 2013-07-31: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.38$66.06$70.62$70.02$66.79
Max Pain$70.45$65.00$75.00$75.00$70.00
ATM IV44.5%31.7%56.7%33.9%56.7%
Expected Move13.4%9.1%16.3%9.7%16.3%
HV 20d25.1%18.1%30.8%30.8%18.1%
HV 60d49.3%48.4%51.1%51.1%48.4%
IV Rank32.7%15.1%49.5%18.2%49.5%
IV Percentile79.6%31.0%94.8%50.4%94.8%
Term Structure-4.2%-11.3%15.1%7.6%-9.4%
VWIV47.0%21.7%57.5%21.7%57.5%
Skew 25d3.1%-3.1%8.0%-3.1%3.7%
Skew 10d5.4%-9.2%19.9%1.7%2.9%
Call IV 25d44.5%26.9%54.1%32.2%53.4%
Put IV 25d47.6%29.1%57.1%29.1%57.1%
Bid-Ask Spread %81.1152.87104.12104.1287.67
Gamma HHI0.330.180.470.340.18
Net GEX-45.1K-83.2K9-39.1K-68.2K
Net DEX-1.2M-1.8M-360.4K-1.6M-360.4K
Net VEX-21.8K-22.5K-20.9K-22.1K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio26.520.00226.000.361.83
Total Volume45.90902271517
Total OI1,891.8641,7012,3311,7012,331

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$70.02$75.0033.9%9.7%30.8%18.2%21.7%-3.1%7.6%-39.1K-1.6M-22.1K0.36104.12N/AN/A114790911
2013-07-02$69.40$75.0034.4%9.9%30.3%18.9%35.3%5.0%10.6%-39.9K-1.4M-22.5K41.0097.47N/AN/A141801913
2013-07-03$69.27$75.0031.7%9.1%27.9%15.1%0.0%5.1%15.1%-48.5K-1.2M-22.5K0.14101.05N/AN/A71802933
2013-07-05$70.03$70.0035.0%13.2%26.7%19.8%45.8%4.9%-2.7%-46.0K-1.5M-22.3K0.0058.96N/AN/A10809934
2013-07-08$70.08$70.0035.2%13.7%25.9%20.0%0.0%3.6%-5.2%-50.6K-1.5M-21.8K0.0058.32N/AN/A00810934
2013-07-09$70.01$70.0034.8%13.8%25.9%19.4%50.2%3.6%-5.6%-52.6K-1.5M-21.6K0.0952.87N/AN/A222810934
2013-07-10$70.62$65.0033.8%12.7%26.1%18.0%43.4%4.7%-3.7%-49.5K-1.8M-21.5K1.3571.22N/AN/A3750832934
2013-07-11$67.89$70.0045.3%13.0%29.5%33.8%47.8%4.0%-3.0%-55.1K-836.4K-22.1K0.0064.51N/AN/A039869984
2013-07-12$68.48$70.0045.9%13.2%29.5%34.6%45.7%4.4%-3.6%-60.9K-1.0M-22.4K0.2060.40N/AN/A2048691,006
2013-07-15$68.51$70.0046.7%13.4%29.4%35.8%51.6%4.9%-3.7%-67.0K-1.1M-22.1K1.0070.04N/AN/A12128891,007
2013-07-16$68.04$70.0046.2%13.3%28.8%35.1%49.3%3.3%-6.5%-76.0K-1.1M-21.9K0.0084.69N/AN/A0279001,021
2013-07-17$68.02$70.0045.6%13.1%26.9%34.3%0.0%3.0%-5.9%-66.1K-935.7K-21.7K0.5479.25N/AN/A26149001,027
2013-07-18$68.78$70.0047.1%13.5%24.8%36.3%0.0%2.9%-7.5%-83.2K-1.1M-21.9K0.0095.97N/AN/A008981,018
2013-07-19$68.38$70.0048.1%13.8%24.8%37.7%46.8%-1.9%-7.9%-57.6K-954.8K-21.6K6.0090.27N/AN/A10608981,014
2013-07-22$68.62$70.0048.4%13.9%24.9%38.1%45.4%3.5%-10.0%9-1.6M-20.9K3.9089.19N/AN/A1039899914
2013-07-23$68.17$70.0047.6%13.6%24.0%36.9%46.1%8.0%-11.3%-117-1.6M-21.2K0.0089.78N/AN/A120909953
2013-07-24$67.22$70.0050.2%14.4%21.3%40.5%51.4%1.8%-6.8%-2.3K-1.4M-21.2K0.0086.11N/AN/A061920953
2013-07-25$66.88$70.0053.5%15.3%21.3%45.1%49.5%5.3%-9.3%-8.3K-1.1M-21.3K2.8088.57N/AN/A10289201,014
2013-07-26$66.32$70.0051.2%14.7%19.1%41.9%52.3%1.8%-8.8%-15.2K-888.6K-21.1K162.0082.60N/AN/A11629301,041
2013-07-29$66.06$70.0052.1%14.9%18.5%43.2%53.1%1.2%-6.9%-38.9K-504.8K-21.6K226.0084.89N/AN/A12269311,162
2013-07-30$66.83$70.0055.1%15.8%18.2%47.3%53.0%-0.7%-8.5%-67.4K-440.9K-22.5K3.6786.58N/AN/A9339321,365
2013-07-31$66.79$70.0056.7%16.3%18.1%49.5%57.5%3.7%-9.4%-68.2K-360.4K-22.3K1.8387.67N/AN/A6119391,392