VSAT Options History — August 2013

In August 2013, VSAT traded between $63.73 and $68.69. ATM implied volatility averaged 38.7%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 19.2% (HV 20d: 19.5%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2013-08-06: Highest Volume — 929 contracts
  • 2013-08-07: Largest IV drop — 53.3% change
  • 2013-08-06: Highest IV Rank — 76.5%
  • 2013-08-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.89$63.73$68.69$67.37$63.73
Max Pain$56.36$55.00$70.00$70.00$55.00
ATM IV38.7%25.6%76.4%66.0%30.8%
Expected Move10.2%7.3%18.9%18.9%8.8%
HV 20d19.5%13.7%28.2%18.4%28.2%
HV 60d31.1%22.7%48.4%48.4%24.4%
IV Rank24.8%6.7%76.5%62.2%13.9%
IV Percentile47.0%3.6%98.0%96.4%23.0%
Term Structure0.7%-22.4%12.0%-20.1%4.4%
VWIV39.9%28.8%65.9%58.8%32.9%
Skew 25d3.8%-2.4%8.1%5.7%8.1%
Skew 10d6.3%-4.9%37.1%14.0%5.6%
Call IV 25d33.7%25.2%59.4%59.4%25.2%
Put IV 25d37.5%30.0%65.1%65.1%33.3%
Bid-Ask Spread %94.7979.71105.0086.5896.20
Gamma HHI0.320.170.730.180.22
Net GEX-80.8K-312.0K23.1K-71.8K488
Net DEX-1.2M-2.0M-407.0K-532.2K-638.9K
Net VEX-18.2K-23.3K-15.4K-22.0K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.0011.000.110.00
Total Volume88.22709292112
Total OI2,520.6821,6813,5702,3481,787

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$67.37$70.0066.0%18.9%18.4%62.2%58.8%5.7%-20.1%-71.8K-532.2K-22.0K0.1186.58N/AN/A1929451,403
2013-08-02$67.83$70.0063.9%18.3%18.1%59.4%65.9%6.5%-22.4%-66.0K-767.0K-22.3K0.0789.19N/AN/A5949631,405
2013-08-05$68.29$55.0066.7%11.1%18.4%63.2%0.0%4.8%-1.5%-51.3K-1.1M-21.4K5.7291.97N/AN/A724121,0191,405
2013-08-06$67.29$55.0076.4%13.9%19.0%76.5%47.4%2.3%-7.0%-104.0K-503.3K-23.3K6.3779.71N/AN/A1268031,0881,809
2013-08-07$66.15$55.0035.6%9.8%19.3%20.6%34.3%0.6%4.5%-272.2K-491.0K-22.2K0.2486.72N/AN/A172421,1692,401
2013-08-08$66.12$55.0028.9%8.7%13.7%11.3%30.5%3.2%6.4%-228.4K-407.0K-19.5K0.7396.45N/AN/A22161,1042,416
2013-08-09$67.29$55.0032.5%9.5%14.9%16.2%0.0%5.0%8.4%-198.2K-781.4K-20.4K0.0092.06N/AN/A0161,0962,417
2013-08-12$67.29$55.0037.4%9.4%14.9%22.9%0.0%2.6%5.0%-312.0K-1.3M-18.3K0.0090.94N/AN/A001,0942,417
2013-08-13$68.49$55.0038.2%8.7%16.1%24.1%0.0%3.4%5.1%-123.7K-1.4M-18.6K11.0093.30N/AN/A1111,0942,417
2013-08-14$68.52$55.0033.5%9.1%16.1%17.6%0.0%5.7%4.1%-41.7K-2.0M-18.1K0.0093.75N/AN/A001,0882,428
2013-08-15$67.01$55.0033.6%9.6%17.4%17.7%0.0%5.1%7.5%-205.2K-1.1M-17.7K0.0093.73N/AN/A001,0092,397
2013-08-16$66.73$55.0030.6%8.8%17.4%13.7%0.0%6.2%8.5%-234.4K-1.3M-16.8K0.0099.99N/AN/A1801,0092,397
2013-08-19$66.43$55.0029.8%8.5%17.3%12.6%0.0%2.3%-1.6%1.7K-1.4M-15.9K0.00100.12N/AN/A240808873
2013-08-20$67.49$55.0025.6%7.3%18.3%6.7%0.0%2.8%12.0%20.6K-1.6M-15.7K0.00105.00N/AN/A010832873
2013-08-21$66.37$55.0032.2%9.2%18.6%15.8%0.0%7.3%-0.2%4.4K-1.4M-16.4K0.2494.14N/AN/A215832883
2013-08-22$68.23$55.0028.4%8.1%21.0%10.6%0.0%4.9%3.8%22.2K-1.9M-16.2K0.0095.37N/AN/A20853888
2013-08-23$68.69$55.0029.2%8.4%20.8%11.8%29.6%1.6%2.5%22.7K-2.0M-16.3K0.0094.89N/AN/A20855888
2013-08-26$67.39$55.0034.2%9.8%22.0%18.6%0.0%-2.4%-3.1%16.0K-1.9M-16.1K0.1099.04N/AN/A303857888
2013-08-27$64.61$55.0033.2%9.5%26.4%17.2%28.8%2.1%-4.1%11.2K-1.5M-16.3K0.00103.98N/AN/A013887891
2013-08-28$64.71$55.0033.0%9.5%26.4%17.0%31.1%-0.4%1.6%8.2K-1.2M-16.2K0.00100.01N/AN/A160887898
2013-08-29$65.58$55.0032.8%9.4%26.7%16.7%32.9%6.7%2.1%23.1K-1.1M-15.4K0.00102.32N/AN/A80887898
2013-08-30$63.73$55.0030.8%8.8%28.2%13.9%0.0%8.1%4.4%488-638.9K-15.4K0.0096.20N/AN/A120889898