VSAT Options History — September 2013

In September 2013, VSAT traded between $62.91 and $66.86. ATM implied volatility averaged 32.0%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.8% (HV 20d: 26.2%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2013-09-12: Highest Volume — 108 contracts
  • 2013-09-24: Largest IV spike — 27.2% change
  • 2013-09-04: Highest IV Rank — 30.5%
  • 2013-09-04: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.08$62.91$66.86$64.04$63.64
Max Pain$63.50$55.00$65.00$55.00$65.00
ATM IV32.0%23.8%42.9%34.6%29.6%
Expected Move9.2%6.8%12.3%9.9%8.5%
HV 20d26.2%19.6%28.7%28.1%19.6%
HV 60d23.3%21.9%24.8%24.1%22.1%
IV Rank15.6%4.4%30.5%19.1%12.3%
IV Percentile34.2%1.2%83.3%54.0%19.0%
Term Structure5.1%-8.7%17.1%-1.4%10.1%
VWIV27.4%17.4%33.8%19.7%17.4%
Skew 25d6.8%-5.1%25.1%12.7%6.2%
Skew 10d11.0%-5.8%29.6%9.6%29.6%
Call IV 25d28.1%19.2%33.8%24.1%28.5%
Put IV 25d34.9%28.7%44.3%36.7%34.7%
Bid-Ask Spread %98.3588.74108.13107.66106.53
Gamma HHI0.250.210.280.220.26
Net GEX16.0K5.9K28.8K11.8K5.9K
Net DEX-752.4K-1.4M371.1K-978.0K371.1K
Net VEX-13.2K-15.6K-10.8K-15.2K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.0011.000.001.25
Total Volume12.55010860
Total OI1,576.71,0851,7991,7951,157

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$64.04$55.0034.6%9.9%28.1%19.1%19.7%12.7%-1.4%11.8K-978.0K-15.2K0.00107.66N/AN/A60897898
2013-09-04$64.82$55.0042.9%12.3%28.3%30.5%0.0%25.1%-8.7%12.8K-941.6K-15.6K0.00108.13N/AN/A03901898
2013-09-05$65.25$55.0033.1%9.5%27.8%17.1%0.0%-5.1%2.9%18.2K-1.1M-15.2K0.00102.13N/AN/A00901898
2013-09-06$63.90$65.0030.1%9.7%28.7%13.0%0.0%4.4%4.9%18.3K-904.7K-14.8K0.0092.32N/AN/A50901898
2013-09-09$64.39$65.0032.6%9.8%28.1%16.3%0.0%5.0%4.1%28.8K-834.5K-14.2K0.0097.57N/AN/A00901898
2013-09-10$65.26$65.0034.2%10.0%28.6%18.6%0.0%5.5%6.5%24.6K-1.1M-14.6K0.0093.45N/AN/A02901898
2013-09-11$66.05$65.0035.6%9.5%28.2%20.5%0.0%5.3%5.8%23.3K-1.4M-14.6K0.0088.74N/AN/A60901898
2013-09-12$65.33$65.0033.5%9.6%28.3%17.6%33.8%7.0%3.7%22.9K-1.1M-14.2K0.0391.16N/AN/A1053900898
2013-09-13$65.30$65.0031.2%8.9%27.3%14.4%0.0%5.1%6.5%15.3K-858.7K-13.1K0.0091.86N/AN/A20834899
2013-09-16$64.82$65.0031.9%9.1%27.4%15.4%0.0%2.0%5.3%15.2K-765.0K-12.6K11.0092.84N/AN/A111836899
2013-09-17$65.88$65.0032.0%9.2%28.1%15.6%0.0%10.6%3.7%13.4K-907.8K-12.6K0.0093.87N/AN/A00837900
2013-09-18$66.28$65.0033.0%9.5%27.5%16.9%0.0%4.4%2.5%12.5K-1.0M-12.6K0.0096.24N/AN/A70837900
2013-09-19$66.86$65.0028.5%8.2%27.1%10.8%0.0%3.1%8.1%16.6K-1.2M-12.3K0.0094.82N/AN/A10818896
2013-09-20$65.91$65.0032.0%9.2%25.5%15.6%30.8%9.8%5.3%14.2K-1.2M-12.3K0.10100.88N/AN/A212818896
2013-09-23$66.62$65.0023.8%6.8%25.7%4.4%0.0%6.7%17.1%20.1K-560.5K-12.0K0.00106.81N/AN/A100600485
2013-09-24$65.89$65.0030.3%8.7%25.2%13.3%30.9%3.8%7.9%20.3K-387.6K-11.9K0.0098.68N/AN/A050610485
2013-09-25$64.62$65.0030.8%8.8%21.2%13.9%32.1%2.4%6.9%9.4K-222.1K-12.1K0.0096.54N/AN/A04610531
2013-09-26$63.92$65.0033.9%9.7%21.6%18.2%17.4%14.9%2.4%8.9K-9.5K-11.6K1.25100.98N/AN/A45610535
2013-09-27$62.91$65.0026.9%7.7%21.6%8.5%0.0%6.7%8.9%8.5K121.3K-11.6K0.00105.90N/AN/A03614540
2013-09-30$63.64$65.0029.6%8.5%19.6%12.3%0.0%6.2%10.1%5.9K371.1K-10.8K0.00106.53N/AN/A00614543