VSAT Options History — October 2013

In October 2013, VSAT traded between $63.00 and $67.61. ATM implied volatility averaged 39.7%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 18.9% (HV 20d: 20.8%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.44.

Notable Days

  • 2013-10-23: Highest Volume — 115 contracts
  • 2013-10-10: Largest IV spike — 54.0% change
  • 2013-10-30: Highest IV Rank — 45.5%
  • 2013-10-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.55$63.00$67.61$64.02$66.12
Max Pain$65.22$65.00$70.00$65.00$70.00
ATM IV39.7%26.9%54.5%32.0%38.1%
Expected Move11.9%9.2%15.6%9.2%10.9%
HV 20d20.8%18.0%22.8%19.7%21.4%
HV 60d22.4%20.8%23.1%22.2%22.8%
IV Rank25.4%8.5%45.5%15.6%22.6%
IV Percentile68.6%8.7%94.8%34.1%73.4%
Term Structure-4.4%-14.4%9.6%7.5%0.2%
VWIV44.4%37.2%52.7%39.1%47.7%
Skew 25d6.2%1.4%13.3%5.0%11.0%
Skew 10d12.5%-6.2%34.0%28.1%6.3%
Call IV 25d39.3%24.7%44.9%27.5%38.8%
Put IV 25d45.4%32.5%53.5%32.5%49.8%
Bid-Ask Spread %93.3879.71112.06100.99112.06
Gamma HHI0.270.250.300.260.27
Net GEX5.6K-97115.0K7.6K2.5K
Net DEX-183.5K-652.1K412.8K280.3K-625.1K
Net VEX-10.8K-11.3K-10.3K-10.8K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.008.330.003.33
Total Volume14.95701151010
Total OI1,197.6961,1341,2671,1571,232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$64.02$65.0032.0%9.2%19.7%15.6%0.0%5.0%7.5%7.6K280.3K-10.8K0.00100.99N/AN/A010614543
2013-10-02$64.42$65.0031.9%9.2%19.3%15.5%0.0%13.0%8.6%7.2K146.1K-11.3K0.00104.44N/AN/A10614553
2013-10-03$63.93$65.0032.7%9.4%19.3%16.5%0.0%11.7%9.6%7.2K128.0K-11.2K0.00102.32N/AN/A00615553
2013-10-04$64.57$65.0031.3%10.9%18.2%14.6%39.1%9.0%-4.4%4.6K129.3K-11.0K8.3389.89N/AN/A325615553
2013-10-07$64.77$65.0033.3%11.7%18.0%17.3%0.0%5.4%-3.2%3.4K112.6K-11.2K0.0079.71N/AN/A10618578
2013-10-08$63.09$65.0028.7%13.1%19.6%11.1%0.0%10.1%-5.4%5.0K90.9K-11.2K0.0091.87N/AN/A00619578
2013-10-09$63.00$65.0026.9%11.6%18.9%8.5%0.0%4.7%-2.1%3.2K412.8K-10.6K0.0086.86N/AN/A10619578
2013-10-10$65.06$65.0041.4%11.9%22.2%27.2%37.2%5.7%-5.3%6.7K220.1K-10.5K0.0090.43N/AN/A100620578
2013-10-11$65.96$65.0039.8%11.4%22.8%25.1%0.0%3.9%-4.0%6.9K-100.1K-10.9K0.0090.93N/AN/A00630578
2013-10-14$66.33$65.0041.2%11.8%22.6%27.0%42.1%1.7%-5.1%9.3K-298.7K-10.5K0.3092.07N/AN/A5015630578
2013-10-15$65.74$65.0043.9%12.6%22.2%30.7%0.0%3.8%-5.5%10.0K-339.0K-11.3K0.0084.87N/AN/A00680587
2013-10-16$65.20$65.0040.6%11.6%22.2%26.1%0.0%1.4%-1.9%10.1K-102.2K-11.3K0.0084.13N/AN/A30680587
2013-10-17$65.32$65.0040.7%11.7%22.0%26.3%40.4%2.2%-4.3%15.0K-132.1K-10.6K0.0084.79N/AN/A01677562
2013-10-18$66.66$65.0041.7%12.0%22.6%27.7%0.0%5.0%-6.6%10.6K-652.1K-10.6K0.0087.97N/AN/A30677562
2013-10-21$66.20$65.0043.0%12.3%22.5%29.5%0.0%2.9%-6.8%8.8K-415.8K-10.5K3.3388.29N/AN/A310620514
2013-10-22$66.58$65.0045.8%13.1%22.2%33.4%45.5%4.7%-10.7%6.2K-375.4K-10.3K5.6089.56N/AN/A528620524
2013-10-23$66.20$65.0045.0%12.9%21.1%32.3%50.4%7.3%-10.1%3.6K-263.4K-10.6K0.4488.84N/AN/A8035620552
2013-10-24$66.96$65.0045.4%13.0%20.8%32.8%0.0%6.1%-9.0%-971-391.3K-10.7K0.0094.83N/AN/A00621562
2013-10-25$66.91$65.0045.5%13.0%19.7%33.0%0.0%6.2%-9.5%-416-470.7K-10.7K0.0092.27N/AN/A140621562
2013-10-28$66.50$65.0047.2%13.5%19.7%35.4%0.0%3.9%-8.7%67-368.7K-10.3K0.0097.38N/AN/A100635562
2013-10-29$67.61$65.0043.2%12.4%20.4%29.7%52.7%3.8%-10.9%1.8K-631.9K-10.7K0.30101.60N/AN/A103645562
2013-10-30$66.41$65.0054.5%15.6%21.6%45.5%47.7%13.3%-14.4%131-573.2K-11.1K3.33111.64N/AN/A310655564
2013-10-31$66.12$70.0038.1%10.9%21.4%22.6%0.0%11.0%0.2%2.5K-625.1K-10.5K0.00112.06N/AN/A010658574