VSAT Options History — November 2013

In November 2013, VSAT traded between $57.71 and $67.80. ATM implied volatility averaged 47.9%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 19.8% (HV 20d: 28.1%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2013-11-08: Highest Volume — 252 contracts
  • 2013-11-14: Largest IV drop — 53.5% change
  • 2013-11-11: Highest IV Rank — 90.1%
  • 2013-11-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.97$57.71$67.80$65.67$60.17
Max Pain$66.75$65.00$70.00$70.00$65.00
ATM IV47.9%28.8%86.4%59.8%44.2%
Expected Move10.5%8.2%17.1%17.1%12.7%
HV 20d28.1%19.7%32.9%21.4%32.5%
HV 60d25.0%22.7%26.9%22.9%25.0%
IV Rank36.4%9.6%90.1%52.9%31.2%
IV Percentile64.0%15.1%99.6%96.4%81.3%
Term Structure-2.4%-22.0%9.5%-22.0%-16.6%
VWIV36.1%24.3%57.3%57.3%24.3%
Skew 25d12.5%-6.6%27.2%3.8%-6.6%
Skew 10d29.6%2.2%72.0%27.8%9.3%
Call IV 25d33.6%17.9%50.6%50.6%24.7%
Put IV 25d46.0%18.1%61.8%54.4%18.1%
Bid-Ask Spread %102.1493.17113.10103.22111.15
Gamma HHI0.350.260.490.280.32
Net GEX23.8K-17.0K62.6K1.6K45.1K
Net DEX830.9K-706.4K2.0M-314.8K1.1M
Net VEX-7.5K-10.7K-4.6K-10.6K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.008.008.000.00
Total Volume53.40252270
Total OI1,359.81,1841,7801,2421,245

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$65.67$70.0059.8%17.1%21.4%52.9%57.3%3.8%-22.0%1.6K-314.8K-10.6K8.00103.22N/AN/A324658584
2013-11-04$66.87$70.0058.5%11.6%22.2%51.1%0.0%5.8%-5.9%-9.6K-214.2K-10.4K0.00100.98N/AN/A110656608
2013-11-05$67.37$70.0064.7%11.7%19.7%59.8%36.6%22.7%-3.1%-10.8K-659.5K-10.7K0.1096.13N/AN/A596667608
2013-11-06$67.80$70.0050.0%9.8%19.7%39.2%35.4%21.1%2.1%-7.6K-706.4K-10.7K1.53101.99N/AN/A3452690614
2013-11-07$64.97$70.0056.7%11.4%22.9%48.6%0.0%5.1%-1.1%-3.2K-340.3K-10.2K0.00103.60N/AN/A300713641
2013-11-08$64.92$70.0073.4%12.1%22.4%72.0%0.0%2.1%-4.7%4.1K-313.4K-10.2K0.11103.85N/AN/A22725736641
2013-11-11$64.40$70.0086.4%12.5%22.4%90.1%43.8%17.3%-7.1%47.9K-222.7K-10.1K1.0793.17N/AN/A96103932656
2013-11-12$60.66$65.0075.0%10.2%30.4%74.1%32.4%18.4%-1.7%45.4K1.7M-7.5K6.1799.66N/AN/A23142987728
2013-11-13$61.85$65.0069.9%10.0%31.5%67.1%32.6%20.6%1.5%31.7K1.6M-8.0K0.6098.07N/AN/A50301,001779
2013-11-14$60.91$65.0032.5%9.3%31.8%14.8%41.2%27.2%0.5%-17.0K1.6M-7.8K1.3398.90N/AN/A34936743
2013-11-15$60.02$65.0032.1%9.2%30.7%14.2%0.0%23.7%1.9%19.5K2.0M-6.5K0.00100.28N/AN/A08939738
2013-11-18$59.78$65.0032.5%9.3%30.7%14.8%32.3%2.0%-1.6%37.5K1.5M-5.7K0.5898.36N/AN/A2615671561
2013-11-19$58.08$65.0028.8%8.2%31.5%9.6%25.2%17.8%0.6%35.6K1.5M-5.5K0.43108.47N/AN/A73674569
2013-11-20$57.71$65.0032.2%9.2%31.5%14.4%0.0%12.1%0.8%21.7K1.8M-5.3K0.00113.10N/AN/A00677570
2013-11-21$58.37$65.0029.9%8.6%31.5%11.2%0.0%9.6%2.2%41.9K1.6M-4.7K0.00102.95N/AN/A10677507
2013-11-22$58.80$65.0029.0%8.3%31.9%10.0%0.0%8.5%3.4%45.1K1.6M-4.6K0.00103.38N/AN/A200678507
2013-11-25$59.82$65.0031.4%9.0%32.9%13.3%24.3%11.7%9.5%44.9K1.3M-4.9K0.0099.30N/AN/A01678507
2013-11-26$60.67$65.0040.9%11.7%32.7%26.6%0.0%24.7%-4.7%39.1K1.1M-5.2K0.00105.56N/AN/A550678507
2013-11-27$60.64$65.0030.9%8.9%32.4%12.6%0.0%1.8%-1.8%62.6K1.0M-5.1K0.00100.62N/AN/A100728507
2013-11-29$60.17$65.0044.2%12.7%32.5%31.2%0.0%-6.6%-16.6%45.1K1.1M-5.5K0.00111.15N/AN/A00738507