VSAT Options History — December 2013

In December 2013, VSAT traded between $59.17 and $63.59. ATM implied volatility averaged 32.1%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.8% (HV 20d: 22.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2013-12-06: Highest Volume — 100 contracts
  • 2013-12-27: Largest IV spike — 50.3% change
  • 2013-12-04: Highest IV Rank — 26.8%
  • 2013-12-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.13$59.17$63.59$59.17$62.65
Max Pain$60.95$60.00$65.00$65.00$60.00
ATM IV32.1%22.9%41.2%38.5%32.0%
Expected Move9.8%7.4%11.8%11.0%9.2%
HV 20d22.3%15.4%32.8%32.7%15.4%
HV 60d24.7%24.3%25.2%24.9%24.5%
IV Rank13.6%1.1%26.8%23.3%13.0%
IV Percentile36.2%0.4%78.2%72.2%30.6%
Term Structure0.1%-14.7%12.1%-6.6%4.7%
VWIV32.2%25.2%36.6%35.3%33.6%
Skew 25d9.1%1.0%16.8%12.1%2.1%
Skew 10d11.6%-10.1%43.8%23.9%-0.0%
Call IV 25d32.4%25.7%45.4%41.8%31.5%
Put IV 25d41.5%30.0%55.2%53.9%33.6%
Bid-Ask Spread %112.51102.01120.51102.66112.16
Gamma HHI0.440.300.680.380.37
Net GEX55.9K14.8K117.6K52.4K19.1K
Net DEX153.5K-1.4M1.4M1.2M-212.9K
Net VEX-3.9K-5.1K-2.7K-4.7K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.0010.000.000.20
Total Volume10.76201005012
Total OI949.7623131,3991,245329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$59.17$65.0038.5%11.0%32.7%23.3%35.3%12.1%-6.6%52.4K1.2M-4.7K0.00102.66N/AN/A050738507
2013-12-03$60.31$65.0029.7%8.5%32.8%10.6%30.4%16.4%0.1%53.1K1.4M-4.6K0.00104.37N/AN/A50738555
2013-12-04$59.50$65.0041.2%11.8%32.6%26.8%0.0%9.8%-14.7%37.5K1.3M-5.1K0.00113.50N/AN/A00743553
2013-12-05$59.47$65.0034.0%9.8%32.3%16.8%36.6%8.3%-3.6%50.6K1.4M-4.5K0.00108.77N/AN/A010743553
2013-12-06$59.94$60.0022.9%10.1%29.7%1.1%0.0%12.6%-2.4%68.1K1.3M-4.3K0.00116.27N/AN/A0100743556
2013-12-09$60.67$60.0029.2%11.8%30.3%9.9%0.0%8.1%-1.3%63.5K1.3M-5.1K0.00105.94N/AN/A00743656
2013-12-10$60.37$60.0026.5%10.3%30.2%6.2%0.0%14.4%-2.6%70.8K1.3M-4.8K2.00112.61N/AN/A12738637
2013-12-11$60.47$60.0025.1%10.1%21.6%4.2%0.0%16.2%2.5%84.1K-172.1K-4.3K0.00117.20N/AN/A40738391
2013-12-12$60.05$60.0035.4%10.2%20.4%18.7%0.0%5.5%3.4%77.1K-222.4K-4.4K1.00117.68N/AN/A11734391
2013-12-13$60.00$60.0034.1%9.8%19.8%16.0%0.0%9.5%2.5%80.4K-309.5K-4.3K0.00115.42N/AN/A30733370
2013-12-16$60.34$60.0038.2%11.0%19.2%21.8%0.0%5.9%-8.0%85.5K-397.5K-3.7K0.00117.29N/AN/A80736370
2013-12-17$60.57$60.0037.6%10.8%19.1%20.8%0.0%7.9%1.5%98.9K-492.6K-3.9K0.00117.79N/AN/A50732370
2013-12-18$61.28$60.0031.4%9.0%16.0%12.2%0.0%3.1%4.6%76.6K-777.0K-3.5K0.00116.21N/AN/A20732370
2013-12-19$60.70$60.0030.8%8.8%16.3%11.2%0.0%7.3%5.0%117.6K-807.5K-3.4K0.00118.64N/AN/A00726370
2013-12-20$61.93$60.0031.9%9.1%17.2%12.8%25.2%5.9%5.2%48.8K-1.4M-3.0K0.00110.40N/AN/A30726347
2013-12-23$62.75$60.0028.7%8.2%17.5%8.3%0.0%16.8%-3.1%14.8K-154.4K-2.7K0.00113.69N/AN/A00169144
2013-12-24$63.09$60.0030.1%8.6%16.7%10.3%0.0%6.8%12.1%18.1K-194.7K-3.1K0.00102.01N/AN/A30169144
2013-12-26$63.30$60.0025.7%7.4%16.2%4.0%0.0%1.0%8.1%22.0K-220.5K-2.8K0.00120.51N/AN/A10172144
2013-12-27$63.52$60.0038.6%11.1%16.2%22.2%0.0%11.2%-4.3%17.4K-244.9K-3.0K0.00108.76N/AN/A40173144
2013-12-30$63.59$60.0033.3%9.5%15.7%14.8%0.0%10.0%-1.7%18.1K-250.9K-3.0K10.00110.75N/AN/A110174144
2013-12-31$62.65$60.0032.0%9.2%15.4%13.0%33.6%2.1%4.7%19.1K-212.9K-2.9K0.20112.16N/AN/A102175154