VSAT Options History — January 2014

In January 2014, VSAT traded between $59.51 and $64.20. ATM implied volatility averaged 40.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 15.1% (HV 20d: 24.9%). 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 10 of 21 days. Put/call ratio averaged 20.30.

Notable Days

  • 2014-01-07: Highest Volume — 107 contracts
  • 2014-01-13: Largest IV spike — 71.9% change
  • 2014-01-14: Highest IV Rank — 58.4%
  • 2014-01-31: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.93$59.51$64.20$61.00$59.51
Max Pain$61.19$60.00$65.00$60.00$65.00
ATM IV40.0%28.4%64.1%38.3%49.6%
Expected Move10.3%7.8%14.2%11.0%14.2%
HV 20d24.9%16.7%27.2%17.5%26.3%
HV 60d25.9%24.5%26.2%25.0%26.1%
IV Rank24.2%7.9%58.4%21.9%37.9%
IV Percentile61.0%9.1%95.2%71.4%88.1%
Term Structure-0.4%-12.4%14.8%4.6%-12.4%
VWIV36.6%28.4%49.4%32.4%49.4%
Skew 25d4.8%-26.9%14.2%-11.3%12.0%
Skew 10d13.0%-33.1%32.5%-10.9%-0.3%
Call IV 25d37.4%29.5%60.3%49.5%40.3%
Put IV 25d42.1%33.4%52.3%38.2%52.3%
Bid-Ask Spread %108.6194.19116.39115.30111.68
Gamma HHI0.410.310.530.330.33
Net GEX22.0K3.6K45.6K12.2K3.6K
Net DEX-145.8K-481.6K120.3K-86.6K120.3K
Net VEX-3.3K-4.1K-2.7K-2.7K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.300.00100.000.00100.00
Total Volume14.8570107303
Total OI437.81330541330541

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$61.00$60.0038.3%11.0%17.5%21.9%0.0%-11.3%4.6%12.2K-86.6K-2.7K0.00115.30N/AN/A030175155
2014-01-03$61.19$60.0035.4%10.1%16.7%17.7%32.4%-26.9%-4.7%10.0K19.4K-2.7K0.00116.39N/AN/A02161185
2014-01-06$60.88$60.0036.2%10.4%16.8%18.9%0.0%8.1%3.7%7.5K43.6K-2.7K0.0094.19N/AN/A00161187
2014-01-07$64.20$60.0030.1%10.4%24.9%10.3%37.6%12.8%-2.8%23.4K-117.2K-2.7K0.00102.42N/AN/A1070161187
2014-01-08$64.01$60.0043.1%9.9%24.8%28.7%0.0%8.3%-4.4%36.2K-481.6K-3.7K0.00108.21N/AN/A00257187
2014-01-09$62.64$60.0036.6%9.4%26.1%19.5%0.0%3.6%6.0%45.6K-363.3K-3.4K0.00103.74N/AN/A010257187
2014-01-10$62.89$60.0033.9%7.8%26.1%15.6%0.0%7.3%4.4%36.7K-337.5K-3.5K0.00116.30N/AN/A00257197
2014-01-13$62.29$60.0058.2%9.3%26.3%50.0%0.0%9.3%5.9%32.6K-228.6K-3.4K0.00116.06N/AN/A100257197
2014-01-14$62.63$60.0064.1%9.8%26.3%58.4%0.0%2.6%4.0%33.8K-301.2K-3.7K0.00100.98N/AN/A00267197
2014-01-15$63.41$60.0054.1%11.0%26.5%44.2%0.0%-0.1%-2.8%36.5K-399.2K-3.5K0.00112.89N/AN/A00267197
2014-01-16$62.64$60.0032.5%9.3%27.0%13.7%0.0%8.8%-8.3%37.3K-285.7K-3.5K0.00107.27N/AN/A00267197
2014-01-17$62.43$60.0028.4%8.1%26.8%7.9%0.0%-5.0%14.8%34.9K-305.3K-3.3K0.00108.97N/AN/A00267197
2014-01-21$61.50$60.0041.1%11.8%27.2%25.9%42.0%6.7%-6.2%15.1K-136.6K-3.0K1.40111.51N/AN/A1014209184
2014-01-22$61.88$60.0035.0%10.0%26.3%17.2%0.0%10.5%1.1%13.3K-78.7K-3.0K0.00111.34N/AN/A00219198
2014-01-23$61.75$60.0029.3%8.4%25.8%9.1%36.1%2.1%9.5%11.4K-12.5K-2.8K0.10104.53N/AN/A202219198
2014-01-24$61.79$60.0036.1%10.4%25.7%18.8%30.5%10.6%-1.9%16.4K-76.5K-3.0K0.00110.69N/AN/A01239200
2014-01-27$61.53$65.0039.1%11.2%25.7%23.1%36.1%10.3%-4.9%23.1K-119.3K-3.0K0.00100.02N/AN/A01239201
2014-01-28$61.65$65.0036.7%10.5%25.7%19.6%0.0%6.1%0.7%20.1K-108.6K-2.8K100.00106.67N/AN/A1100239202
2014-01-29$60.05$65.0040.5%11.6%27.1%24.9%28.4%10.3%-7.5%7.3K78.5K-4.1K0.00110.07N/AN/A01239302
2014-01-30$60.66$65.0040.5%11.6%27.1%25.0%0.0%14.2%-7.0%6.0K115.1K-3.7K0.00111.56N/AN/A00239302
2014-01-31$59.51$65.0049.6%14.2%26.3%37.9%49.4%12.0%-12.4%3.6K120.3K-3.9K0.00111.68N/AN/A03239302