VSAT Options History — February 2014 In February 2014, VSAT traded between $56.04 and $67.17. ATM implied volatility averaged 39.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.8% (HV 20d: 36.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.31.
Notable Days 2014-02-21 : Highest Volume — 676 contracts2014-02-27 : Largest IV spike — 44.1% change2014-02-11 : Highest IV Rank — 62.6%2014-02-03 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $62.02 $56.04 $67.17 $57.68 $66.71 Max Pain $62.37 $60.00 $65.00 $65.00 $60.00 ATM IV 39.3% 25.9% 67.1% 53.8% 32.0% Expected Move 10.2% 7.4% 15.4% 15.4% 9.2% HV 20d 36.5% 19.7% 47.1% 28.3% 45.8% HV 60d 28.9% 23.1% 32.2% 26.7% 31.7% IV Rank 23.2% 4.3% 62.6% 43.8% 12.9% IV Percentile 52.9% 3.6% 96.8% 90.9% 29.4% Term Structure -0.8% -17.9% 8.3% -17.9% -7.1% VWIV 36.4% 21.8% 54.2% 54.2% 35.1% Skew 25d 5.1% -10.3% 20.8% 4.6% 0.4% Skew 10d 15.2% -8.1% 37.3% -3.5% -8.1% Call IV 25d 36.6% 23.1% 49.4% 47.7% 27.4% Put IV 25d 41.7% 24.4% 59.0% 52.4% 27.8% Bid-Ask Spread % 108.50 98.29 116.85 104.54 113.10 Gamma HHI 0.51 0.23 0.81 0.31 0.81 Net GEX 114.2K -33.0K 359.9K -2.9K 359.9K Net DEX -768.1K -3.0M 623.0K 232.4K -2.3M Net VEX -5.2K -9.9K -3.1K -3.8K -9.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.00 7.00 7.00 0.01 Total Volume 120.895 0 676 8 0 Total OI 997.211 541 1,614 541 1,614
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-02-03 $57.68 $65.00 53.8% 15.4% 28.3% 43.8% 54.2% 4.6% -17.9% -2.9K 232.4K -3.8K 7.00 104.54 N/A N/A 1 7 239 302 2014-02-04 $57.99 $65.00 39.0% 11.2% 28.4% 22.9% 0.0% 18.3% -9.2% -5.1K 310.1K -3.7K 0.00 116.67 N/A N/A 0 0 240 307 2014-02-05 $57.12 $65.00 43.9% 12.6% 19.7% 29.8% 0.0% 7.3% 7.9% -7.1K 325.4K -3.6K 0.00 109.93 N/A N/A 0 0 240 307 2014-02-06 $57.96 $65.00 47.5% 13.6% 21.0% 34.8% 0.0% 13.7% -11.8% -3.9K 307.3K -3.8K 0.00 116.22 N/A N/A 0 0 240 307 2014-02-07 $59.60 $65.00 53.0% 9.7% 23.0% 42.7% 21.8% 6.1% -1.3% -3.0K 221.7K -3.4K 0.00 103.95 N/A N/A 32 0 240 307 2014-02-10 $59.99 $65.00 54.0% 11.4% 23.1% 44.1% 39.1% -0.3% -2.1% 10.1K 88.9K -3.9K 0.33 98.29 N/A N/A 39 13 271 307 2014-02-11 $60.03 $65.00 67.1% 9.9% 23.0% 62.6% 41.8% -2.4% 5.9% 15.6K -87.2K -3.8K 0.26 102.18 N/A N/A 439 113 298 308 2014-02-12 $56.04 $65.00 41.2% 11.5% 32.9% 26.0% 34.0% 5.9% -5.8% -30.0K 623.0K -3.5K 1.42 112.05 N/A N/A 26 37 630 415 2014-02-13 $57.26 $65.00 37.0% 10.6% 33.7% 20.0% 35.2% 20.8% 3.8% -33.0K 541.0K -3.1K 2.05 109.57 N/A N/A 20 41 634 443 2014-02-14 $61.92 $60.00 30.8% 8.8% 44.7% 11.3% 37.2% 0.8% 8.3% 102.3K -430.3K -4.8K 7.00 107.69 N/A N/A 5 35 654 434 2014-02-18 $63.54 $60.00 25.9% 7.4% 45.6% 4.3% 30.4% 4.0% -0.2% 159.2K -788.9K -3.9K 0.18 103.06 N/A N/A 129 23 653 461 2014-02-19 $63.57 $60.00 26.9% 7.7% 45.2% 5.7% 0.0% 8.2% 6.4% 171.6K -819.3K -3.7K 0.00 112.17 N/A N/A 2 0 643 484 2014-02-20 $64.38 $60.00 26.0% 7.5% 45.4% 4.4% 0.0% 10.4% 6.9% 261.3K -1.3M -3.7K 0.05 115.08 N/A N/A 95 5 643 475 2014-02-21 $66.83 $60.00 36.0% 10.3% 47.0% 18.6% 35.5% -1.1% -3.2% 223.1K -3.0M -4.8K 0.04 100.14 N/A N/A 651 25 718 474 2014-02-24 $66.65 $60.00 29.8% 8.5% 47.1% 9.8% 35.3% -10.3% 6.7% 143.0K -1.5M -7.4K 0.00 104.37 N/A N/A 331 0 768 335 2014-02-25 $66.76 $60.00 36.4% 10.4% 47.0% 19.2% 36.7% 5.1% 0.9% 221.9K -2.2M -9.7K 0.00 108.63 N/A N/A 117 0 1,079 335 2014-02-26 $67.17 $60.00 27.0% 7.7% 47.0% 5.9% 35.1% -1.8% 4.6% 294.2K -2.2M -9.0K 0.01 106.96 N/A N/A 110 1 1,193 335 2014-02-27 $67.12 $60.00 38.9% 11.2% 45.6% 22.8% 0.0% 7.6% -8.8% 292.8K -2.7M -9.9K 0.00 116.85 N/A N/A 0 0 1,279 335 2014-02-28 $66.71 $60.00 32.0% 9.2% 45.8% 12.9% 0.0% 0.4% -7.1% 359.9K -2.3M -9.4K 0.00 113.10 N/A N/A 0 0 1,279 335
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