VSAT Options History — March 2014

In March 2014, VSAT traded between $67.05 and $73.62. ATM implied volatility averaged 32.5%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.0% (HV 20d: 34.5%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-03-24: Highest Volume — 1,084 contracts
  • 2014-03-10: Largest IV spike — 72.9% change
  • 2014-03-31: Highest IV Rank — 26.9%
  • 2014-03-31: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.72$67.05$73.62$67.05$69.04
Max Pain$66.67$60.00$70.00$60.00$70.00
ATM IV32.5%19.4%39.4%39.1%39.4%
Expected Move9.2%7.4%11.3%11.2%11.3%
HV 20d34.5%23.3%45.3%44.9%30.2%
HV 60d33.4%31.5%34.9%31.5%34.5%
IV Rank16.8%0.0%26.9%23.0%26.9%
IV Percentile34.9%0.0%69.0%68.3%69.0%
Term Structure1.9%-8.2%9.2%-8.2%2.4%
VWIV34.2%27.1%43.9%32.1%38.7%
Skew 25d4.8%0.1%27.3%0.1%2.3%
Skew 10d9.2%2.8%21.8%19.5%6.6%
Call IV 25d33.0%21.9%42.9%42.9%40.2%
Put IV 25d37.9%30.0%50.4%43.0%42.6%
Bid-Ask Spread %93.1456.98120.28113.0756.98
Gamma HHI0.760.220.920.750.62
Net GEX316.6K-226.9K782.0K288.7K-213.3K
Net DEX-3.6M-8.5M2.9M-2.4M2.4M
Net VEX-8.9K-13.3K-5.1K-9.1K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.0013.080.000.00
Total Volume82.1901,084101
Total OI1,643.0486041,9121,6141,912

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$67.05$60.0039.1%11.2%44.9%23.0%0.0%0.1%-8.2%288.7K-2.4M-9.1K0.00113.07N/AN/A1001,279335
2014-03-04$70.43$60.0036.6%10.5%45.1%19.5%32.1%27.3%-4.5%392.3K-4.8M-9.7K0.00108.67N/AN/A1101,289335
2014-03-05$70.24$60.0029.9%8.6%45.3%10.0%27.1%8.0%3.3%477.9K-4.7M-9.9K0.00113.50N/AN/A101,291335
2014-03-06$70.48$60.0026.1%7.5%44.5%4.6%43.9%6.4%9.2%308.7K-4.8M-9.6K0.00120.28N/AN/A401,291335
2014-03-07$70.21$70.0019.4%8.7%44.7%0.0%0.0%5.3%-0.5%782.0K-4.5M-8.6K0.00115.70N/AN/A101,293335
2014-03-10$70.07$70.0033.6%7.4%44.4%19.1%0.0%3.1%4.7%536.0K-4.6M-8.4K0.00113.94N/AN/A001,294335
2014-03-11$68.89$70.0036.1%8.6%45.3%22.5%0.0%7.0%2.7%482.6K-4.5M-8.4K0.00111.54N/AN/A001,294335
2014-03-12$69.70$70.0034.6%8.5%45.2%20.5%0.0%6.4%0.4%580.0K-4.0M-7.7K0.00108.86N/AN/A001,294335
2014-03-13$69.19$70.0027.2%7.8%35.7%10.4%0.0%5.8%0.7%624.2K-3.5M-7.3K1.67110.42N/AN/A351,294335
2014-03-14$71.68$70.0029.6%8.5%36.6%13.8%33.5%2.1%2.7%609.1K-6.4M-6.9K0.0677.12N/AN/A10971,296340
2014-03-17$72.49$65.0030.5%8.7%26.8%14.9%29.5%2.0%2.7%534.5K-7.3M-7.0K1.6779.02N/AN/A351,389347
2014-03-18$72.50$65.0029.9%8.6%26.0%14.2%30.2%1.6%2.8%535.8K-7.4M-6.5K0.0071.66N/AN/A1901,392347
2014-03-19$72.19$65.0029.6%8.5%26.2%13.7%0.0%1.6%3.9%599.9K-8.0M-6.0K0.0082.64N/AN/A2001,411347
2014-03-20$72.51$65.0028.7%8.2%26.1%12.5%0.0%1.3%2.9%503.5K-8.2M-5.1K0.0083.26N/AN/A11101,404347
2014-03-21$73.27$65.0027.6%7.9%23.5%11.0%29.7%3.1%4.3%434.9K-8.5M-6.1K0.0083.23N/AN/A2901,455347
2014-03-24$73.62$65.0034.9%10.0%23.3%20.9%37.3%4.0%2.9%43.8K-1.5M-5.3K13.0882.09N/AN/A771,007354250
2014-03-25$73.52$70.0035.9%10.3%23.4%22.3%35.4%1.3%0.9%-204.6K408.7K-12.5K0.0081.58N/AN/A2404311,254
2014-03-26$70.97$70.0036.8%10.6%27.4%23.5%34.8%4.9%3.5%-226.9K1.3M-13.2K0.1285.02N/AN/A6984491,254
2014-03-27$69.11$70.0038.3%11.0%29.3%25.4%38.8%4.3%0.9%-220.0K2.2M-13.3K0.7576.36N/AN/A20155001,258
2014-03-28$68.02$70.0038.1%10.9%29.8%25.1%38.7%3.7%1.8%-220.9K2.9M-12.7K0.2380.97N/AN/A136315161,270
2014-03-31$69.04$70.0039.4%11.3%30.2%26.9%0.0%2.3%2.4%-213.3K2.4M-13.2K0.0056.98N/AN/A106301,282