VSAT Options History — April 2014

In April 2014, VSAT traded between $63.51 and $70.24. ATM implied volatility averaged 45.5%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 10.6% (HV 20d: 34.9%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.85.

Notable Days

  • 2014-04-25: Highest Volume — 1,102 contracts
  • 2014-04-25: Largest IV drop — 16.1% change
  • 2014-04-23: Highest IV Rank — 43.8%
  • 2014-04-23: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.85$63.51$70.24$70.24$64.21
Max Pain$68.10$65.00$70.00$70.00$65.00
ATM IV45.5%39.5%51.8%40.6%42.6%
Expected Move13.1%11.3%14.9%11.6%12.2%
HV 20d34.9%25.2%39.7%25.2%35.7%
HV 60d36.6%33.1%38.0%34.6%37.0%
IV Rank35.2%27.1%43.8%28.5%31.3%
IV Percentile79.5%64.7%88.9%72.2%70.6%
Term Structure-7.4%-13.1%2.0%0.7%-7.6%
VWIV46.7%40.6%52.6%40.6%42.2%
Skew 25d2.1%0.2%3.9%3.0%1.7%
Skew 10d4.4%1.2%7.8%2.1%1.2%
Call IV 25d46.1%39.7%52.6%40.3%44.9%
Put IV 25d48.2%41.9%54.3%43.3%46.6%
Bid-Ask Spread %64.3850.9181.9860.6781.53
Gamma HHI0.490.160.690.590.42
Net GEX-102.0K-288.7K53.1K-196.8K3.3K
Net DEX2.4M-503.2K6.1M1.7M-38.3K
Net VEX-10.2K-15.1K-5.8K-13.0K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0051.901.410.01
Total Volume191.71421,10253309
Total OI2,166.5711,2913,1671,9133,077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$70.24$70.0040.6%11.6%25.2%28.5%40.6%3.0%0.7%-196.8K1.7M-13.0K1.4160.67N/AN/A22316311,282
2014-04-02$70.23$70.0042.8%12.3%25.2%31.5%45.3%3.9%-0.9%-186.9K1.5M-13.0K0.0066.74N/AN/A0116531,283
2014-04-03$69.31$70.0039.5%11.3%25.6%27.1%0.0%3.7%2.0%-233.7K2.1M-12.6K1.0081.98N/AN/A116531,290
2014-04-04$65.26$70.0040.0%12.6%33.1%27.8%0.0%2.6%-8.8%-166.3K4.3M-9.9K3.2552.40N/AN/A4136541,291
2014-04-07$63.98$70.0042.5%12.9%33.6%31.1%46.5%2.9%-8.1%-133.5K4.8M-8.4K0.6453.18N/AN/A1176541,290
2014-04-08$64.90$70.0044.4%12.6%33.9%33.7%43.7%2.4%-7.2%-159.1K4.5M-8.7K0.9851.05N/AN/A51506621,293
2014-04-09$67.13$70.0045.8%12.9%36.0%35.6%44.8%2.1%-6.6%-245.6K3.6M-10.1K0.2356.30N/AN/A2257131,341
2014-04-10$64.83$70.0046.7%13.4%37.9%36.8%0.0%1.2%-8.0%-142.5K4.3M-9.2K0.1850.91N/AN/A222407351,346
2014-04-11$63.76$70.0046.5%13.3%35.2%36.5%49.3%3.3%-8.3%-87.1K4.6M-8.7K0.0362.93N/AN/A17969111,340
2014-04-14$64.06$70.0049.4%14.2%34.9%40.5%0.0%0.6%-8.2%-80.7K4.2M-8.3K0.2163.35N/AN/A118251,0401,340
2014-04-15$63.51$70.0049.1%14.1%34.8%40.0%51.7%3.3%-8.2%-69.1K5.0M-7.1K0.2665.85N/AN/A276711,1321,343
2014-04-16$64.07$70.0048.6%13.9%35.2%39.4%49.7%2.0%-10.6%-8.7K6.1M-5.8K8.6270.02N/AN/A585001,3151,414
2014-04-17$67.10$70.0046.5%13.3%39.7%36.6%46.0%1.5%-6.0%-288.7K5.0M-10.1K1.3056.54N/AN/A37481,3031,864
2014-04-21$66.58$65.0051.2%14.7%39.4%42.9%51.2%1.5%-9.4%-24.0K-300.6K-8.1K2.2267.64N/AN/A2351501790
2014-04-22$67.06$65.0051.2%14.7%39.5%42.9%52.1%2.1%-13.1%-21.2K-325.2K-8.5K0.0055.91N/AN/A950514838
2014-04-23$66.39$65.0051.8%14.9%39.5%43.8%52.6%1.8%-12.6%-12.4K-335.1K-8.7K0.0055.93N/AN/A033609838
2014-04-24$66.08$65.0047.5%13.6%37.8%38.0%49.1%1.3%-10.8%-26.6K-171.6K-8.7K51.9065.69N/AN/A10519609865
2014-04-25$64.97$65.0039.9%11.4%37.2%27.6%41.7%0.2%-5.9%-137.4K803.1K-10.4K0.0877.42N/AN/A1,023796101,378
2014-04-28$65.05$65.0042.8%12.3%36.9%31.6%43.1%0.7%-8.0%53.1K-503.2K-15.1K0.2176.43N/AN/A48101,5851,439
2014-04-29$64.21$65.0046.1%13.2%36.5%36.0%45.0%2.3%-10.2%21.4K-155.1K-15.1K0.7079.43N/AN/A1071,6281,444
2014-04-30$64.21$65.0042.6%12.2%35.7%31.3%42.2%1.7%-7.6%3.3K-38.3K-14.5K0.0181.53N/AN/A30631,6301,447