VSAT Options History — May 2014

In May 2014, VSAT traded between $53.87 and $63.43. ATM implied volatility averaged 38.7%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.6% (HV 20d: 33.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.50.

Notable Days

  • 2014-05-09: Highest Volume — 1,586 contracts
  • 2014-05-09: Largest IV drop — 44.7% change
  • 2014-05-08: Highest IV Rank — 54.2%
  • 2014-05-02: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.93$53.87$63.43$62.52$54.23
Max Pain$61.67$60.00$65.00$65.00$60.00
ATM IV38.7%27.7%59.6%44.2%29.8%
Expected Move10.4%8.3%13.3%12.7%8.5%
HV 20d33.1%25.4%40.3%36.5%39.6%
HV 60d34.7%31.0%37.4%37.4%34.1%
IV Rank26.9%11.1%54.2%33.5%15.4%
IV Percentile48.2%6.3%93.7%74.6%13.9%
Term Structure-3.1%-11.2%1.3%-9.1%0.8%
VWIV36.5%29.3%46.8%45.7%29.8%
Skew 25d2.6%0.9%3.7%0.9%1.9%
Skew 10d5.5%0.2%11.2%0.8%0.2%
Call IV 25d36.1%28.4%47.3%46.2%30.5%
Put IV 25d38.6%31.5%49.7%47.1%32.4%
Bid-Ask Spread %73.5555.3090.0581.3688.14
Gamma HHI0.360.210.800.370.31
Net GEX-36.1K-492.4K115.4K-29.1K-51.1K
Net DEX394.0K-4.5M3.6M683.9K880.8K
Net VEX-10.9K-14.3K-6.3K-14.3K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.0033.000.130.05
Total Volume208.23821,5861740
Total OI3,008.9528984,7463,3312,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$62.52$65.0044.2%12.7%36.5%33.5%45.7%0.9%-9.1%-29.1K683.9K-14.3K0.1381.36N/AN/A1521,8851,446
2014-05-02$63.01$65.0046.4%13.3%36.7%36.4%46.8%2.4%-11.2%5.4K236.6K-14.3K0.1580.38N/AN/A2741,8841,447
2014-05-05$63.43$65.0050.2%10.3%30.5%41.6%35.8%3.2%-2.8%41.9K9.0K-13.5K0.0056.29N/AN/A901,8841,443
2014-05-06$62.03$65.0054.1%10.8%30.7%46.8%36.1%3.0%-3.7%-33.8K961.5K-12.5K1.0055.84N/AN/A111,8881,443
2014-05-07$61.56$65.0056.6%10.9%30.2%50.2%36.6%3.2%-3.5%-78.1K1.5M-12.0K33.0061.93N/AN/A2661,8891,444
2014-05-08$61.36$65.0059.6%10.6%26.9%54.2%36.3%2.2%-2.5%-88.3K1.7M-11.3K0.2059.99N/AN/A1531,8911,495
2014-05-09$60.03$65.0032.9%10.8%25.4%18.2%37.4%2.2%-1.8%-492.4K3.6M-8.0K0.1280.24N/AN/A1,4171691,9061,497
2014-05-12$62.31$60.0027.7%10.8%28.7%11.1%37.8%2.9%-4.0%115.4K-4.5M-11.7K2.0970.77N/AN/A11233,1411,604
2014-05-13$61.26$60.0038.6%11.2%29.2%25.9%0.0%2.9%-3.9%54.4K-3.2M-11.6K0.3170.85N/AN/A1343,1371,609
2014-05-14$59.37$60.0031.8%11.1%30.9%16.7%0.0%2.1%-3.6%14.1K1.5M-11.1K1.3269.90N/AN/A37493,1371,609
2014-05-15$58.99$60.0041.1%11.8%30.6%29.3%40.2%2.6%-7.0%10.4K3.4M-9.4K0.2982.18N/AN/A112333,1361,610
2014-05-16$60.53$60.0038.8%11.1%26.7%28.9%39.1%3.7%-3.4%10.0K-3.9M-8.3K0.4269.08N/AN/A98413,0961,640
2014-05-19$60.12$60.0040.1%11.5%26.7%30.8%41.5%2.8%-5.4%32.9K-290.4K-6.3K1.3868.39N/AN/A6387529369
2014-05-20$58.64$60.0039.7%11.4%27.2%30.3%42.2%2.3%-3.4%24.4K-43.0K-6.5K1.2469.60N/AN/A390483582433
2014-05-21$53.87$60.0032.5%9.3%38.9%19.5%31.8%2.6%-1.8%-69.1K1.3M-7.9K1.8155.30N/AN/A225408867851
2014-05-22$54.24$60.0030.0%8.6%39.3%15.8%30.3%2.9%-0.2%-47.4K938.4K-9.3K6.9579.19N/AN/A39271932906
2014-05-23$54.99$60.0028.9%8.3%40.1%14.1%29.3%3.1%0.0%-51.1K1.1M-12.2K0.9990.05N/AN/A68679581,107
2014-05-27$54.95$60.0029.4%8.4%40.0%14.8%30.2%2.2%1.3%-42.6K847.3K-12.5K1.0784.50N/AN/A15161,0091,095
2014-05-28$55.29$60.0030.4%8.7%40.3%16.4%30.0%2.3%0.3%-37.5K730.1K-12.6K0.0085.48N/AN/A1901,0131,104
2014-05-29$54.78$60.0030.2%8.6%40.2%16.0%0.0%2.3%0.1%-46.7K848.2K-12.4K0.0085.07N/AN/A3001,0171,104
2014-05-30$54.23$60.0029.8%8.5%39.6%15.4%29.8%1.9%0.8%-51.1K880.8K-12.3K0.0588.14N/AN/A3821,0471,104