VSAT Options History — June 2014

In June 2014, VSAT traded between $54.04 and $57.96. ATM implied volatility averaged 29.6%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 0.6% (HV 20d: 29.1%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-06-24: Highest Volume — 95 contracts
  • 2014-06-20: Largest IV drop — 9.3% change
  • 2014-06-03: Highest IV Rank — 18.4%
  • 2014-06-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.40$54.04$57.96$54.04$57.96
Max Pain$51.90$50.00$60.00$60.00$50.00
ATM IV29.6%26.3%31.8%31.6%26.8%
Expected Move8.5%7.5%9.1%9.1%7.7%
HV 20d29.1%14.1%40.9%39.3%14.1%
HV 60d33.5%32.4%34.7%34.1%32.4%
IV Rank15.2%10.3%18.4%18.2%11.0%
IV Percentile15.9%3.6%25.8%25.0%4.4%
Term Structure3.5%-1.5%7.0%-0.5%6.9%
VWIV29.3%20.6%37.7%33.4%28.6%
Skew 25d2.6%0.7%4.3%1.1%2.9%
Skew 10d5.6%1.0%10.7%8.0%3.0%
Call IV 25d28.8%26.4%31.9%31.9%26.7%
Put IV 25d31.5%28.2%34.4%33.0%29.6%
Bid-Ask Spread %86.7179.0694.6391.1092.44
Gamma HHI0.220.190.310.310.24
Net GEX-16.3K-50.5K7.8K-50.5K7.8K
Net DEX-165.5K-760.1K825.4K825.4K-760.1K
Net VEX-11.0K-12.4K-9.6K-12.2K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.007.642.230.14
Total Volume29.2861954216
Total OI2,010.8571,3812,3412,1871,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$54.04$60.0031.6%9.1%39.3%18.2%33.4%1.1%-0.5%-50.5K825.4K-12.2K2.2391.10N/AN/A13291,0811,106
2014-06-03$54.64$60.0031.8%9.1%39.5%18.4%30.1%3.6%-1.5%-42.1K602.4K-12.4K0.5790.08N/AN/A741,0931,106
2014-06-04$54.14$60.0030.6%8.8%39.1%16.7%30.6%2.7%-0.4%-47.0K683.0K-12.1K0.7589.48N/AN/A431,0941,106
2014-06-05$55.63$60.0030.8%8.8%40.9%17.0%37.7%4.3%-0.5%-32.2K331.7K-12.1K0.2692.47N/AN/A43111,0921,105
2014-06-06$55.56$50.0028.9%8.7%40.9%14.1%29.8%2.8%3.2%-37.7K416.2K-11.6K0.1579.28N/AN/A5581,0641,105
2014-06-09$56.13$50.0030.5%8.7%40.8%16.6%20.6%3.5%3.3%-22.2K211.9K-11.3K0.0379.60N/AN/A6321,0811,113
2014-06-10$56.47$50.0030.5%8.6%38.1%16.5%29.3%2.4%3.7%-10.3K-184.4K-11.6K0.5081.37N/AN/A211,1441,113
2014-06-11$56.50$50.0031.4%8.7%37.8%17.9%0.0%2.7%3.6%-13.9K-173.1K-11.6K0.1979.06N/AN/A2141,1461,112
2014-06-12$56.50$50.0030.8%8.8%36.4%16.9%0.0%3.3%2.6%-13.4K-176.7K-11.6K0.0080.92N/AN/A401,1661,111
2014-06-13$56.82$50.0030.6%8.8%36.5%16.7%28.8%3.1%3.0%-13.0K-258.0K-11.2K0.9182.50N/AN/A33301,1641,111
2014-06-16$56.41$50.0030.7%8.8%35.0%16.9%29.0%3.4%3.2%-24.8K-203.9K-11.2K0.6082.87N/AN/A1061,1971,141
2014-06-17$56.79$50.0031.1%8.9%35.2%17.5%0.0%3.1%2.8%-21.8K-340.0K-10.9K0.3386.58N/AN/A931,1971,135
2014-06-18$57.19$50.0029.2%8.4%34.4%14.6%29.8%2.0%4.5%-14.0K-513.4K-10.6K0.3185.42N/AN/A1341,2031,138
2014-06-19$57.24$50.0029.7%8.5%14.4%15.3%29.7%2.5%3.6%-4.2K-572.2K-10.3K3.5085.24N/AN/A6211,1901,128
2014-06-20$57.57$50.0026.9%7.7%14.3%11.2%28.3%1.9%4.2%-315-640.9K-10.4K1.0987.47N/AN/A22241,1941,138
2014-06-23$56.87$50.0028.0%8.0%14.7%12.8%28.2%0.7%7.0%-1.1K-557.8K-10.3K3.0085.79N/AN/A39656738
2014-06-24$56.50$50.0029.4%8.4%15.0%14.8%29.3%2.9%5.6%-4.0K-442.4K-10.3K7.6490.17N/AN/A1184659747
2014-06-25$56.55$50.0028.2%8.1%14.9%13.0%28.0%2.7%6.8%-2.8K-458.9K-10.1K0.0091.99N/AN/A04660721
2014-06-26$57.17$50.0028.2%8.1%14.7%13.1%27.4%2.0%6.9%-1.0K-576.0K-9.9K0.0092.50N/AN/A10660725
2014-06-27$57.82$50.0026.3%7.5%14.3%10.3%28.1%1.8%6.2%5.5K-689.0K-9.9K0.8894.63N/AN/A1715659725
2014-06-30$57.96$50.0026.8%7.7%14.1%11.0%28.6%2.9%6.9%7.8K-760.1K-9.6K0.1492.44N/AN/A142674730