VSAT Options History — July 2014

In July 2014, VSAT traded between $56.83 and $59.79. ATM implied volatility averaged 36.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 23.1% (HV 20d: 13.0%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2014-07-16: Highest Volume — 223 contracts
  • 2014-07-10: Largest IV spike — 25.7% change
  • 2014-07-31: Highest IV Rank — 34.1%
  • 2014-07-15: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.84$56.83$59.79$57.49$58.47
Max Pain$50.75$45.00$55.00$50.00$45.00
ATM IV36.2%26.3%42.3%29.3%42.3%
Expected Move9.6%7.5%11.2%8.4%9.0%
HV 20d13.0%10.3%19.0%14.4%19.0%
HV 60d27.4%26.0%30.2%30.2%26.8%
IV Rank25.0%10.2%34.1%14.8%34.1%
IV Percentile51.0%3.6%76.6%15.1%76.6%
Term Structure-3.8%-9.2%7.5%6.4%-9.2%
VWIV34.6%29.2%39.0%29.2%32.9%
Skew 25d2.8%1.6%3.7%2.8%2.9%
Skew 10d7.7%1.0%15.3%2.5%8.9%
Call IV 25d35.8%26.8%42.4%27.1%42.4%
Put IV 25d38.6%28.5%45.2%29.9%45.2%
Bid-Ask Spread %58.3229.4594.0493.7431.11
Gamma HHI0.210.180.260.230.20
Net GEX-2.0K-23.3K13.8K4.5K8.0K
Net DEX-719.6K-1.1M-502.0K-692.0K-724.1K
Net VEX-9.0K-9.6K-8.3K-9.6K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.007.911.400.30
Total Volume36.63602231229
Total OI1,407.7271,2691,5331,3941,451

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$57.49$50.0029.3%8.4%14.4%14.8%0.0%2.8%6.4%4.5K-692.0K-9.6K1.4093.74N/AN/A57664730
2014-07-02$57.38$50.0028.7%8.2%13.8%13.8%0.0%1.6%6.3%3.1K-659.6K-9.6K0.0094.04N/AN/A01669735
2014-07-03$57.64$50.0026.3%7.5%10.5%10.2%29.2%2.4%7.5%4.5K-685.4K-9.5K5.5092.26N/AN/A211669736
2014-07-07$57.10$55.0031.6%10.5%11.2%18.2%0.0%3.1%-2.8%-5.7K-552.6K-9.1K0.6770.73N/AN/A32669746
2014-07-08$56.83$55.0034.0%10.6%10.9%21.7%37.0%3.6%-3.1%-11.1K-502.0K-9.0K0.0069.45N/AN/A01670746
2014-07-09$57.09$55.0029.6%10.5%10.8%15.1%0.0%2.5%-3.5%-13.0K-593.6K-8.9K0.0068.03N/AN/A00670746
2014-07-10$56.99$55.0037.2%10.7%10.8%26.5%35.5%3.2%-3.4%-17.8K-552.4K-8.8K0.0070.04N/AN/A140670746
2014-07-11$57.23$55.0037.0%10.6%10.9%26.3%0.0%3.0%-3.6%-15.4K-629.6K-8.8K0.0072.08N/AN/A90682745
2014-07-14$57.45$55.0038.4%11.0%10.8%28.3%0.0%3.7%-4.7%-9.7K-694.8K-8.5K0.0071.58N/AN/A01688745
2014-07-15$57.04$55.0039.0%11.2%10.8%29.2%39.0%3.6%-5.9%-23.3K-628.1K-8.5K0.0073.44N/AN/A09688745
2014-07-16$57.11$55.0038.4%11.0%10.5%28.3%0.0%3.2%-6.4%-22.1K-675.6K-8.3K0.0172.88N/AN/A2203688754
2014-07-17$57.01$55.0038.1%10.9%10.3%27.8%0.0%2.7%-4.4%-8.6K-963.6K-9.2K1.6774.77N/AN/A610776753
2014-07-18$57.72$55.0036.0%10.3%11.2%24.8%38.1%3.4%-3.9%3.1K-1.1M-9.0K0.1874.62N/AN/A224780753
2014-07-21$57.39$0.0039.1%9.4%11.2%29.4%0.0%3.0%-5.3%4.0K-504.9K-8.8K1.0029.58N/AN/A1313613656
2014-07-22$59.10$0.0036.2%9.0%14.5%25.0%32.4%2.4%-4.5%11.7K-885.9K-8.7K7.9129.45N/AN/A23182626669
2014-07-23$58.55$45.0037.1%8.9%14.7%26.4%0.0%2.1%-5.2%1.8K-609.3K-9.0K0.0031.85N/AN/A560608723
2014-07-24$59.36$45.0037.0%8.9%15.3%26.2%32.9%2.3%-4.8%8.4K-860.8K-9.1K0.2930.90N/AN/A3410632723
2014-07-25$58.63$45.0037.8%8.9%15.8%27.3%32.9%1.6%-6.2%7.8K-733.9K-9.1K0.0034.80N/AN/A150644721
2014-07-28$58.06$45.0040.5%8.9%15.8%31.4%0.0%2.2%-8.2%6.9K-680.7K-9.1K2.7032.03N/AN/A1027654721
2014-07-29$59.01$45.0040.9%8.9%16.8%32.0%0.0%3.4%-9.2%4.9K-801.4K-9.1K0.3032.82N/AN/A4714663746
2014-07-30$59.79$45.0041.4%8.9%17.0%32.7%0.0%3.1%-8.7%13.8K-1.1M-9.0K0.0032.84N/AN/A03697760
2014-07-31$58.47$45.0042.3%9.0%19.0%34.1%0.0%2.9%-9.2%8.0K-724.1K-9.2K0.0031.11N/AN/A029696755