VSAT Options History — August 2014

In August 2014, VSAT traded between $53.01 and $59.05. ATM implied volatility averaged 42.0%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 12.9% (HV 20d: 29.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.61.

Notable Days

  • 2014-08-11: Highest Volume — 1,376 contracts
  • 2014-08-13: Largest IV drop — 62.6% change
  • 2014-08-11: Highest IV Rank — 100.0%
  • 2014-08-12: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.55$53.01$59.05$58.39$56.94
Max Pain$50.00$45.00$55.00$45.00$50.00
ATM IV42.0%24.9%105.2%47.6%25.8%
Expected Move9.1%8.6%9.7%9.1%8.6%
HV 20d29.1%18.6%36.4%19.0%33.4%
HV 60d24.6%22.7%28.8%26.7%22.7%
IV Rank30.3%6.4%100.0%42.1%7.4%
IV Percentile43.5%1.2%100.0%87.3%3.2%
Term Structure-1.2%-13.4%4.6%-13.4%0.6%
VWIV31.6%29.8%34.4%33.6%29.8%
Skew 25d1.6%-2.7%3.6%2.9%0.7%
Skew 10d3.7%-4.7%12.0%12.0%-1.5%
Call IV 25d30.8%22.5%46.9%46.9%24.3%
Put IV 25d32.5%22.4%49.8%49.8%25.0%
Bid-Ask Spread %56.5337.3474.8137.3474.81
Gamma HHI0.310.200.610.200.39
Net GEX2.7K-211.1K60.4K1.5K47.9K
Net DEX945.9K-1.3M9.1M-602.7K-1.0M
Net VEX-12.7K-16.2K-8.9K-9.3K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0032.030.370.06
Total Volume210.57101,3761631
Total OI2,369.5711,4774,0671,4772,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$58.39$45.0047.6%9.1%19.0%42.1%33.6%2.9%-13.4%1.5K-602.7K-9.3K0.3737.34N/AN/A11944696781
2014-08-04$58.50$50.0050.1%9.1%18.6%45.8%0.0%3.5%-2.8%21.4K-860.2K-10.2K0.0040.54N/AN/A10795814
2014-08-05$59.05$50.0052.0%9.1%18.7%48.6%0.0%2.3%-3.2%24.6K-1.0M-10.1K4.5040.51N/AN/A29795812
2014-08-06$58.90$50.0054.1%9.3%18.7%51.8%0.0%3.2%-2.6%23.9K-1.0M-10.0K0.0041.29N/AN/A550794821
2014-08-07$57.29$50.0056.7%9.4%21.4%55.6%34.4%2.2%-3.2%13.9K-521.7K-9.9K0.2138.31N/AN/A15031794821
2014-08-08$57.35$50.0062.6%9.4%21.4%64.5%0.0%3.2%-4.4%30.3K-717.4K-10.4K32.0341.63N/AN/A30961876845
2014-08-11$57.56$50.0090.5%9.4%21.4%100.0%32.2%1.4%-6.6%-128.2K2.0M-11.9K1.8558.42N/AN/A4838938811,613
2014-08-12$57.26$50.00105.2%9.7%21.3%100.0%0.0%3.3%-8.0%-211.1K4.2M-15.3K1.4155.97N/AN/A1071511,2932,404
2014-08-13$53.01$50.0039.4%9.2%34.7%23.3%33.3%0.0%0.3%-48.3K9.1M-8.9K2.1258.60N/AN/A1292731,3652,526
2014-08-14$53.06$50.0032.9%9.0%34.8%15.6%31.5%-2.7%-0.6%-86.5K9.0M-11.6K0.9863.22N/AN/A61601,3722,695
2014-08-15$54.47$50.0027.7%8.9%35.9%9.6%31.1%3.4%4.0%-34.1K8.7M-10.8K1.8857.21N/AN/A42791,3792,655
2014-08-18$55.24$55.0028.0%9.0%36.4%10.0%31.5%3.6%0.4%18.3K96.3K-12.1K0.0160.63N/AN/A27029341,018
2014-08-19$55.38$50.0026.1%9.0%34.5%7.8%31.1%2.7%3.6%42.8K-595.6K-15.3K0.2067.26N/AN/A56111,1761,020
2014-08-20$55.46$50.0027.9%8.9%34.5%9.9%0.0%1.7%1.8%47.3K-827.9K-16.2K0.7864.37N/AN/A971,2261,026
2014-08-21$56.30$50.0026.2%8.9%34.6%7.9%31.1%-1.8%1.3%52.3K-959.0K-15.8K0.3165.10N/AN/A32101,2241,026
2014-08-22$56.93$50.0025.6%8.9%34.7%7.2%30.9%0.9%0.8%60.4K-1.3M-15.5K0.1361.86N/AN/A4561,2031,016
2014-08-25$56.39$50.0026.4%9.0%34.7%8.1%30.3%0.5%0.6%50.2K-979.8K-15.3K0.2254.11N/AN/A89201,2001,022
2014-08-26$57.00$50.0026.3%8.8%34.4%8.0%30.2%2.5%0.1%51.6K-1.1M-14.8K0.0663.40N/AN/A168101,1661,042
2014-08-27$56.56$50.0024.9%8.8%34.0%6.4%0.0%0.7%4.6%41.5K-894.9K-14.2K0.0071.08N/AN/A001,1581,052
2014-08-28$56.41$50.0025.7%8.6%33.2%7.3%29.8%-0.3%1.6%37.5K-810.7K-14.1K0.0071.49N/AN/A061,1581,052
2014-08-29$56.94$50.0025.8%8.6%33.4%7.4%0.0%0.7%0.6%47.9K-1.0M-14.1K0.0074.81N/AN/A011,1581,057