VSAT Options History — September 2014

In September 2014, VSAT traded between $55.12 and $58.91. ATM implied volatility averaged 25.4%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.0% (HV 20d: 22.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2014-09-18: Highest Volume — 303 contracts
  • 2014-09-11: Largest IV spike — 58.8% change
  • 2014-09-15: Highest IV Rank — 14.8%
  • 2014-09-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.99$55.12$58.91$57.48$55.12
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV25.4%16.4%30.0%20.8%28.1%
Expected Move8.9%8.6%9.3%8.7%9.1%
HV 20d22.4%14.1%33.6%33.6%19.5%
HV 60d23.5%22.6%24.6%22.8%24.6%
IV Rank9.2%0.0%14.8%1.6%13.2%
IV Percentile9.7%0.0%25.8%0.4%18.3%
Term Structure4.5%-8.0%9.3%9.3%7.3%
VWIV31.3%29.9%32.7%32.0%32.7%
Skew 25d2.0%-2.8%5.3%2.2%3.0%
Skew 10d1.9%-4.8%7.7%1.9%3.0%
Call IV 25d23.8%20.3%33.7%22.6%21.1%
Put IV 25d25.7%21.5%38.0%24.8%24.2%
Bid-Ask Spread %70.2155.15100.0175.8870.28
Gamma HHI0.350.210.660.450.22
Net GEX44.7K15.8K117.4K57.4K25.9K
Net DEX-1.1M-1.9M-377.9K-1.3M-470.3K
Net VEX-12.0K-13.8K-10.8K-13.6K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.001.000.00
Total Volume23.381030300
Total OI1,901.2861,2342,3482,2161,237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$57.48$50.0020.8%8.7%33.6%1.6%0.0%2.2%9.3%57.4K-1.3M-13.6K0.0075.88N/AN/A001,1581,058
2014-09-03$57.37$50.0021.0%8.9%33.4%1.9%0.0%-0.4%9.3%53.5K-1.2M-13.8K1.0073.47N/AN/A331,1581,058
2014-09-04$57.33$50.0024.4%8.9%33.4%5.8%0.0%1.2%5.7%57.1K-1.3M-13.2K0.0070.89N/AN/A001,1581,058
2014-09-05$57.59$50.0030.0%9.3%32.0%12.4%0.0%4.3%-8.0%58.8K-1.3M-13.8K0.00100.01N/AN/A001,1581,058
2014-09-08$57.35$50.0022.6%8.7%32.0%3.7%0.0%-0.6%1.4%54.8K-1.2M-12.7K0.0070.37N/AN/A001,1581,058
2014-09-09$57.27$50.0025.3%8.9%32.0%6.9%0.0%-0.4%3.8%49.4K-1.2M-12.4K0.2074.15N/AN/A511,1581,058
2014-09-10$57.47$50.0016.4%8.9%32.0%0.0%0.0%0.8%5.2%43.6K-1.3M-12.2K0.0071.14N/AN/A001,1581,059
2014-09-11$58.57$50.0026.1%8.6%14.6%10.9%0.0%3.8%3.3%88.1K-1.7M-12.3K0.0071.26N/AN/A3001,1581,059
2014-09-12$57.84$50.0024.6%8.7%15.9%9.2%0.0%4.3%5.1%65.5K-1.5M-12.2K0.0073.99N/AN/A001,1881,059
2014-09-15$57.10$50.0029.5%8.9%14.7%14.8%0.0%1.6%0.1%32.6K-1.2M-11.8K0.0062.58N/AN/A001,1881,059
2014-09-16$57.26$50.0029.2%8.9%14.1%14.4%0.0%2.2%0.9%15.8K-1.3M-11.4K0.2069.07N/AN/A511,1881,059
2014-09-17$57.57$50.0024.2%8.8%14.1%8.7%32.0%0.6%5.4%25.1K-1.4M-11.3K0.0067.63N/AN/A501,1831,060
2014-09-18$58.91$50.0024.9%8.6%16.0%9.6%0.0%5.3%5.1%117.4K-1.9M-10.8K0.0355.56N/AN/A29581,1681,036
2014-09-19$57.52$50.0021.2%8.8%17.9%5.4%29.9%5.3%5.2%34.5K-1.9M-11.5K0.5455.15N/AN/A37201,3041,044
2014-09-22$57.02$50.0029.0%8.9%17.8%14.2%31.6%2.5%2.9%34.2K-928.8K-11.3K0.0070.78N/AN/A240609632
2014-09-23$55.55$50.0027.6%8.9%19.9%12.6%30.5%1.3%6.3%26.5K-533.9K-11.5K0.2966.41N/AN/A144607632
2014-09-24$55.78$50.0027.3%8.8%19.5%12.3%32.7%-2.8%5.9%25.0K-492.9K-11.3K0.0060.60N/AN/A330605634
2014-09-25$55.26$50.0026.2%8.9%19.6%11.0%0.0%1.1%6.8%23.4K-377.9K-11.3K0.0072.90N/AN/A00600634
2014-09-26$55.52$50.0026.5%8.9%19.7%11.3%0.0%1.8%7.0%24.1K-378.3K-11.1K0.0073.93N/AN/A03600634
2014-09-29$55.81$50.0028.1%8.8%19.5%13.2%0.0%4.7%7.1%25.2K-447.5K-11.0K0.0068.38N/AN/A00600637
2014-09-30$55.12$50.0028.1%9.1%19.5%13.2%0.0%3.0%7.3%25.9K-470.3K-10.9K0.0070.28N/AN/A00600637