VSAT Options History — October 2014

In October 2014, VSAT traded between $53.19 and $62.60. ATM implied volatility averaged 38.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 15.0% (HV 20d: 23.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 2.53.

Notable Days

  • 2014-10-06: Highest Volume — 6,118 contracts
  • 2014-10-15: Largest IV spike — 22.7% change
  • 2014-10-27: Highest IV Rank — 36.1%
  • 2014-10-21: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.98$53.19$62.60$55.09$62.60
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV38.4%25.4%48.5%29.0%45.6%
Expected Move9.8%9.1%10.3%9.1%9.5%
HV 20d23.4%19.5%30.0%19.5%30.0%
HV 60d25.9%24.5%27.8%24.5%27.8%
IV Rank24.8%10.1%36.1%14.1%32.9%
IV Percentile56.8%5.6%86.1%22.6%79.8%
Term Structure-4.9%-10.5%12.9%6.8%-8.7%
VWIV35.7%34.2%36.7%34.9%36.7%
Skew 25d3.7%1.4%8.0%1.5%5.4%
Skew 10d8.3%2.5%14.2%3.2%8.7%
Call IV 25d40.3%18.4%48.5%22.6%45.0%
Put IV 25d44.0%24.1%50.8%24.1%50.4%
Bid-Ask Spread %64.2054.5073.9873.9856.49
Gamma HHI0.430.220.590.220.34
Net GEX-277.8K-451.1K32.9K23.0K-23.6K
Net DEX2.7M-5.9M7.1M-333.1K-5.9M
Net VEX-36.0K-49.9K-10.6K-11.0K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.005.650.005.08
Total Volume730.34806,1180687
Total OI6,369.4781,2377,6561,2377,543

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$55.09$50.0029.0%9.1%19.5%14.1%0.0%1.5%6.8%23.0K-333.1K-11.0K0.0073.98N/AN/A00600637
2014-10-02$55.84$50.0029.8%9.1%20.2%15.0%0.0%4.5%3.6%26.7K-465.0K-10.8K0.0065.81N/AN/A100600637
2014-10-03$56.17$50.0025.4%9.1%20.3%10.1%0.0%8.0%12.9%31.4K-587.1K-10.6K0.0072.25N/AN/A00607637
2014-10-06$56.22$50.0027.4%9.8%20.3%12.4%0.0%3.6%-5.3%32.9K-682.9K-10.8K3.4869.09N/AN/A1,3654,753607637
2014-10-07$54.97$50.0029.3%9.7%21.7%14.4%0.0%3.3%-4.4%-321.6K4.0M-48.9K0.0057.72N/AN/A201,9725,319
2014-10-08$56.09$50.0028.3%9.6%23.0%13.4%34.9%3.5%-4.5%-316.8K3.0M-48.3K0.5759.65N/AN/A1,5789031,9785,319
2014-10-09$54.65$50.0031.0%9.8%23.3%16.4%36.2%3.0%-5.2%-347.4K4.8M-49.9K3.5769.05N/AN/A7251,9755,334
2014-10-10$53.19$50.0027.7%9.9%24.6%12.7%34.2%3.9%-5.1%-393.3K6.4M-48.4K0.2363.55N/AN/A2251,9795,349
2014-10-13$53.37$50.0032.9%9.8%24.5%18.5%35.9%3.3%-4.6%-434.2K7.1M-47.5K0.0070.24N/AN/A2801,9785,354
2014-10-14$54.24$50.0030.6%9.9%25.4%15.9%34.9%2.6%-4.0%-387.6K5.8M-46.7K3.4069.98N/AN/A3361,1441,9725,354
2014-10-15$54.15$50.0037.5%10.2%25.2%23.8%35.9%2.6%-4.9%-431.6K6.7M-47.8K1.6154.50N/AN/A3655861,9675,689
2014-10-16$54.42$50.0045.3%10.2%23.5%32.5%36.0%3.6%-6.1%-384.4K6.1M-47.3K0.1971.14N/AN/A2751,9535,670
2014-10-17$54.38$50.0042.9%9.8%22.3%29.8%35.3%4.5%-7.3%-358.3K6.0M-46.6K0.0062.92N/AN/A1201,9505,675
2014-10-20$54.87$50.0045.7%10.1%22.6%33.0%36.0%3.4%-6.8%-451.1K5.6M-44.0K5.0157.28N/AN/A1155761,7635,674
2014-10-21$55.96$50.0045.3%10.3%21.9%32.5%36.0%3.4%-6.8%-408.0K4.2M-42.5K5.6563.60N/AN/A1025761,7635,674
2014-10-22$55.23$50.0045.7%10.2%22.4%33.0%35.9%4.3%-5.9%-396.9K4.0M-41.7K5.6557.68N/AN/A1025761,7635,674
2014-10-23$56.25$50.0046.0%10.1%23.0%33.3%35.8%3.5%-7.3%-359.3K3.0M-40.1K4.6659.90N/AN/A1245781,7835,674
2014-10-24$56.29$50.0047.1%10.0%23.0%34.5%35.9%3.6%-8.4%-375.4K3.2M-39.7K4.6662.96N/AN/A1245781,7775,674
2014-10-27$56.27$50.0048.5%10.1%22.9%36.1%0.0%4.3%-9.2%-394.5K3.2M-37.5K0.0071.40N/AN/A2401,7735,674
2014-10-28$58.40$50.0047.3%9.6%25.8%34.7%0.0%3.5%-10.5%-309.3K-52.2K-31.7K0.0165.55N/AN/A6911,7925,674
2014-10-29$58.43$50.0047.0%9.9%25.8%34.4%35.9%4.0%-10.0%-229.9K-167.0K-32.7K4.7061.73N/AN/A1225741,8585,674
2014-10-30$60.37$50.0048.2%9.6%27.7%35.8%35.7%1.4%-10.3%-180.9K-3.9M-22.3K4.6760.09N/AN/A1235741,8685,674
2014-10-31$62.60$50.0045.6%9.5%30.0%32.9%36.7%5.4%-8.7%-23.6K-5.9M-21.4K5.0856.49N/AN/A1135741,8695,674