VSAT Options History — November 2014

In November 2014, VSAT traded between $60.28 and $67.61. ATM implied volatility averaged 35.1%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 4.1% (HV 20d: 39.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 8.23.

Notable Days

  • 2014-11-06: Highest Volume — 9,598 contracts
  • 2014-11-07: Largest IV drop — 56.8% change
  • 2014-11-06: Highest IV Rank — 62.7%
  • 2014-11-06: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.77$60.28$67.61$62.47$66.30
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV35.1%25.7%72.1%52.4%25.7%
Expected Move9.6%8.7%11.5%10.0%9.7%
HV 20d39.2%28.0%44.0%30.1%41.2%
HV 60d29.4%23.2%30.8%27.8%30.7%
IV Rank21.1%10.5%62.7%40.5%10.5%
IV Percentile34.7%7.1%98.0%90.9%7.1%
Term Structure-1.4%-23.4%6.8%-12.5%1.6%
VWIV34.6%32.4%40.5%37.3%32.4%
Skew 25d2.4%-0.4%9.5%5.2%0.5%
Skew 10d5.6%-7.8%17.9%9.5%-1.3%
Call IV 25d34.1%23.1%70.5%49.3%24.0%
Put IV 25d36.6%24.2%72.1%54.5%24.5%
Bid-Ask Spread %68.1055.7679.9159.3458.20
Gamma HHI0.420.270.810.340.32
Net GEX243.8K-363.8K1.4M24.1K76.1K
Net DEX-8.0M-16.7M750.1K-5.5M-3.0M
Net VEX-16.9K-34.9K-8.1K-22.7K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.230.2743.705.420.27
Total Volume2,769.47409,5986800
Total OI9,976.7371,86613,6917,5361,866

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$62.47$50.0052.4%10.0%30.1%40.5%37.3%5.2%-12.5%24.1K-5.5M-22.7K5.4259.34N/AN/A1065741,8625,674
2014-11-04$61.21$50.0062.5%10.9%29.8%51.9%37.9%9.5%-16.7%-119.9K-2.7M-28.2K7.5562.82N/AN/A1541,1631,8645,674
2014-11-05$60.38$50.0066.5%10.3%30.0%56.3%39.0%4.8%-22.3%-247.0K-194.1K-33.1K43.7073.96N/AN/A1155,0251,9446,352
2014-11-06$60.28$50.0072.1%11.5%28.0%62.7%40.5%1.6%-23.4%-363.8K750.1K-34.9K3.0855.76N/AN/A2,3507,2481,9967,038
2014-11-07$65.30$50.0031.2%9.3%36.3%16.6%32.7%2.4%3.2%533.7K-11.8M-22.7K10.5674.36N/AN/A4895,1644,1999,492
2014-11-10$63.03$50.0026.6%9.8%39.7%11.4%34.7%3.2%6.8%313.1K-8.1M-18.1K10.0561.06N/AN/A4384,4024,4159,013
2014-11-11$62.82$50.0028.7%9.9%39.8%13.8%34.9%2.1%6.8%-241-6.6M-21.5K6.5079.91N/AN/A6774,4024,2288,991
2014-11-12$64.15$50.0025.9%9.4%40.0%10.7%33.6%1.2%0.4%316.8K-9.2M-18.7K6.5065.19N/AN/A6774,4024,6728,989
2014-11-13$67.25$50.0026.9%9.1%42.2%11.8%32.9%1.1%5.1%983.5K-16.7M-17.8K6.9667.14N/AN/A6294,3774,6728,989
2014-11-14$67.61$50.0027.0%9.1%42.1%11.9%0.0%3.7%4.9%1.4M-16.7M-17.1K2.0773.09N/AN/A27564,5958,992
2014-11-17$65.99$50.0030.2%9.4%43.9%15.5%33.3%-0.4%2.8%345.9K-13.0M-11.3K11.9369.37N/AN/A3664,3674,6149,008
2014-11-18$65.55$50.0028.7%9.4%44.0%13.9%33.5%1.1%3.7%423.7K-12.9M-11.7K11.6771.61N/AN/A3754,3774,6169,005
2014-11-19$65.49$50.0028.7%9.3%43.5%13.8%32.4%2.7%3.7%209.4K-12.3M-11.0K4.7378.00N/AN/A11524,6289,005
2014-11-20$66.00$50.0027.9%9.3%43.3%13.0%32.7%2.0%4.5%259.5K-12.6M-9.9K0.2970.76N/AN/A148434,5738,947
2014-11-21$66.06$50.0026.5%9.3%43.3%11.3%32.5%1.6%6.0%221.5K-12.7M-9.1K0.3868.47N/AN/A160604,5698,950
2014-11-24$66.93$50.0026.5%8.9%43.2%11.3%0.0%0.4%-0.6%78.0K-2.9M-9.2K0.0072.64N/AN/A008041,240
2014-11-25$66.84$50.0026.6%9.4%42.0%11.4%32.8%2.8%-0.0%76.1K-3.1M-8.1K0.2768.23N/AN/A145397961,240
2014-11-26$67.00$50.0026.8%8.7%42.0%11.6%32.4%1.1%-1.1%73.1K-3.1M-8.4K0.0064.02N/AN/A027961,250
2014-11-28$66.30$50.0025.7%9.7%41.2%10.5%0.0%0.5%1.6%76.1K-3.0M-8.1K0.0058.20N/AN/A007961,070