VSAT Options History — December 2014

In December 2014, VSAT traded between $61.09 and $66.20. ATM implied volatility averaged 28.4%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.7% (HV 20d: 25.7%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2014-12-10: Highest Volume — 255 contracts
  • 2014-12-15: Largest IV spike — 13.3% change
  • 2014-12-17: Highest IV Rank — 17.2%
  • 2014-12-24: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.75$61.09$66.20$65.81$63.03
Max Pain$53.81$50.00$65.00$50.00$65.00
ATM IV28.4%24.4%31.7%27.5%28.5%
Expected Move9.9%8.9%11.3%8.9%10.9%
HV 20d25.7%19.0%39.7%39.7%20.1%
HV 60d31.1%30.8%31.8%30.8%30.9%
IV Rank13.4%9.0%17.2%12.5%13.6%
IV Percentile26.8%2.8%49.2%19.0%27.8%
Term Structure5.2%-1.6%10.4%-0.3%8.8%
VWIV34.5%31.2%41.5%31.2%40.6%
Skew 25d3.4%-0.6%8.7%3.2%4.8%
Skew 10d4.8%-5.9%20.0%7.1%4.3%
Call IV 25d26.3%21.0%30.5%25.9%25.7%
Put IV 25d29.7%23.7%33.1%29.1%30.5%
Bid-Ask Spread %68.9660.7679.2564.9375.72
Gamma HHI0.340.240.530.340.27
Net GEX27.6K-92.3K83.9K72.7K18.6K
Net DEX-1.8M-3.0M-872.9K-2.8M-1.2M
Net VEX-7.3K-8.6K-6.0K-8.4K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0015.000.250.00
Total Volume157.5911125519011
Total OI1,579.0917961,9661,866863

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$65.81$50.0027.5%8.9%39.7%12.5%31.2%3.2%-0.3%72.7K-2.8M-8.4K0.2564.93N/AN/A152387961,070
2014-12-02$65.64$50.0026.4%9.3%39.7%11.3%32.1%2.1%0.0%73.0K-2.8M-7.8K0.2463.71N/AN/A159388031,072
2014-12-03$66.20$50.0025.5%9.0%38.8%10.3%31.5%-0.6%0.8%83.9K-3.0M-7.8K0.2462.10N/AN/A172418151,072
2014-12-04$65.19$50.0028.8%9.2%38.9%14.0%32.2%8.7%-1.6%63.2K-2.5M-8.6K2.8061.86N/AN/A10288251,077
2014-12-05$66.17$50.0027.7%9.1%39.1%12.7%31.7%2.4%6.1%82.6K-2.9M-8.4K0.3864.50N/AN/A177678351,105
2014-12-08$64.72$50.0028.0%9.1%28.3%13.0%32.0%3.2%4.6%64.4K-2.3M-8.4K0.4362.42N/AN/A177778301,105
2014-12-09$65.28$50.0027.7%9.2%25.2%12.7%32.4%2.6%4.9%72.4K-2.5M-7.9K0.4363.30N/AN/A177778301,105
2014-12-10$63.25$50.0024.4%9.3%27.8%9.0%32.5%1.9%5.5%46.4K-1.8M-8.2K0.4362.11N/AN/A178778301,105
2014-12-11$63.34$50.0027.3%9.2%26.7%12.3%32.4%2.5%5.5%54.1K-1.8M-8.0K0.4366.04N/AN/A178778311,100
2014-12-12$62.64$50.0026.9%9.5%20.1%11.8%33.1%2.9%6.0%40.2K-1.5M-8.0K0.4472.34N/AN/A175778311,100
2014-12-15$62.12$50.0030.4%9.7%19.9%15.8%32.9%3.0%4.0%16.5K-1.3M-7.3K1.1967.80N/AN/A79948331,100
2014-12-16$61.09$50.0030.5%9.9%19.0%15.8%34.0%2.8%3.9%-67.3K-919.7K-7.2K0.9460.76N/AN/A77728331,117
2014-12-17$61.35$50.0031.7%9.8%19.2%17.2%33.8%2.6%2.1%-92.3K-872.9K-7.0K0.8570.58N/AN/A91778301,122
2014-12-18$62.16$50.0030.7%10.1%20.1%16.1%33.7%6.9%4.7%-41.6K-1.4M-6.7K0.8572.65N/AN/A91778461,112
2014-12-19$62.83$50.0027.4%9.2%20.3%12.3%32.3%6.9%3.4%2.9K-1.5M-6.6K15.0073.18N/AN/A1158461,120
2014-12-22$63.53$0.0028.9%10.8%20.8%14.0%41.5%3.1%8.6%21.2K-1.3M-6.0K2.7276.08N/AN/A2979408388
2014-12-23$63.87$55.0028.4%11.0%20.3%13.5%39.7%3.0%9.8%20.0K-1.3M-6.3K2.6277.19N/AN/A3489408401
2014-12-24$63.75$65.0029.6%11.3%20.3%14.8%40.5%4.2%10.4%19.6K-1.3M-6.3K3.3679.25N/AN/A2584418411
2014-12-26$63.74$65.0029.0%10.8%20.2%14.2%39.7%2.8%8.7%20.4K-1.3M-6.6K3.3178.09N/AN/A2996425416
2014-12-29$63.75$65.0029.5%11.1%20.0%14.7%40.6%1.2%9.5%19.6K-1.3M-6.5K2.6668.98N/AN/A38101429420
2014-12-30$63.08$65.0029.0%11.3%20.1%14.2%0.0%4.4%9.8%17.6K-1.2M-6.5K0.1873.55N/AN/A224427430
2014-12-31$63.03$65.0028.5%10.9%20.1%13.6%0.0%4.8%8.8%18.6K-1.2M-6.6K0.0075.72N/AN/A110437426