VSAT Options History — January 2015

In January 2015, VSAT traded between $56.07 and $62.00. ATM implied volatility averaged 41.3%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 19.2% (HV 20d: 22.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.44.

Notable Days

  • 2015-01-08: Highest Volume — 635 contracts
  • 2015-01-13: Largest IV spike — 28.4% change
  • 2015-01-30: Highest IV Rank — 39.0%
  • 2015-01-30: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.76$56.07$62.00$62.00$56.23
Max Pain$62.00$60.00$65.00$65.00$60.00
ATM IV41.3%30.3%51.0%30.6%51.0%
Expected Move12.8%11.3%14.6%11.3%14.6%
HV 20d22.1%20.4%23.3%20.4%23.0%
HV 60d30.8%28.9%31.6%30.7%28.9%
IV Rank28.0%15.6%39.0%16.0%39.0%
IV Percentile72.3%42.5%92.1%45.6%92.1%
Term Structure-7.0%-14.3%9.8%9.8%-14.3%
VWIV43.7%40.4%48.8%40.5%48.8%
Skew 25d4.6%3.4%5.8%3.5%5.3%
Skew 10d13.1%6.2%21.3%11.4%13.0%
Call IV 25d42.1%29.3%48.4%29.3%48.4%
Put IV 25d46.7%32.8%53.7%32.8%53.7%
Bid-Ask Spread %79.7568.1088.8868.1086.02
Gamma HHI0.400.240.740.270.24
Net GEX-45.4K-235.1K17.7K16.9K10.4K
Net DEX-495.6K-1.1M168.9K-1.1M-491.7K
Net VEX-7.6K-8.6K-6.7K-6.7K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.007.337.330.98
Total Volume265.80635533190
Total OI1,227.758741,4828741,094

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$62.00$65.0030.6%11.3%20.4%16.0%40.5%3.5%9.8%16.9K-1.1M-6.7K7.3368.10N/AN/A64469448426
2015-01-05$59.98$65.0035.7%12.1%22.6%21.7%0.0%4.3%-5.4%-51.0K-615.9K-7.8K0.0074.63N/AN/A08468831
2015-01-06$58.82$65.0034.5%12.1%22.1%20.3%0.0%4.4%-5.8%-61.3K-272.3K-8.0K0.5076.06N/AN/A21468831
2015-01-07$58.52$65.0032.6%11.9%21.2%18.3%0.0%3.7%-5.2%-79.6K-44.4K-7.9K0.4877.68N/AN/A2713469832
2015-01-08$60.00$65.0031.9%12.0%23.3%17.4%42.4%3.4%-6.3%-54.2K-587.7K-7.6K3.0778.78N/AN/A156479484845
2015-01-09$59.51$65.0031.1%11.9%21.0%16.5%42.1%3.9%-5.1%-38.2K-930.6K-8.6K3.6670.51N/AN/A131479568851
2015-01-12$58.65$65.0030.3%12.0%21.3%15.6%43.0%5.1%-6.1%-73.5K-562.0K-8.4K3.6578.60N/AN/A132482572856
2015-01-13$57.17$65.0038.9%12.2%22.6%25.3%40.7%5.3%-4.9%-114.1K-253.9K-8.3K3.1776.07N/AN/A152482583866
2015-01-14$56.58$60.0042.9%12.3%22.6%29.8%40.4%4.3%-4.2%-165.2K40.6K-8.2K4.3977.59N/AN/A108474601866
2015-01-15$56.07$60.0043.9%12.6%22.2%30.9%40.9%4.9%-7.6%-235.1K168.9K-8.1K4.7774.04N/AN/A108515602868
2015-01-16$56.37$60.0045.2%13.0%22.3%32.4%47.3%4.6%-7.5%-168.4K-250.9K-7.8K5.8383.43N/AN/A635602880
2015-01-20$56.10$60.0045.8%13.1%21.3%33.0%0.0%4.6%-8.4%8.7K-449.4K-7.4K0.0077.84N/AN/A50593477
2015-01-21$56.14$60.0046.7%13.4%20.6%34.1%0.0%5.5%-10.7%9.2K-485.5K-7.2K0.0080.53N/AN/A00593477
2015-01-22$57.41$60.0045.3%13.0%22.2%32.5%43.9%5.1%-6.8%14.3K-676.7K-7.3K0.8778.00N/AN/A10995593477
2015-01-23$57.67$60.0044.8%12.8%22.1%31.9%44.3%4.3%-10.0%16.2K-774.7K-7.2K0.9087.93N/AN/A10796603477
2015-01-26$58.05$60.0046.2%13.3%22.5%33.6%0.0%4.6%-10.2%17.7K-827.5K-7.2K0.0088.88N/AN/A30607480
2015-01-27$57.00$60.0049.0%14.1%22.9%36.7%0.0%5.8%-10.3%14.8K-694.9K-7.1K0.0088.52N/AN/A00607480
2015-01-28$56.38$60.0049.2%14.1%22.9%36.9%46.1%5.4%-9.8%12.2K-590.1K-7.0K0.9087.13N/AN/A10494607480
2015-01-29$56.61$60.0049.5%14.2%23.1%37.3%47.7%4.8%-10.9%12.4K-534.6K-6.8K0.9884.70N/AN/A9694612481
2015-01-30$56.23$60.0051.0%14.6%23.0%39.0%48.8%5.3%-14.3%10.4K-491.7K-6.7K0.9886.02N/AN/A9694613481