VSAT Options History — March 2015

In March 2015, VSAT traded between $58.08 and $65.47. ATM implied volatility averaged 24.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.3% (HV 20d: 20.3%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2015-03-31: Highest Volume — 664 contracts
  • 2015-03-26: Largest IV spike — 16.5% change
  • 2015-03-09: Highest IV Rank — 13.0%
  • 2015-03-20: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.14$58.08$65.47$65.27$59.64
Max Pain$63.64$55.00$65.00$55.00$65.00
ATM IV24.6%20.4%28.0%24.3%22.6%
Expected Move7.0%5.9%7.6%7.0%6.5%
HV 20d20.3%15.6%26.0%25.3%19.3%
HV 60d23.6%22.9%24.3%24.2%24.1%
IV Rank9.2%4.5%13.0%8.9%7.0%
IV Percentile8.8%0.4%28.6%4.4%2.8%
Term Structure3.0%-1.2%5.8%0.5%3.7%
VWIV23.1%18.6%26.1%24.8%21.4%
Skew 25d5.5%1.2%30.0%8.4%30.0%
Skew 10d9.3%0.4%44.8%12.4%44.8%
Call IV 25d22.0%18.8%25.5%19.1%20.3%
Put IV 25d27.5%24.2%50.2%27.5%50.2%
Bid-Ask Spread %100.9093.52113.13100.54113.13
Gamma HHI0.550.270.800.680.30
Net GEX60.7K-1.3K110.1K100.8K7.1K
Net DEX-1.6M-2.8M11.7K-2.8M-382.0K
Net VEX-5.6K-9.4K-3.9K-4.8K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.008.000.421.06
Total Volume180.3640664272664
Total OI1,076.4554481,1991,152959

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$65.27$55.0024.3%7.0%25.3%8.9%24.8%8.4%0.5%100.8K-2.8M-4.8K0.42100.54N/AN/A19181672480
2015-03-03$65.47$55.0024.5%7.0%25.4%9.1%24.4%8.2%-1.1%106.5K-2.8M-4.5K0.42102.39N/AN/A19181672480
2015-03-04$64.82$55.0025.9%7.4%25.6%10.7%26.1%7.5%-1.2%98.3K-2.6M-4.6K0.42100.50N/AN/A19181672480
2015-03-05$64.80$65.0025.1%7.0%24.3%9.7%24.3%2.7%4.0%104.3K-2.6M-4.5K0.4299.44N/AN/A19181672480
2015-03-06$64.53$65.0025.4%7.0%24.2%10.2%24.5%3.1%3.9%103.1K-2.5M-4.4K0.4999.97N/AN/A19194672480
2015-03-09$64.50$65.0028.0%7.1%23.9%13.0%0.0%2.8%4.5%101.9K-2.5M-4.5K0.0094.39N/AN/A00672495
2015-03-10$62.87$65.0025.6%7.1%26.0%10.3%0.0%2.2%3.8%90.9K-2.0M-4.2K0.0093.52N/AN/A020672495
2015-03-11$63.57$65.0025.4%7.3%23.2%10.1%0.0%4.0%3.9%103.8K-2.1M-4.5K0.00103.59N/AN/A00672515
2015-03-12$63.65$65.0024.4%7.0%20.9%9.0%0.0%5.6%3.8%110.1K-2.1M-4.4K0.00100.32N/AN/A00672515
2015-03-13$62.53$65.0024.3%7.0%18.3%8.9%0.0%5.9%4.0%72.9K-1.8M-4.0K0.00101.74N/AN/A00672515
2015-03-16$63.04$65.0025.7%7.4%18.2%10.5%0.0%2.9%1.3%97.7K-1.9M-3.9K0.00101.67N/AN/A00672515
2015-03-17$62.90$65.0024.9%7.2%17.8%9.6%0.0%1.2%3.0%91.3K-1.9M-3.9K0.0097.37N/AN/A1180672515
2015-03-18$62.81$65.0023.7%6.8%15.6%8.2%0.0%2.9%3.8%60.6K-1.8M-4.1K0.0096.50N/AN/A00684515
2015-03-19$61.04$65.0026.1%7.5%16.4%10.9%0.0%2.5%4.3%37.0K-1.6M-4.0K0.8096.94N/AN/A108684515
2015-03-20$61.04$65.0026.7%7.6%16.4%11.5%0.0%2.9%2.5%18.4K-1.7M-3.9K8.00102.10N/AN/A432684511
2015-03-23$60.11$65.0024.4%7.0%16.6%9.0%0.0%3.4%1.3%11.8K-577.5K-4.1K1.2299.05N/AN/A215263288160
2015-03-24$59.19$65.0023.0%6.6%16.7%7.4%0.0%5.4%3.2%6.1K-211.3K-9.1K0.00102.60N/AN/A07488421
2015-03-25$58.08$65.0020.4%5.9%17.3%4.5%0.0%3.7%3.2%-326-33.3K-8.9K0.00100.89N/AN/A00488428
2015-03-26$58.36$65.0023.8%6.8%17.6%8.3%18.6%3.4%3.5%-1.3K11.7K-8.9K1.0097.73N/AN/A322321488428
2015-03-27$59.20$65.0023.3%6.7%18.8%7.8%0.0%5.0%4.4%5.6K-308.7K-9.4K0.00106.67N/AN/A00528428
2015-03-30$59.69$65.0024.3%7.0%19.4%8.8%20.6%7.4%5.8%9.7K-406.2K-9.3K0.90108.83N/AN/A322289528428
2015-03-31$59.64$65.0022.6%6.5%19.3%7.0%21.4%30.0%3.7%7.1K-382.0K-9.2K1.06113.13N/AN/A322342528431