VSAT Options History — April 2015

In April 2015, VSAT traded between $59.89 and $63.43. ATM implied volatility averaged 23.2%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.0% (HV 20d: 17.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.95.

Notable Days

  • 2015-04-01: Highest Volume — 742 contracts
  • 2015-04-08: Largest IV spike — 29.5% change
  • 2015-04-30: Highest IV Rank — 17.1%
  • 2015-04-30: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.75$59.89$63.43$59.89$60.36
Max Pain$60.24$60.00$65.00$65.00$60.00
ATM IV23.2%19.4%31.6%21.3%31.6%
Expected Move6.8%5.6%9.1%6.1%9.1%
HV 20d17.2%12.9%19.9%19.4%17.4%
HV 60d21.7%21.1%23.1%23.1%21.7%
IV Rank7.6%3.4%17.1%5.5%17.1%
IV Percentile11.0%0.4%65.5%2.0%65.5%
Term Structure5.1%-2.7%15.1%3.7%-2.7%
VWIV24.7%21.3%28.1%21.3%28.1%
Skew 25d2.0%-4.3%6.3%0.2%-4.3%
Skew 10d2.6%-4.6%11.5%0.5%-4.6%
Call IV 25d23.0%18.5%29.0%19.0%29.0%
Put IV 25d25.0%19.2%27.1%19.2%24.7%
Bid-Ask Spread %104.8095.13115.68115.68103.42
Gamma HHI0.350.290.510.290.29
Net GEX-14.3K-175.5K33.9K-4.7K-15.3K
Net DEX-710.5K-1.1M-146.2K-329.2K-434.4K
Net VEX-8.3K-9.7K-7.2K-9.4K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.951.226.481.305.25
Total Volume484.811742742400
Total OI1,075.819991,1591,0171,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$59.89$65.0021.3%6.1%19.4%5.5%21.3%0.2%3.7%-4.7K-329.2K-9.4K1.30115.68N/AN/A322420528489
2015-04-02$59.93$60.0020.2%7.0%19.4%4.2%23.5%3.5%4.9%-48.3K-154.9K-9.7K1.3095.13N/AN/A322420528567
2015-04-06$60.37$60.0020.3%7.1%19.8%4.3%24.1%2.9%2.4%-59.0K-186.9K-9.4K1.22102.12N/AN/A322392528567
2015-04-07$60.56$60.0019.6%7.5%19.9%3.6%26.3%2.7%1.4%-87.2K-146.2K-9.5K1.8198.87N/AN/A216392528617
2015-04-08$60.64$60.0025.4%7.3%18.1%10.1%0.0%2.8%2.5%-83.9K-196.0K-9.3K0.0098.30N/AN/A01533617
2015-04-09$61.12$60.0023.8%6.8%17.9%8.3%24.4%1.9%3.4%-175.5K-409.5K-8.8K1.81100.73N/AN/A216392533617
2015-04-10$62.31$60.0020.4%5.9%19.4%4.5%26.0%5.2%15.1%-33.9K-757.3K-8.9K2.18102.37N/AN/A180392533617
2015-04-13$62.75$60.0020.3%5.8%18.5%4.4%23.2%2.4%4.9%-9.3K-868.5K-8.6K1.94107.23N/AN/A202392533617
2015-04-14$63.00$60.0021.9%6.3%18.3%6.2%24.8%4.8%3.1%-1.2K-1.1M-8.4K1.94107.95N/AN/A202392541617
2015-04-15$63.23$60.0019.4%5.6%18.4%3.4%25.7%6.3%6.7%12.9K-1.1M-8.1K4.13103.24N/AN/A95392541617
2015-04-16$63.43$60.0023.3%6.7%18.4%7.8%22.9%3.8%4.6%13.4K-1.1M-8.3K4.13101.59N/AN/A95392542617
2015-04-17$61.98$60.0025.1%7.2%17.3%9.8%23.1%-1.7%3.3%17.3K-849.3K-8.1K4.1397.63N/AN/A95392542617
2015-04-20$62.08$60.0024.9%7.1%17.3%9.6%24.0%1.6%3.3%21.9K-899.5K-7.8K6.48107.58N/AN/A52337517484
2015-04-21$62.59$60.0023.3%6.7%16.4%7.8%23.4%1.4%4.3%26.8K-1.0M-7.8K6.48106.75N/AN/A52337517484
2015-04-22$62.07$60.0024.9%7.1%15.5%9.5%24.5%1.2%7.0%16.6K-875.5K-7.8K6.46108.59N/AN/A52336518484
2015-04-23$61.88$60.0022.7%6.5%13.5%7.0%24.2%2.3%11.6%22.5K-910.0K-7.8K6.46108.36N/AN/A52336518483
2015-04-24$62.00$60.0023.3%6.7%13.5%7.7%24.6%1.7%9.1%17.9K-848.4K-7.7K6.46109.75N/AN/A52336518483
2015-04-27$62.03$60.0026.0%7.5%12.9%10.8%26.4%1.7%5.6%18.5K-883.8K-7.3K5.01104.95N/AN/A67336518483
2015-04-28$62.88$60.0023.2%6.6%13.3%7.6%26.2%0.5%3.1%33.9K-1.1M-7.2K5.25109.87N/AN/A64336516483
2015-04-29$61.66$60.0025.2%7.2%15.5%9.9%26.5%2.3%9.3%16.2K-815.9K-7.3K5.25110.78N/AN/A64336517483
2015-04-30$60.36$60.0031.6%9.1%17.4%17.1%28.1%-4.3%-2.7%-15.3K-434.4K-7.2K5.25103.42N/AN/A64336517483