VSAT Options History — May 2015

In May 2015, VSAT traded between $60.27 and $64.65. ATM implied volatility averaged 26.7%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.5% (HV 20d: 24.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 17.72.

Notable Days

  • 2015-05-28: Highest Volume — 519 contracts
  • 2015-05-20: Largest IV drop — 36.0% change
  • 2015-05-12: Highest IV Rank — 27.5%
  • 2015-05-11: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.72$60.27$64.65$60.29$63.11
Max Pain$59.50$55.00$60.00$60.00$60.00
ATM IV26.7%16.7%40.9%26.9%20.3%
Expected Move7.6%4.8%9.4%7.7%5.8%
HV 20d24.2%17.5%30.3%17.5%28.1%
HV 60d20.8%18.0%22.3%21.4%22.1%
IV Rank11.5%0.4%27.5%11.8%4.4%
IV Percentile37.8%0.4%81.7%36.1%4.4%
Term Structure-0.1%-4.0%5.5%2.8%1.1%
VWIV26.3%19.6%33.2%25.2%19.8%
Skew 25d2.9%-2.1%7.2%1.6%1.7%
Skew 10d10.2%-0.8%35.5%1.9%22.7%
Call IV 25d25.5%16.8%33.4%21.5%20.8%
Put IV 25d28.4%20.5%33.6%23.1%22.5%
Bid-Ask Spread %92.7578.23106.46104.83106.17
Gamma HHI0.280.240.350.290.28
Net GEX-44.3K-104.2K7.1K-32.1K1.4K
Net DEX-405.5K-1.0M117.2K-328.9K-960.7K
Net VEX-9.3K-11.3K-6.6K-6.9K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.720.00250.005.252.15
Total Volume368.90519400507
Total OI1,554.659901,7849901,784

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$60.29$60.0026.9%7.7%17.5%11.8%25.2%1.6%2.8%-32.1K-328.9K-6.9K5.25104.83N/AN/A64336511479
2015-05-04$62.04$55.0026.0%8.7%20.0%10.8%0.0%4.6%-3.3%7.1K-788.7K-6.6K250.0086.34N/AN/A2500511479
2015-05-05$60.43$55.0030.4%8.9%22.3%15.7%31.1%2.2%-2.1%-49.5K-143.3K-10.9K9.0985.58N/AN/A44400513979
2015-05-06$60.27$60.0028.2%8.8%22.3%13.3%29.8%4.4%-2.5%-74.1K117.2K-11.3K7.4186.19N/AN/A544005131,039
2015-05-07$61.01$60.0027.3%8.8%22.6%12.3%27.1%2.8%-1.5%-59.0K-170.5K-10.7K6.3987.71N/AN/A543455231,039
2015-05-08$61.03$60.0029.4%8.4%21.4%14.6%0.0%2.3%-0.8%-51.3K-209.6K-10.6K0.0090.05N/AN/A005231,044
2015-05-11$60.91$60.0037.3%9.4%21.2%23.5%33.2%3.4%-4.0%-60.3K-195.3K-10.4K0.0088.21N/AN/A0205231,044
2015-05-12$60.58$60.0040.9%8.8%21.1%27.5%29.0%3.4%-0.9%-83.8K13.2K-10.4K6.5791.84N/AN/A543555231,064
2015-05-13$60.91$60.0030.0%8.6%21.2%15.3%28.0%-0.1%-1.3%-104.2K-62.9K-10.3K6.3083.31N/AN/A543405231,089
2015-05-14$61.61$60.0030.9%8.9%21.6%16.3%28.0%2.3%-1.8%-91.3K-258.4K-10.0K6.3086.10N/AN/A543405231,094
2015-05-15$61.63$60.0030.5%8.7%20.1%15.9%28.1%1.9%-1.5%-39.5K-465.1K-8.8K6.1887.64N/AN/A553405231,094
2015-05-18$61.78$60.0031.8%9.1%20.1%17.3%33.1%3.0%-3.1%-37.9K-404.7K-9.0K0.0095.10N/AN/A120400945
2015-05-19$64.65$60.0032.7%9.4%25.7%18.3%32.8%-2.1%-3.9%-13.2K-1.0M-8.7K0.2478.23N/AN/A34983407945
2015-05-20$62.02$60.0020.9%6.0%29.8%5.1%20.8%7.2%0.9%-42.4K-470.3K-9.2K1.9684.34N/AN/A161315706998
2015-05-21$62.65$60.0017.7%5.1%30.0%1.5%21.8%3.5%2.4%-24.4K-618.3K-8.8K2.80106.46N/AN/A1143197051,024
2015-05-22$62.56$60.0016.7%4.8%30.0%0.4%23.2%5.8%4.4%-12.8K-713.8K-9.4K2.77101.41N/AN/A1143167121,040
2015-05-26$61.87$60.0019.4%5.5%30.3%3.3%20.7%2.1%5.5%-52.1K-240.7K-8.9K1.08103.34N/AN/A1171267121,028
2015-05-27$62.47$60.0018.5%5.3%30.1%2.3%19.6%2.8%4.2%-50.1K-509.3K-8.7K2.20106.01N/AN/A1613547171,038
2015-05-28$62.58$60.0017.7%5.1%29.2%1.4%22.4%5.1%3.4%-17.0K-682.9K-8.6K2.2296.07N/AN/A1613587531,026
2015-05-29$63.11$60.0020.3%5.8%28.1%4.4%19.8%1.7%1.1%1.4K-960.7K-8.6K2.15106.17N/AN/A1613467531,031