VSAT Options History — June 2015

In June 2015, VSAT traded between $60.14 and $64.45. ATM implied volatility averaged 21.0%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.3% (HV 20d: 21.3%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.91.

Notable Days

  • 2015-06-19: Highest Volume — 833 contracts
  • 2015-06-25: Largest IV drop — 25.5% change
  • 2015-06-24: Highest IV Rank — 9.0%
  • 2015-06-24: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.79$60.14$64.45$63.31$60.14
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV21.0%17.4%24.4%20.8%23.6%
Expected Move6.1%5.1%7.0%6.0%6.8%
HV 20d21.3%14.3%28.1%28.1%16.2%
HV 60d21.4%20.4%22.3%22.2%21.3%
IV Rank5.2%1.1%9.0%5.0%8.1%
IV Percentile9.5%0.8%24.2%6.0%20.2%
Term Structure4.8%0.4%8.1%0.4%6.0%
VWIV21.2%17.0%41.5%22.3%23.8%
Skew 25d2.7%-4.2%13.6%3.0%-4.2%
Skew 10d9.2%-6.7%43.8%14.6%-6.7%
Call IV 25d20.5%18.1%26.8%20.4%26.8%
Put IV 25d23.2%16.2%40.3%23.4%22.5%
Bid-Ask Spread %103.6993.79110.11103.39102.57
Gamma HHI0.300.210.370.290.23
Net GEX-12.3K-84.0K77.9K16.1K-37.9K
Net DEX-756.4K-1.5M-293.8K-1.1M-504.9K
Net VEX-8.7K-11.5K-7.1K-8.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.002.492.151.37
Total Volume622.1823833507727
Total OI1,715.51,3401,9041,7841,406

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$63.31$60.0020.8%6.0%28.1%5.0%22.3%3.0%0.4%16.1K-1.1M-8.3K2.15103.39N/AN/A1613467531,031
2015-06-02$63.95$60.0019.7%5.6%26.5%3.7%19.8%-2.5%1.8%60.9K-1.3M-7.5K0.00104.97N/AN/A307531,031
2015-06-03$64.45$60.0019.9%5.7%24.4%3.9%19.8%-0.8%1.4%77.9K-1.5M-7.3K2.47103.43N/AN/A1734287541,031
2015-06-04$63.44$60.0017.4%6.1%25.3%1.1%21.7%2.3%5.2%38.5K-998.3K-8.5K2.4793.79N/AN/A1734287521,129
2015-06-05$63.51$60.0019.2%6.4%25.0%3.2%22.4%0.7%4.7%28.1K-963.6K-7.9K2.49102.88N/AN/A1724287521,129
2015-06-08$62.76$60.0020.1%6.3%25.5%4.2%18.1%4.6%4.6%-2.6K-696.3K-8.5K2.4998.99N/AN/A1724287521,129
2015-06-09$62.68$60.0023.9%6.0%25.5%8.5%18.7%1.8%3.9%-67.4K-293.8K-8.3K2.46102.73N/AN/A1744287521,129
2015-06-10$62.67$60.0018.9%5.4%25.4%2.8%19.7%2.9%3.9%11.1K-699.8K-8.2K2.23107.34N/AN/A1924287471,129
2015-06-11$62.57$60.0017.9%5.1%25.4%1.6%20.1%2.3%6.8%-55.3K-441.5K-8.4K2.37103.64N/AN/A1834347651,129
2015-06-12$63.47$60.0020.6%5.9%25.5%4.7%17.4%4.1%5.5%24.4K-759.9K-8.0K2.37105.39N/AN/A1834347671,135
2015-06-15$62.30$60.0023.4%6.7%26.5%7.9%18.9%1.8%2.8%-84.0K-394.3K-8.0K2.37103.31N/AN/A1834347671,135
2015-06-16$62.69$60.0022.7%6.5%26.6%7.0%17.8%3.4%5.8%-38.5K-498.4K-8.1K2.37100.83N/AN/A1834347671,135
2015-06-17$62.30$60.0023.3%6.7%20.8%7.8%21.2%2.1%2.6%-83.4K-345.0K-8.1K2.45102.97N/AN/A1754287671,135
2015-06-18$62.92$60.0020.7%5.9%14.9%4.8%17.5%3.1%3.9%-20.0K-587.5K-7.7K2.42100.43N/AN/A1774287651,135
2015-06-19$63.56$60.0020.2%5.8%14.9%4.2%17.0%4.6%6.4%-28.5K-683.6K-7.1K1.07100.66N/AN/A4034307691,135
2015-06-22$63.47$60.0020.0%5.7%14.9%4.1%17.9%3.9%7.3%-13.8K-881.2K-9.1K1.41103.93N/AN/A297420431909
2015-06-23$63.75$60.0021.6%6.2%14.3%5.8%19.2%2.3%4.9%-8.4K-957.6K-8.8K1.53110.11N/AN/A274420436909
2015-06-24$62.68$60.0024.4%7.0%15.4%9.0%41.5%1.4%5.7%-19.5K-771.9K-10.6K1.37106.19N/AN/A306420464909
2015-06-25$62.58$60.0018.2%5.2%15.4%2.0%22.2%5.3%7.3%-12.1K-967.1K-9.9K1.37106.79N/AN/A307420497909
2015-06-26$61.61$60.0022.5%6.4%16.0%6.8%24.0%3.7%8.1%-23.6K-667.4K-11.5K1.37107.55N/AN/A307420497909
2015-06-29$60.60$60.0023.8%6.8%16.8%8.3%25.5%13.6%6.1%-32.4K-636.8K-10.4K1.37109.34N/AN/A307420497909
2015-06-30$60.14$60.0023.6%6.8%16.2%8.1%23.8%-4.2%6.0%-37.9K-504.9K-10.3K1.37102.57N/AN/A307420497909