VSAT Options History — July 2015

In July 2015, VSAT traded between $57.04 and $61.82. ATM implied volatility averaged 32.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 11.4% (HV 20d: 20.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.85.

Notable Days

  • 2015-07-06: Highest Volume — 1,105 contracts
  • 2015-07-08: Largest IV spike — 152.8% change
  • 2015-07-08: Highest IV Rank — 49.9%
  • 2015-07-31: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.69$57.04$61.82$60.63$61.82
Max Pain$59.77$55.00$60.00$60.00$60.00
ATM IV32.1%21.6%60.7%23.1%37.2%
Expected Move8.9%6.6%10.7%6.6%10.7%
HV 20d20.7%16.2%22.6%16.2%19.8%
HV 60d22.3%21.0%22.9%21.3%21.0%
IV Rank17.6%5.8%49.9%7.5%23.4%
IV Percentile60.9%12.7%97.2%16.3%79.4%
Term Structure-3.3%-9.2%6.2%6.2%-6.8%
VWIV32.4%23.8%39.5%23.8%39.5%
Skew 25d2.8%-21.7%11.9%-2.8%7.5%
Skew 10d3.4%-34.7%38.2%-3.8%-1.3%
Call IV 25d31.8%24.2%46.8%26.1%39.2%
Put IV 25d34.5%23.3%46.7%23.3%46.7%
Bid-Ask Spread %97.5184.07107.48105.81100.46
Gamma HHI0.290.230.340.230.30
Net GEX-98.4K-130.2K-35.5K-35.5K-77.1K
Net DEX131.4K-554.4K1.2M-554.4K-426.7K
Net VEX-11.7K-14.2K-9.3K-10.3K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.851.334.021.334.02
Total Volume675.3645511,105736618
Total OI1,730.0911,4061,8551,4061,701

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$60.63$60.0023.1%6.6%16.2%7.5%23.8%-2.8%6.2%-35.5K-554.4K-10.3K1.33105.81N/AN/A316420497909
2015-07-02$59.44$60.0024.4%7.0%16.7%9.0%26.9%-21.7%4.2%-40.3K-402.1K-10.7K1.34107.48N/AN/A316425507919
2015-07-06$58.49$55.0023.5%8.4%17.2%7.9%30.4%3.1%-1.5%-50.2K-121.8K-11.2K2.8884.07N/AN/A285820507924
2015-07-07$59.19$60.0024.0%8.7%17.9%8.6%31.8%4.0%-2.2%-130.2K661.6K-13.6K2.4091.29N/AN/A2886905071,324
2015-07-08$57.43$60.0060.7%9.1%20.3%49.9%33.2%-10.5%-0.1%-123.2K1.1M-14.2K2.3395.68N/AN/A2094885201,334
2015-07-09$57.04$60.0025.0%9.5%20.2%9.7%31.6%6.6%-4.1%-114.3K1.2M-13.9K2.3894.93N/AN/A2054885371,300
2015-07-10$58.09$60.0040.0%8.6%21.8%26.5%31.4%11.9%-2.5%-120.0K865.9K-13.8K2.3797.87N/AN/A2064885371,300
2015-07-13$58.97$60.0039.5%8.6%21.9%26.0%31.5%2.8%-2.8%-128.2K606.0K-12.9K2.2795.63N/AN/A2154885421,300
2015-07-14$60.11$60.0021.6%8.6%22.6%5.8%31.1%4.9%-3.0%-117.0K52.7K-12.1K2.2394.83N/AN/A2194885551,300
2015-07-15$60.17$60.0030.1%8.6%22.4%15.4%30.9%9.1%-2.5%-122.8K157.9K-12.9K2.19102.94N/AN/A2234885451,300
2015-07-16$60.29$60.0030.6%8.8%22.4%15.9%31.4%3.0%-3.8%-108.0K-54.2K-11.4K2.2799.03N/AN/A2154885471,300
2015-07-17$60.09$60.0029.8%8.5%22.0%15.1%31.4%4.3%-3.6%-102.3K-215.5K-11.0K1.9999.22N/AN/A2304585471,300
2015-07-20$59.50$60.0031.2%9.0%21.6%16.7%32.9%4.2%-5.0%-103.1K149.1K-11.2K3.3998.84N/AN/A1304414431,273
2015-07-21$59.73$60.0031.4%9.0%21.8%16.8%31.7%4.2%-4.6%-99.9K163.8K-11.6K3.3798.68N/AN/A1314414421,273
2015-07-22$59.47$60.0030.7%8.8%21.6%16.1%33.1%3.6%-1.9%-110.0K192.6K-11.6K3.3797.57N/AN/A1314414481,273
2015-07-23$60.06$60.0031.6%9.1%21.5%17.1%32.4%4.6%-3.8%-100.4K-33.5K-11.2K3.7197.29N/AN/A1194414481,273
2015-07-24$59.45$60.0032.8%9.4%21.7%18.5%36.3%5.8%-8.6%-101.6K130.1K-11.7K3.8894.66N/AN/A1134384601,273
2015-07-27$59.72$60.0033.5%9.6%21.2%19.2%34.6%5.0%-5.1%-109.6K60.4K-11.0K3.8995.52N/AN/A1144434591,273
2015-07-28$60.52$60.0034.5%9.9%21.1%20.4%33.9%3.3%-5.8%-100.2K-148.2K-10.9K3.8393.87N/AN/A1144374591,273
2015-07-29$61.21$60.0036.5%10.5%21.2%22.6%39.0%2.0%-9.2%-83.0K-243.6K-11.3K3.56101.73N/AN/A1244414591,275
2015-07-30$61.70$60.0034.4%9.9%21.2%20.3%34.9%6.1%-5.7%-88.3K-211.9K-10.8K3.6897.93N/AN/A1254604221,277
2015-07-31$61.82$60.0037.2%10.7%19.8%23.4%39.5%7.5%-6.8%-77.1K-426.7K-9.3K4.02100.46N/AN/A1234954241,277