VSAT Options History — August 2015

In August 2015, VSAT traded between $58.46 and $62.93. ATM implied volatility averaged 34.2%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 11.7% (HV 20d: 22.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-08-04: Highest Volume — 614 contracts
  • 2015-08-24: Largest IV spike — 100.6% change
  • 2015-08-24: Highest IV Rank — 69.4%
  • 2015-08-24: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.64$58.46$62.93$62.20$58.81
Max Pain$56.43$55.00$60.00$60.00$55.00
ATM IV34.2%23.4%55.0%38.2%37.1%
Expected Move9.5%6.7%15.8%11.0%10.6%
HV 20d22.6%15.0%27.1%18.6%26.6%
HV 60d21.3%19.9%23.0%20.9%21.5%
IV Rank27.5%9.9%69.4%24.6%37.1%
IV Percentile64.0%19.4%97.2%80.6%79.4%
Term Structure-3.5%-13.9%3.5%-7.7%-8.1%
VWIV34.2%23.3%45.7%37.5%35.1%
Skew 25d4.4%-1.9%10.6%2.0%10.6%
Skew 10d1.9%-21.9%22.0%-1.0%2.5%
Call IV 25d30.5%22.9%42.7%42.7%36.4%
Put IV 25d34.9%23.0%47.0%44.7%47.0%
Bid-Ask Spread %98.0789.24106.8499.42100.76
Gamma HHI0.310.230.490.290.23
Net GEX-71.2K-141.2K-22.5K-78.6K-38.8K
Net DEX-561.9K-1.2M-38.3K-533.5K-364.7K
Net VEX-7.4K-8.9K-5.5K-8.4K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.004.630.000.55
Total Volume240.52406145185
Total OI1,583.1431,2531,7171,7021,283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$62.20$60.0038.2%11.0%18.6%24.6%37.5%2.0%-7.7%-78.6K-533.5K-8.4K0.0099.42N/AN/A504251,277
2015-08-04$61.58$60.0039.4%11.3%18.9%25.9%38.2%3.7%-8.4%-85.8K-487.7K-8.6K4.6393.05N/AN/A1095054291,277
2015-08-05$62.45$60.0040.6%11.6%15.0%27.3%40.3%6.8%-9.9%-82.8K-673.5K-8.1K3.7093.43N/AN/A1234554291,287
2015-08-06$61.33$55.0043.1%9.1%16.6%30.1%37.4%4.0%-2.1%-80.4K-467.1K-7.8K3.1789.24N/AN/A1253964291,243
2015-08-07$60.03$55.0030.0%7.0%17.9%15.3%32.8%3.1%2.2%-87.0K-117.4K-8.9K2.0996.80N/AN/A1272654481,243
2015-08-10$61.44$60.0028.0%7.2%18.9%13.0%40.1%9.9%1.6%-96.2K-647.0K-8.2K2.1296.89N/AN/A1272694601,249
2015-08-11$59.77$60.0028.2%7.0%20.5%13.3%0.0%1.7%3.0%-141.2K-118.3K-8.1K0.0092.54N/AN/A004601,249
2015-08-12$60.04$60.0025.2%7.2%20.5%9.9%24.4%3.1%1.7%-129.0K-211.6K-7.9K0.5492.08N/AN/A131714601,249
2015-08-13$59.59$55.0025.3%7.2%20.7%15.9%25.6%3.7%1.4%-138.2K-38.3K-7.5K0.5591.08N/AN/A132724651,245
2015-08-14$61.13$55.0023.4%6.7%22.6%12.6%28.3%1.3%3.5%-103.4K-676.9K-7.0K0.5298.67N/AN/A132684691,246
2015-08-17$62.71$55.0031.7%9.1%23.9%27.5%33.6%6.6%1.8%-53.2K-1.1M-6.4K0.5299.85N/AN/A132684691,246
2015-08-18$62.93$55.0023.7%6.8%23.9%13.0%23.3%1.6%2.0%-45.8K-1.2M-6.2K0.4999.03N/AN/A139684691,246
2015-08-19$62.72$55.0025.2%7.2%23.8%15.8%24.7%-0.6%0.8%-45.1K-1.2M-5.5K0.0098.01N/AN/A1104601,246
2015-08-20$61.21$55.0026.2%7.5%25.5%17.5%26.6%-1.9%3.0%-126.8K-838.0K-5.8K0.4699.99N/AN/A148684611,246
2015-08-21$60.30$55.0027.4%7.9%25.8%19.8%27.1%0.4%2.7%-22.5K-1.0M-5.7K0.50101.49N/AN/A148744711,246
2015-08-24$58.92$55.0055.0%15.8%27.1%69.4%43.6%8.5%-13.8%-23.1K-382.9K-7.4K0.55103.99N/AN/A11161399854
2015-08-25$58.46$55.0044.1%12.6%26.7%49.6%45.7%3.6%-13.8%-32.0K-317.8K-7.9K0.52100.19N/AN/A11861408864
2015-08-26$59.31$55.0045.0%12.9%26.9%51.4%37.8%4.6%-13.9%-27.4K-446.6K-7.5K0.52104.19N/AN/A11861414864
2015-08-27$59.17$55.0043.4%12.4%26.7%48.4%41.4%10.2%-11.9%-27.9K-430.4K-7.4K0.56101.91N/AN/A11866414864
2015-08-28$59.34$55.0038.8%11.1%26.7%40.2%39.7%10.1%-8.5%-31.1K-430.0K-7.6K0.56106.84N/AN/A11866414869
2015-08-31$58.81$55.0037.1%10.6%26.6%37.1%35.1%10.6%-8.1%-38.8K-364.7K-7.6K0.55100.76N/AN/A11966414869