VSAT Options History — September 2015

In September 2015, VSAT traded between $58.51 and $64.51. ATM implied volatility averaged 36.5%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 10.8% (HV 20d: 25.7%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2015-09-16: Highest Volume — 292 contracts
  • 2015-09-08: Largest IV drop — 29.3% change
  • 2015-09-01: Highest IV Rank — 83.0%
  • 2015-09-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.78$58.51$64.51$58.51$64.33
Max Pain$63.00$55.00$65.00$55.00$65.00
ATM IV36.5%26.3%62.6%62.6%42.9%
Expected Move9.6%7.5%18.0%18.0%12.3%
HV 20d25.7%22.3%29.2%26.5%24.9%
HV 60d23.3%21.4%24.4%21.4%23.8%
IV Rank35.8%17.3%83.0%83.0%47.3%
IV Percentile69.4%39.3%99.2%99.2%82.9%
Term Structure-1.6%-28.7%5.5%-28.7%-9.8%
VWIV34.3%27.6%52.6%52.6%43.7%
Skew 25d8.0%-0.2%27.4%13.5%16.2%
Skew 10d15.3%-15.0%53.8%25.8%13.0%
Call IV 25d29.0%21.0%38.2%38.2%26.6%
Put IV 25d37.0%28.4%65.0%51.7%42.8%
Bid-Ask Spread %99.8789.45110.86110.86109.63
Gamma HHI0.310.220.460.240.32
Net GEX17.7K-21.6K60.7K-21.6K30.6K
Net DEX-1.2M-1.7M-169.9K-169.9K-1.3M
Net VEX-5.1K-7.7K-4.3K-7.7K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.000.550.490.42
Total Volume199.236292177224
Total OI1,193.359141,3791,286973

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$58.51$55.0062.6%18.0%26.5%83.0%52.6%13.5%-28.7%-21.6K-169.9K-7.7K0.49110.86N/AN/A11958417869
2015-09-02$60.60$55.0051.6%14.8%29.2%63.3%45.6%27.4%-25.0%-17.4K-682.6K-6.1K0.55106.19N/AN/A12167417871
2015-09-03$61.37$60.0057.6%9.2%28.9%73.9%33.1%6.7%0.2%-17.1K-855.1K-6.3K0.47100.50N/AN/A14267422880
2015-09-04$61.45$60.0059.0%9.3%27.8%76.5%32.9%1.6%-0.3%-11.4K-830.8K-6.6K0.4290.94N/AN/A16167430880
2015-09-08$63.25$60.0041.7%8.6%28.4%45.4%29.7%2.4%1.0%-12.2K-1.2M-5.6K0.0097.54N/AN/A360430880
2015-09-09$64.34$60.0029.8%8.6%26.7%24.1%31.5%3.3%1.1%36.2K-1.7M-5.1K0.3990.36N/AN/A16062461880
2015-09-10$63.67$65.0030.2%8.7%27.2%24.8%31.1%2.6%1.3%26.7K-1.6M-4.9K0.4693.40N/AN/A13662461883
2015-09-11$63.15$65.0029.4%8.4%27.2%22.9%32.7%3.8%1.7%26.5K-1.5M-4.7K0.4698.62N/AN/A13562461883
2015-09-14$62.62$65.0030.7%8.8%26.2%25.2%33.1%3.4%1.3%18.9K-1.4M-5.0K0.4689.45N/AN/A13562461883
2015-09-15$62.66$65.0029.1%8.3%24.5%22.3%32.0%15.0%1.5%16.2K-1.4M-4.3K0.17101.16N/AN/A11720461883
2015-09-16$63.26$65.0027.5%7.9%24.7%19.4%33.1%9.8%2.0%38.1K-1.4M-4.8K0.3499.60N/AN/A21874462903
2015-09-17$63.52$65.0027.6%7.9%24.7%19.6%31.0%-0.2%1.0%60.7K-1.6M-4.7K0.27105.00N/AN/A21457461903
2015-09-18$62.37$65.0030.7%8.8%24.0%25.2%29.1%2.7%1.2%20.8K-1.4M-4.7K0.2797.81N/AN/A21557476903
2015-09-21$63.20$65.0027.1%7.8%23.6%18.6%27.6%5.9%3.5%25.1K-1.1M-4.5K0.3196.40N/AN/A13040344570
2015-09-23$62.34$65.0029.3%8.4%22.5%22.7%27.6%1.5%4.1%24.1K-1.1M-4.5K0.3196.71N/AN/A12940349570
2015-09-24$61.99$65.0030.5%8.7%22.3%24.9%33.7%10.8%3.6%18.6K-951.5K-5.0K0.35102.23N/AN/A12945349570
2015-09-25$64.33$65.0026.3%7.5%25.1%17.3%29.4%9.3%5.5%30.0K-1.3M-4.4K0.35103.28N/AN/A13045350574
2015-09-28$64.51$65.0032.4%9.3%25.0%28.4%34.6%12.7%1.5%28.6K-1.3M-4.3K0.41103.64N/AN/A15965350574
2015-09-29$64.05$65.0034.3%9.8%25.4%31.7%42.0%11.7%0.2%31.7K-1.3M-4.6K0.41104.10N/AN/A15965379594
2015-09-30$64.33$65.0042.9%12.3%24.9%47.3%43.7%16.2%-9.8%30.6K-1.3M-4.5K0.42109.63N/AN/A15866379594