VSAT Options History — October 2015

In October 2015, VSAT traded between $63.05 and $70.73. ATM implied volatility averaged 38.5%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.7% (HV 20d: 30.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-10-12: Highest Volume — 324 contracts
  • 2015-10-13: Largest IV spike — 237.2% change
  • 2015-10-13: Highest IV Rank — 100.0%
  • 2015-10-29: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.01$63.05$70.73$63.05$65.95
Max Pain$64.09$60.00$65.00$65.00$65.00
ATM IV38.5%23.7%105.3%37.6%39.4%
Expected Move10.3%9.3%11.5%10.8%11.3%
HV 20d30.8%24.3%34.7%26.2%34.2%
HV 60d26.6%23.5%29.2%24.1%29.1%
IV Rank28.5%12.6%100.0%37.7%25.6%
IV Percentile73.3%21.0%100.0%78.2%82.5%
Term Structure-4.5%-7.8%-2.6%-2.8%-7.8%
VWIV35.9%31.7%40.6%35.4%38.6%
Skew 25d3.6%-1.1%7.2%2.1%3.9%
Skew 10d9.1%0.6%18.2%10.6%5.9%
Call IV 25d34.3%30.5%40.8%31.7%38.8%
Put IV 25d37.9%31.6%43.0%33.8%42.8%
Bid-Ask Spread %89.2680.68110.04104.8886.96
Gamma HHI0.280.180.480.310.23
Net GEX27.2K17.0K45.3K29.4K21.6K
Net DEX-1.4M-2.0M-992.1K-1.1M-1.1M
Net VEX-4.3K-5.0K-3.2K-4.7K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.421.060.420.55
Total Volume231.18232324224184
Total OI1,071.9099701,1859751,132

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$63.05$65.0037.6%10.8%26.2%37.7%35.4%2.1%-2.8%29.4K-1.1M-4.7K0.42104.88N/AN/A15866379596
2015-10-02$64.30$65.0036.6%10.5%24.3%35.9%33.5%0.0%-3.4%33.1K-1.3M-4.6K0.42110.04N/AN/A15866379596
2015-10-05$66.65$65.0039.0%9.6%26.8%40.1%38.4%6.3%-3.0%45.3K-1.7M-3.4K0.4587.96N/AN/A2210379596
2015-10-06$68.67$60.0029.6%9.3%28.2%23.2%34.7%3.7%-2.7%31.5K-1.8M-3.3K0.5181.90N/AN/A14976364606
2015-10-07$69.86$60.0034.3%9.4%27.2%31.7%34.7%2.5%-2.8%42.4K-2.0M-3.2K0.5284.50N/AN/A16486376606
2015-10-08$70.73$60.0029.0%9.5%27.0%22.2%31.7%2.5%-2.9%37.3K-2.0M-3.3K0.5984.63N/AN/A15491384636
2015-10-09$70.22$60.0023.7%9.4%26.8%12.6%34.7%2.1%-2.6%35.5K-2.0M-3.4K0.6287.52N/AN/A15496384641
2015-10-12$70.33$65.0031.2%9.5%26.4%26.2%31.9%1.5%-2.8%34.4K-2.0M-3.3K1.0684.23N/AN/A157167386646
2015-10-13$66.80$65.00105.3%10.2%33.0%100.0%35.5%2.9%-4.2%19.7K-1.3M-4.5K0.7284.30N/AN/A149107396719
2015-10-14$66.46$65.0035.4%10.2%33.1%21.1%36.0%3.4%-4.1%34.5K-1.3M-4.6K0.6283.39N/AN/A14993398719
2015-10-15$67.29$65.0036.2%10.4%33.2%21.9%35.8%7.2%-4.5%28.9K-1.4M-4.5K0.5288.86N/AN/A18396398732
2015-10-16$66.40$65.0034.8%10.0%33.7%20.3%34.8%5.8%-3.6%17.7K-1.4M-5.0K0.5288.27N/AN/A18396443742
2015-10-19$66.83$65.0036.2%10.4%32.8%21.9%36.1%5.5%-5.7%19.0K-1.2M-4.7K0.4889.19N/AN/A16881398703
2015-10-20$65.75$65.0035.2%10.1%33.3%20.9%35.4%4.6%-4.6%17.0K-1.1M-5.0K0.4780.68N/AN/A16879399703
2015-10-21$64.96$65.0036.5%10.5%33.2%22.3%35.7%3.4%-4.4%19.4K-992.1K-4.8K0.4689.63N/AN/A17581400695
2015-10-22$66.36$65.0036.9%10.6%33.8%22.7%35.8%5.0%-5.1%22.7K-1.2M-4.7K0.5586.54N/AN/A16088402685
2015-10-23$67.10$65.0037.3%10.7%31.5%23.2%36.5%6.5%-6.0%24.2K-1.3M-4.5K0.5589.84N/AN/A16088409692
2015-10-26$67.21$65.0037.8%10.8%31.5%23.8%37.0%0.4%-6.4%24.6K-1.3M-4.5K0.6992.25N/AN/A11680410692
2015-10-27$65.53$65.0038.3%11.0%32.9%24.3%38.8%4.5%-6.0%23.1K-1.1M-4.5K0.7590.63N/AN/A12191413697
2015-10-28$67.63$65.0037.1%10.6%34.6%22.9%38.6%6.2%-6.1%19.4K-1.3M-4.6K0.7593.45N/AN/A12291409716
2015-10-29$66.20$65.0040.3%11.5%34.7%26.6%40.6%-1.1%-6.8%18.3K-1.2M-4.6K0.6994.00N/AN/A12083410716
2015-10-30$65.95$65.0039.4%11.3%34.2%25.6%38.6%3.9%-7.8%21.6K-1.1M-4.4K0.5586.96N/AN/A11965418714