VSAT Options History — December 2015

In December 2015, VSAT traded between $58.51 and $62.62. ATM implied volatility averaged 28.1%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.6% (HV 20d: 23.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-12-03: Highest Volume — 687 contracts
  • 2015-12-28: Largest IV spike — 15.6% change
  • 2015-12-08: Highest IV Rank — 18.0%
  • 2015-12-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.82$58.51$62.62$62.00$61.21
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV28.1%25.4%32.7%29.7%27.4%
Expected Move7.9%7.3%8.5%8.5%7.9%
HV 20d23.5%17.0%29.5%29.3%21.9%
HV 60d29.0%27.5%29.7%29.3%27.5%
IV Rank12.8%9.8%18.0%14.6%12.1%
IV Percentile47.0%34.1%71.0%56.7%43.3%
Term Structure3.2%-2.1%6.9%-2.1%3.4%
VWIV27.4%25.6%29.6%27.5%29.1%
Skew 25d1.8%-4.8%7.8%0.8%5.1%
Skew 10d0.6%-15.1%15.2%0.5%12.0%
Call IV 25d27.3%24.8%33.6%28.0%27.1%
Put IV 25d29.0%25.6%33.3%28.8%32.2%
Bid-Ask Spread %100.4394.75106.3799.61106.37
Gamma HHI0.600.380.680.400.64
Net GEX46.7K11.8K60.1K14.5K56.3K
Net DEX-747.6K-1.1M-286.1K-367.1K-972.7K
Net VEX-6.4K-7.7K-2.9K-3.1K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.001.070.000.43
Total Volume240.63696879157
Total OI1,163.3186581,5411,159667

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$62.00$60.0029.7%8.5%29.3%14.6%0.0%0.8%-2.1%14.5K-367.1K-3.1K0.0099.61N/AN/A90405754
2015-12-02$61.58$60.0029.6%8.5%29.1%14.5%27.5%1.7%-1.0%11.8K-286.1K-2.9K1.0799.32N/AN/A124133403759
2015-12-03$61.36$0.0031.1%8.1%28.7%16.2%28.6%-1.9%3.1%14.0K-348.8K-3.2K0.27100.02N/AN/A539148398759
2015-12-04$62.62$60.0027.9%7.5%29.3%12.6%26.5%-4.8%4.4%54.3K-1.1M-7.5K0.6898.66N/AN/A200136687775
2015-12-07$61.88$60.0030.0%7.9%29.4%15.0%25.6%1.0%3.0%60.1K-1.1M-7.3K0.7694.75N/AN/A3728720770
2015-12-08$61.38$60.0032.7%7.7%29.5%18.0%26.1%3.8%3.7%58.2K-927.7K-7.7K0.9396.52N/AN/A160149745795
2015-12-09$60.78$60.0027.9%8.0%24.9%12.5%26.9%0.7%3.8%54.1K-754.2K-7.4K1.0197.30N/AN/A140142736797
2015-12-10$60.93$60.0026.5%7.6%24.9%11.0%25.9%0.6%2.9%54.4K-784.7K-7.4K0.9997.53N/AN/A144142734800
2015-12-11$59.93$60.0028.6%8.2%21.4%13.4%27.5%3.6%1.3%48.9K-560.6K-7.1K0.9897.01N/AN/A145142736800
2015-12-14$58.86$60.0029.5%8.5%22.0%14.4%27.0%3.8%3.6%43.5K-537.3K-7.3K1.01103.52N/AN/A141142741800
2015-12-15$59.57$60.0027.2%7.8%17.0%11.8%28.6%1.6%3.9%48.2K-480.6K-6.8K0.96100.60N/AN/A141135741800
2015-12-16$60.84$60.0027.9%8.0%18.5%12.6%26.3%3.9%2.6%55.0K-665.5K-7.0K0.96104.96N/AN/A141135738803
2015-12-17$59.82$60.0025.7%7.4%19.4%10.1%26.9%-0.9%5.1%44.9K-532.6K-6.6K0.92104.27N/AN/A146135738803
2015-12-18$58.51$60.0026.7%7.6%20.7%11.2%27.2%3.4%4.0%39.9K-304.0K-6.1K0.6295.09N/AN/A250154738803
2015-12-21$59.47$60.0026.4%7.6%20.9%10.9%28.9%0.1%4.3%44.1K-701.2K-6.4K0.4299.21N/AN/A10946494164
2015-12-22$59.97$60.0025.4%7.3%20.6%9.8%27.3%0.6%6.9%46.6K-776.3K-6.6K0.40102.81N/AN/A11446498166
2015-12-23$61.15$60.0027.9%8.0%21.7%12.6%29.6%7.8%3.5%51.6K-976.9K-6.8K0.41104.45N/AN/A11246496166
2015-12-24$61.33$60.0025.4%7.3%21.6%9.8%27.2%3.2%4.9%56.4K-1.0M-6.8K0.42101.98N/AN/A11046499166
2015-12-28$61.56$60.0029.4%8.4%21.5%14.3%28.5%0.8%2.0%55.9K-1.1M-6.8K0.42102.77N/AN/A11046500166
2015-12-29$61.99$60.0027.6%7.9%21.6%12.3%27.4%1.7%3.8%57.9K-1.1M-6.7K0.4398.16N/AN/A11047500166
2015-12-30$61.28$60.0027.4%7.9%22.0%12.0%26.0%2.5%4.1%56.6K-1.0M-6.4K0.43104.64N/AN/A11047500167
2015-12-31$61.21$60.0027.4%7.9%21.9%12.1%29.1%5.1%3.4%56.3K-972.7K-6.4K0.43106.37N/AN/A11047500167