VSAT Options History — January 2016

In January 2016, VSAT traded between $57.03 and $62.50. ATM implied volatility averaged 42.3%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 9.8% (HV 20d: 32.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2016-01-22: Highest Volume — 281 contracts
2016-01-12: Largest IV spike — 43.4% change
2016-01-12: Highest IV Rank — 55.7%
2016-01-15: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.62	$57.03	$62.50	$59.27	$62.50
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	42.3%	34.6%	66.0%	40.6%	43.6%
Expected Move	11.2%	9.8%	13.0%	9.8%	12.5%
HV 20d	32.5%	23.7%	43.1%	24.7%	43.1%
HV 60d	29.1%	27.2%	32.2%	27.5%	32.2%
IV Rank	28.8%	20.2%	55.7%	26.9%	30.3%
IV Percentile	84.7%	73.4%	99.6%	84.5%	89.7%
Term Structure	-4.6%	-8.3%	-1.6%	-3.4%	-8.3%
VWIV	39.2%	34.1%	43.0%	34.1%	43.0%
Skew 25d	4.8%	-6.2%	8.4%	3.4%	7.4%
Skew 10d	12.2%	-21.9%	39.2%	4.1%	16.6%
Call IV 25d	37.3%	31.6%	52.5%	33.6%	38.4%
Put IV 25d	42.1%	36.3%	47.2%	37.0%	45.9%
Bid-Ask Spread %	91.52	80.24	100.43	90.02	100.43
Gamma HHI	0.59	0.50	0.65	0.62	0.65
Net GEX	43.6K	23.6K	63.6K	48.2K	63.6K
Net DEX	-640.2K	-1.1M	-197.4K	-657.3K	-1.0M
Net VEX	-6.4K	-7.0K	-5.7K	-5.7K	-6.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.43	2.07	0.43	2.07
Total Volume	241.105	83	281	156	83
Total OI	753.263	666	787	668	770

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$59.27	$60.00	40.6%	9.8%	24.7%	26.9%	34.1%	3.4%	-3.4%	48.2K	-657.3K	-5.7K	0.43	90.02	N/A	N/A	109	47	501	167
2016-01-05	$59.85	$60.00	34.6%	9.8%	23.7%	20.2%	36.0%	3.8%	-2.7%	47.8K	-738.2K	-5.8K	0.46	80.24	N/A	N/A	114	52	500	167
2016-01-06	$58.96	$60.00	39.3%	10.0%	23.9%	25.5%	36.9%	4.6%	-3.4%	41.6K	-622.6K	-5.8K	1.37	86.16	N/A	N/A	109	149	494	172
2016-01-07	$57.15	$60.00	42.5%	11.0%	25.9%	29.1%	38.5%	1.7%	-2.2%	24.4K	-242.8K	-6.3K	1.15	91.45	N/A	N/A	113	130	493	272
2016-01-08	$57.03	$60.00	45.5%	10.7%	25.8%	32.5%	37.2%	4.8%	-1.6%	23.6K	-197.4K	-6.2K	1.15	90.45	N/A	N/A	113	130	490	272
2016-01-11	$60.16	$60.00	46.1%	10.6%	32.7%	33.1%	39.3%	6.7%	-5.1%	42.6K	-614.7K	-6.8K	1.05	94.87	N/A	N/A	124	130	490	272
2016-01-12	$62.13	$60.00	66.0%	10.5%	34.1%	55.7%	36.0%	7.7%	-2.8%	54.1K	-1.0M	-6.9K	0.98	92.26	N/A	N/A	133	130	493	271
2016-01-13	$61.99	$60.00	38.8%	11.1%	33.3%	24.9%	36.9%	6.1%	-3.8%	54.4K	-1.1M	-7.0K	0.97	83.97	N/A	N/A	135	131	510	271
2016-01-14	$61.22	$60.00	39.4%	11.3%	33.6%	25.6%	38.3%	6.6%	-6.6%	52.0K	-986.3K	-6.9K	0.98	91.11	N/A	N/A	134	131	507	269
2016-01-15	$59.24	$60.00	45.2%	13.0%	34.8%	32.1%	41.8%	-6.2%	-6.4%	40.0K	-556.0K	-6.8K	1.00	97.89	N/A	N/A	134	134	518	269
2016-01-19	$58.40	$60.00	39.0%	11.2%	34.7%	25.1%	39.5%	5.6%	-4.0%	35.6K	-370.0K	-6.1K	0.92	94.08	N/A	N/A	139	128	502	259
2016-01-20	$58.74	$60.00	39.4%	11.3%	33.8%	25.6%	40.9%	5.4%	-4.5%	38.2K	-476.2K	-6.5K	0.94	91.07	N/A	N/A	136	128	511	259
2016-01-21	$58.58	$60.00	39.2%	11.2%	33.3%	25.3%	40.4%	3.7%	-3.6%	37.7K	-489.2K	-6.5K	0.94	87.97	N/A	N/A	136	128	509	259
2016-01-22	$59.86	$60.00	38.5%	11.0%	34.1%	24.6%	39.0%	5.0%	-4.9%	45.1K	-660.9K	-6.5K	0.84	91.79	N/A	N/A	153	128	509	259
2016-01-25	$58.70	$60.00	41.1%	11.8%	33.9%	27.5%	41.7%	4.9%	-5.5%	43.9K	-463.0K	-6.1K	1.02	91.53	N/A	N/A	126	128	510	259
2016-01-26	$60.88	$60.00	40.7%	11.7%	36.6%	27.0%	40.1%	8.4%	-5.9%	54.3K	-822.9K	-6.4K	0.98	95.98	N/A	N/A	131	128	510	259
2016-01-27	$59.20	$60.00	42.4%	12.2%	37.8%	29.0%	42.9%	6.6%	-5.3%	41.8K	-589.3K	-6.0K	1.10	98.34	N/A	N/A	126	138	505	259
2016-01-28	$58.98	$60.00	41.5%	11.9%	37.7%	27.9%	42.9%	5.3%	-7.7%	40.2K	-510.2K	-6.2K	1.10	89.32	N/A	N/A	125	138	506	269
2016-01-29	$62.50	$60.00	43.6%	12.5%	43.1%	30.3%	43.0%	7.4%	-8.3%	63.6K	-1.0M	-6.4K	2.07	100.43	N/A	N/A	27	56	506	264