VSAT Options History — February 2016

In February 2016, VSAT traded between $56.69 and $73.04. ATM implied volatility averaged 42.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.6% (HV 20d: 49.5%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-02-23: Highest Volume — 1,635 contracts
  • 2016-02-10: Largest IV drop — 43.2% change
  • 2016-02-08: Highest IV Rank — 54.9%
  • 2016-02-03: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.14$56.69$73.04$61.34$73.04
Max Pain$56.25$50.00$65.00$60.00$60.00
ATM IV42.8%35.2%65.4%47.2%35.2%
Expected Move11.4%10.1%14.2%13.5%10.1%
HV 20d49.5%38.3%58.1%43.7%52.3%
HV 60d36.6%31.7%40.9%32.4%40.9%
IV Rank29.4%20.8%54.9%34.4%20.8%
IV Percentile82.1%67.9%99.2%92.5%67.9%
Term Structure-3.3%-13.1%0.7%-10.8%-0.9%
VWIV40.9%30.7%49.6%47.2%36.0%
Skew 25d4.8%1.5%10.0%5.8%4.7%
Skew 10d12.2%-5.9%24.4%0.6%12.5%
Call IV 25d38.2%31.6%47.0%44.5%36.3%
Put IV 25d43.0%37.7%51.5%50.3%41.0%
Bid-Ask Spread %87.8679.7496.9992.0289.74
Gamma HHI0.410.220.580.580.39
Net GEX82.9K18.4K179.2K54.2K179.2K
Net DEX-1.9M-4.6M-81.5K-862.5K-4.6M
Net VEX-10.3K-22.1K-5.6K-6.7K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.323.910.623.73
Total Volume635.051881,635244936
Total OI1,392.98242,6728242,615

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$61.34$60.0047.2%13.5%43.7%34.4%47.2%5.8%-10.8%54.2K-862.5K-6.7K0.6292.02N/AN/A15193510314
2016-02-02$59.11$60.0046.6%13.4%44.2%33.7%48.4%4.4%-8.8%38.8K-553.2K-6.2K0.7893.59N/AN/A130102510314
2016-02-03$59.35$60.0049.6%14.2%44.1%37.1%49.6%4.3%-13.1%36.8K-454.2K-6.3K0.7092.25N/AN/A13091511328
2016-02-04$59.53$50.0048.8%10.5%43.8%36.2%30.7%5.2%-1.6%38.4K-498.4K-6.5K0.7086.05N/AN/A13091511331
2016-02-05$57.72$50.0051.2%11.2%43.7%38.9%36.6%6.0%-3.7%28.3K-275.3K-6.0K0.7283.38N/AN/A13094511331
2016-02-08$56.69$50.0065.4%13.0%44.2%54.9%44.4%7.2%-6.4%21.0K-110.4K-5.8K0.7681.66N/AN/A134102511330
2016-02-09$56.93$50.0064.1%12.7%39.5%53.5%44.9%1.5%-5.2%18.4K-81.5K-5.7K0.4788.88N/AN/A13162504344
2016-02-10$58.09$50.0036.4%10.4%38.3%22.2%46.4%1.8%0.7%29.3K-266.9K-5.8K0.4996.23N/AN/A12662511352
2016-02-11$61.02$50.0038.1%10.9%42.6%24.2%37.5%10.0%-3.9%51.4K-720.0K-6.1K0.3296.99N/AN/A21168512352
2016-02-12$62.41$55.0037.0%10.6%43.1%22.9%35.8%6.9%-0.2%87.8K-1.2M-6.7K0.7192.45N/AN/A13193579362
2016-02-16$69.97$55.0036.7%10.5%57.2%22.6%38.7%3.9%0.1%66.6K-2.8M-5.6K0.3283.62N/AN/A612195575391
2016-02-17$69.27$55.0037.5%10.8%57.0%23.5%39.3%2.8%0.5%96.6K-2.8M-9.4K0.4884.70N/AN/A404192811498
2016-02-18$70.19$55.0037.6%10.8%57.0%23.5%39.0%4.9%-0.5%99.2K-2.9M-8.9K0.7684.58N/AN/A279213819503
2016-02-19$71.87$60.0036.5%10.5%57.0%22.3%34.2%4.8%0.7%99.4K-3.3M-9.0K0.9082.34N/AN/A188169833518
2016-02-22$70.23$60.0039.1%11.2%58.1%25.3%43.2%3.8%-3.1%96.2K-2.6M-9.0K0.9586.94N/AN/A825781798483
2016-02-23$71.35$65.0037.8%10.8%57.2%23.8%39.7%7.6%-3.0%141.2K-3.2M-22.1K0.9684.52N/AN/A8338021,4791,193
2016-02-24$71.02$60.0037.7%10.8%56.5%23.6%40.6%3.3%-3.0%141.7K-3.3M-20.5K0.9284.92N/AN/A7947321,4831,126
2016-02-25$72.15$60.0037.3%10.7%54.9%23.2%38.3%5.5%-1.3%169.3K-3.8M-20.2K0.9079.74N/AN/A8157321,4831,122
2016-02-26$71.52$60.0036.6%10.5%55.1%22.5%48.3%1.7%-2.2%164.5K-3.7M-19.7K3.9192.52N/AN/A1917461,4781,122
2016-02-29$73.04$60.0035.2%10.1%52.3%20.8%36.0%4.7%-0.9%179.2K-4.6M-19.2K3.7389.74N/AN/A1987381,4771,138