VSAT Options History — March 2016

In March 2016, VSAT traded between $72.05 and $75.95. ATM implied volatility averaged 32.3%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.9% (HV 20d: 37.2%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 4.70.

Notable Days

  • 2016-03-31: Highest Volume — 2,138 contracts
  • 2016-03-11: Largest IV drop — 15.4% change
  • 2016-03-07: Highest IV Rank — 23.5%
  • 2016-03-10: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.68$72.05$75.95$73.43$73.51
Max Pain$70.68$60.00$75.00$60.00$75.00
ATM IV32.3%29.0%37.6%35.2%29.6%
Expected Move9.1%8.3%10.6%10.1%8.5%
HV 20d37.2%26.9%51.4%51.4%29.0%
HV 60d41.3%40.5%42.2%40.8%41.6%
IV Rank17.5%13.9%23.5%20.8%14.5%
IV Percentile58.3%43.3%76.2%67.9%44.4%
Term Structure2.6%-5.3%5.4%-1.7%4.4%
VWIV39.3%32.6%50.2%32.6%38.0%
Skew 25d3.8%-2.3%10.4%8.8%-2.3%
Skew 10d10.7%-3.6%26.5%21.7%25.7%
Call IV 25d31.8%28.6%34.2%32.5%34.1%
Put IV 25d35.6%31.4%43.9%41.2%31.8%
Bid-Ask Spread %88.8271.08101.2391.41101.23
Gamma HHI0.480.400.650.410.65
Net GEX210.2K141.9K289.6K189.3K289.6K
Net DEX-4.0M-6.8M-1.7M-4.7M-2.5M
Net VEX-15.5K-19.1K-12.1K-19.1K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.703.0411.733.7511.73
Total Volume1,096.3189172,1389352,138
Total OI2,534.9552,1712,7992,6112,495

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$73.43$60.0035.2%10.1%51.4%20.8%32.6%8.8%-1.7%189.3K-4.7M-19.1K3.7591.41N/AN/A1977381,4731,138
2016-03-02$73.74$60.0035.4%10.1%48.5%21.0%34.7%4.8%-1.3%189.5K-4.9M-18.3K4.2791.97N/AN/A1747431,4751,139
2016-03-03$73.89$65.0032.2%9.2%48.5%17.4%39.0%4.4%2.2%208.1K-5.0M-18.1K3.7282.16N/AN/A2007441,4801,175
2016-03-04$74.29$70.0033.0%9.0%48.5%18.3%40.0%6.3%2.8%205.1K-5.1M-19.1K4.1871.08N/AN/A1787441,4801,176
2016-03-07$74.25$70.0037.6%10.0%46.2%23.5%43.8%7.8%1.1%196.0K-5.0M-18.3K3.1685.06N/AN/A2367451,4731,176
2016-03-08$72.99$70.0036.7%9.4%46.1%22.5%50.2%10.4%3.7%207.9K-4.4M-18.6K3.1978.89N/AN/A2367531,4741,178
2016-03-09$73.78$70.0032.0%9.2%46.0%17.2%39.5%3.0%3.5%218.2K-4.9M-17.3K3.1281.13N/AN/A2417531,4741,189
2016-03-10$72.45$70.0036.8%10.6%47.2%22.7%36.2%1.5%-5.3%200.5K-4.3M-16.5K3.5785.09N/AN/A2117531,4681,189
2016-03-11$73.21$70.0031.2%8.9%45.0%16.3%36.5%2.7%2.9%226.5K-4.3M-16.8K3.8080.61N/AN/A2118021,4601,189
2016-03-14$75.95$70.0031.5%9.0%45.8%16.7%40.5%4.7%3.4%246.6K-6.2M-15.6K3.6382.17N/AN/A2218031,4601,240
2016-03-15$72.87$70.0032.9%9.4%28.9%18.3%37.8%2.6%2.7%204.5K-4.3M-15.9K3.7187.99N/AN/A2178051,4671,247
2016-03-16$73.09$70.0029.7%8.5%28.6%14.7%36.4%2.6%3.3%233.1K-4.2M-15.1K3.5894.56N/AN/A2508951,4671,247
2016-03-17$74.55$70.0029.9%8.6%29.0%14.8%41.3%5.5%2.4%271.2K-5.1M-15.8K3.5886.30N/AN/A2508951,4651,334
2016-03-18$75.75$70.0029.0%8.3%28.4%13.9%38.5%1.7%3.9%212.2K-6.8M-12.6K3.0494.43N/AN/A3089351,4611,334
2016-03-21$75.34$75.0029.6%8.5%26.9%14.6%43.6%3.0%4.1%221.6K-3.4M-12.8K4.5989.52N/AN/A1948919471,224
2016-03-22$74.62$75.0029.5%8.5%26.9%14.4%39.0%5.7%5.4%203.0K-3.0M-14.1K4.6593.39N/AN/A1959061,0121,234
2016-03-23$72.05$75.0031.8%9.1%29.9%17.0%34.0%1.0%1.4%141.9K-1.7M-13.8K6.0995.73N/AN/A1509141,0121,234
2016-03-24$72.35$75.0031.5%9.0%29.4%16.7%34.4%0.4%4.7%154.0K-1.7M-13.6K6.1095.98N/AN/A1509151,0211,238
2016-03-28$72.33$75.0033.0%9.5%29.3%18.4%43.6%3.4%3.6%166.8K-1.7M-13.0K6.2291.77N/AN/A1479151,0211,239
2016-03-29$73.55$75.0030.9%8.8%28.9%15.9%40.2%3.0%4.7%242.4K-2.5M-12.1K6.4995.93N/AN/A1479541,0231,239
2016-03-30$72.99$75.0030.9%8.9%29.0%16.0%43.9%2.5%4.8%195.7K-2.1M-13.0K7.1697.65N/AN/A1551,1101,0241,278
2016-03-31$73.51$75.0029.6%8.5%29.0%14.5%38.0%-2.3%4.4%289.6K-2.5M-12.2K11.73101.23N/AN/A1681,9701,0331,462