VSAT Options History — April 2016

In April 2016, VSAT traded between $71.96 and $77.97. ATM implied volatility averaged 36.5%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 12.7% (HV 20d: 23.8%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2016-04-07: Highest Volume — 2,159 contracts
  • 2016-04-11: Largest IV spike — 39.8% change
  • 2016-04-11: Highest IV Rank — 27.5%
  • 2016-04-29: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.14$71.96$77.97$72.94$76.96
Max Pain$71.19$70.00$75.00$75.00$70.00
ATM IV36.5%29.4%41.1%31.1%40.5%
Expected Move10.5%8.9%11.6%8.9%11.6%
HV 20d23.8%18.0%30.7%29.1%19.1%
HV 60d38.7%34.6%41.6%41.6%34.8%
IV Rank22.3%14.3%27.5%16.3%26.9%
IV Percentile69.8%40.1%87.3%54.4%84.5%
Term Structure-4.5%-7.5%3.7%3.7%-7.5%
VWIV38.4%36.0%44.3%44.3%42.5%
Skew 25d3.9%0.4%6.9%1.1%4.3%
Skew 10d8.9%3.7%19.1%7.2%15.4%
Call IV 25d36.2%32.6%39.6%32.6%37.8%
Put IV 25d40.0%33.7%42.1%33.7%42.1%
Bid-Ask Spread %82.3776.9996.9096.9085.37
Gamma HHI0.420.360.470.380.42
Net GEX-16.0K-193.7K193.9K-125.0K172.3K
Net DEX-1.2M-5.9M1.8M-58.7K-4.7M
Net VEX-20.9K-29.0K-15.0K-18.0K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.324.844.841.59
Total Volume945.0953322,1591,097420
Total OI3,995.3332,8395,3013,6203,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$72.94$75.0031.1%8.9%29.1%16.3%44.3%1.1%3.7%-125.0K-58.7K-18.0K4.8496.90N/AN/A1889091,0562,564
2016-04-04$73.25$70.0033.1%9.8%29.1%18.5%37.4%5.9%-2.3%-113.3K-616.2K-15.0K4.6382.13N/AN/A1888711,0552,585
2016-04-05$71.96$70.0037.5%10.3%29.7%23.4%36.5%3.3%-2.4%-153.4K679.3K-15.1K4.4080.03N/AN/A1968621,0552,589
2016-04-06$73.57$70.0035.0%10.1%30.3%20.6%36.3%3.2%-4.2%-149.6K-231.3K-15.6K1.9377.62N/AN/A7061,3621,0702,595
2016-04-07$72.29$70.0040.3%10.9%30.7%26.6%37.7%3.5%-3.9%-127.3K-463.8K-29.0K2.0677.20N/AN/A7061,4531,8923,248
2016-04-08$72.58$70.0029.4%10.3%30.0%14.3%37.7%4.3%-4.2%-147.5K1.4M-27.9K1.1578.13N/AN/A7068141,5923,666
2016-04-11$72.07$75.0041.1%10.9%29.9%27.5%36.0%3.8%-4.3%-193.7K1.8M-25.7K0.4576.99N/AN/A6923141,5923,668
2016-04-12$73.00$75.0034.5%10.3%26.9%20.1%36.2%6.2%-4.6%-128.6K1.1M-24.3K0.4579.07N/AN/A6923141,5933,670
2016-04-13$73.84$75.0036.0%10.3%22.9%21.8%36.9%6.9%-5.3%56.5K336.5K-23.8K0.4581.70N/AN/A6923141,5933,670
2016-04-14$72.84$75.0036.6%10.5%23.4%22.4%36.7%4.7%-4.4%-39.9K578.6K-22.7K0.4880.71N/AN/A6683241,5933,670
2016-04-15$73.21$70.0036.5%10.5%22.3%22.3%36.7%3.6%-4.5%-62.6K240.8K-20.6K0.4882.33N/AN/A6683241,6113,690
2016-04-18$72.78$70.0037.7%10.8%21.5%23.7%37.3%4.7%-6.3%-77.2K357.4K-19.9K0.3779.39N/AN/A6482419111,928
2016-04-19$73.13$70.0037.6%10.8%21.6%23.5%37.7%4.3%-4.5%-78.9K252.4K-19.4K0.3481.15N/AN/A6482219111,934
2016-04-20$74.21$70.0036.8%10.6%22.1%22.7%36.9%3.9%-5.2%-65.2K-529.5K-18.6K0.3486.93N/AN/A6762329111,971
2016-04-21$74.80$70.0035.9%10.3%18.0%21.6%36.4%4.2%-4.0%94.0K-2.5M-23.1K0.3281.83N/AN/A7202321,3911,971
2016-04-22$75.92$70.0036.9%10.6%18.5%22.8%38.8%6.1%-5.3%137.2K-3.7M-22.0K1.1089.20N/AN/A2112321,4601,972
2016-04-25$75.47$70.0038.6%11.1%18.8%24.6%41.3%3.5%-6.1%137.6K-3.6M-21.6K1.5886.51N/AN/A1472331,4631,972
2016-04-26$76.55$70.0038.2%10.9%18.5%24.2%42.2%0.4%-5.1%155.7K-4.4M-20.2K1.2781.35N/AN/A1471871,4691,973
2016-04-27$77.69$70.0036.6%10.5%18.7%22.4%40.6%1.2%-7.1%178.7K-5.5M-18.7K1.2983.24N/AN/A1451871,4691,977
2016-04-28$77.97$70.0036.9%10.6%18.6%22.8%39.8%2.3%-6.2%193.9K-5.9M-18.0K1.2081.99N/AN/A1621951,4691,977
2016-04-29$76.96$70.0040.5%11.6%19.1%26.9%42.5%4.3%-7.5%172.3K-4.7M-19.6K1.5985.37N/AN/A1622581,4791,977