VSAT Options History — May 2016

In May 2016, VSAT traded between $69.09 and $76.06. ATM implied volatility averaged 37.5%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 20.1% (HV 20d: 17.4%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2016-05-13: Highest Volume — 5,407 contracts
  • 2016-05-11: Largest IV drop — 32.1% change
  • 2016-05-10: Highest IV Rank — 39.3%
  • 2016-05-04: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.72$69.09$76.06$75.79$69.09
Max Pain$70.95$70.00$75.00$70.00$70.00
ATM IV37.5%24.8%51.5%41.7%25.6%
Expected Move10.1%7.1%12.6%11.9%7.3%
HV 20d17.4%14.5%22.6%20.1%22.5%
HV 60d26.4%21.5%35.0%35.0%24.2%
IV Rank23.3%8.3%39.3%28.1%9.3%
IV Percentile63.3%13.9%96.0%87.7%16.3%
Term Structure-3.7%-9.1%1.2%-9.0%-0.2%
VWIV37.1%23.1%45.2%43.0%23.1%
Skew 25d4.1%1.3%7.1%1.9%7.1%
Skew 10d9.9%2.0%20.7%12.9%7.3%
Call IV 25d34.6%26.0%44.4%42.1%27.0%
Put IV 25d38.7%28.1%45.7%44.0%34.0%
Bid-Ask Spread %83.9163.02100.4089.63100.09
Gamma HHI0.460.400.700.430.42
Net GEX307.3K-270.4K1.7M160.5K-270.4K
Net DEX-2.7M-10.9M3.3M-3.9M3.3M
Net VEX-20.8K-34.6K-13.7K-18.6K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.413.961.281.52
Total Volume793.193545,407397441
Total OI4,864.813,4738,5333,4734,129

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$75.79$70.0041.7%11.9%20.1%28.1%43.0%1.9%-9.0%160.5K-3.9M-18.6K1.2889.63N/AN/A1742231,4791,994
2016-05-03$76.06$75.0043.2%12.4%18.8%29.9%44.3%3.0%-8.1%161.5K-3.8M-18.7K1.3083.15N/AN/A1562031,4952,019
2016-05-04$75.41$75.0043.9%12.6%17.7%30.6%44.0%1.3%-9.1%152.8K-3.6M-18.5K1.4188.45N/AN/A1472071,5002,027
2016-05-05$75.32$70.0043.3%9.8%16.3%29.9%40.2%5.7%-2.7%167.1K-3.6M-18.1K1.4072.98N/AN/A1482071,5012,044
2016-05-06$75.69$70.0046.5%10.0%16.3%33.6%36.9%5.4%-2.4%148.7K-3.6M-17.3K1.8680.32N/AN/A1392581,5012,044
2016-05-09$75.47$70.0049.3%10.2%16.1%36.7%36.6%4.7%-2.3%178.7K-3.9M-15.9K1.8678.76N/AN/A1412621,5072,105
2016-05-10$76.00$70.0051.5%10.0%15.7%39.3%36.8%4.1%-3.0%185.9K-4.2M-15.4K1.9079.10N/AN/A1823461,5092,109
2016-05-11$75.60$70.0035.0%10.0%15.5%20.6%36.9%3.5%-2.3%201.6K-4.1M-15.7K1.8481.69N/AN/A1622981,5622,171
2016-05-12$75.72$70.0036.4%10.4%14.5%22.2%36.6%4.4%-4.4%182.1K-4.0M-15.0K1.7881.47N/AN/A1582811,5822,219
2016-05-13$75.36$70.0036.0%10.3%14.6%21.7%37.2%5.5%-4.3%417.6K-4.7M-13.7K0.8083.06N/AN/A3,0062,4011,5862,233
2016-05-16$74.96$70.0036.6%10.5%14.6%22.4%45.2%2.9%-3.8%1.2M-10.9M-34.6K0.4384.45N/AN/A6502774,4184,031
2016-05-17$74.48$70.0036.4%10.4%14.8%22.2%44.0%3.3%-4.3%1.3M-7.7M-34.5K0.4178.64N/AN/A6502674,4474,059
2016-05-18$73.40$70.0036.7%10.5%14.8%22.5%39.6%4.6%-4.9%1.7M-5.0M-29.6K0.5082.11N/AN/A6523264,4444,045
2016-05-19$72.82$70.0036.8%10.6%14.7%22.7%41.3%7.0%-4.5%744.1K-478.7K-28.5K1.4483.32N/AN/A1712464,4544,079
2016-05-20$73.83$70.0036.4%10.4%14.5%22.2%37.4%5.2%-4.2%167.0K-798.3K-25.5K0.5881.14N/AN/A4392554,4444,071
2016-05-23$71.49$75.0039.4%11.3%18.2%25.6%40.6%3.9%-5.6%46.9K-343.5K-22.6K3.9684.46N/AN/A1345301,5822,081
2016-05-24$72.54$75.0036.4%10.4%18.2%22.2%39.1%4.4%-5.0%93.9K-1.1M-22.3K0.5963.02N/AN/A5002931,5832,099
2016-05-25$69.39$70.0026.3%7.5%22.3%10.8%27.3%2.5%0.5%-130.9K2.3M-18.3K2.5593.25N/AN/A2526421,6742,134
2016-05-26$69.62$70.0024.8%7.1%22.3%8.3%23.8%2.1%1.2%-167.3K2.3M-18.7K2.1692.55N/AN/A1232661,7822,308
2016-05-27$70.10$70.0024.8%7.1%22.6%8.3%25.1%3.9%0.5%-149.9K1.8M-18.7K1.61100.40N/AN/A1702741,7812,329
2016-05-31$69.09$70.0025.6%7.3%22.5%9.3%23.1%7.1%-0.2%-270.4K3.3M-16.1K1.52100.09N/AN/A1752661,7902,339