VSAT Options History — June 2016

In June 2016, VSAT traded between $66.68 and $74.40. ATM implied volatility averaged 27.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 2.6% (HV 20d: 29.6%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-06-02: Highest Volume — 716 contracts
  • 2016-06-03: Largest IV spike — 22.8% change
  • 2016-06-27: Highest IV Rank — 17.3%
  • 2016-06-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.75$66.68$74.40$68.98$71.21
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV27.0%23.4%33.3%25.6%23.4%
Expected Move7.7%6.7%9.5%7.3%6.7%
HV 20d29.6%22.3%33.9%22.3%33.9%
HV 60d23.9%22.2%25.8%24.2%25.6%
IV Rank10.1%2.3%17.3%9.2%2.3%
IV Percentile20.2%1.2%49.6%15.9%1.2%
Term Structure3.8%0.5%9.4%0.5%9.4%
VWIV29.6%23.6%38.0%31.5%23.6%
Skew 25d3.3%-2.1%10.3%1.3%10.3%
Skew 10d9.0%-7.3%25.5%-0.3%18.3%
Call IV 25d27.4%17.7%40.0%28.7%17.7%
Put IV 25d30.8%26.9%41.0%30.0%28.0%
Bid-Ask Spread %96.7987.96106.5498.12105.51
Gamma HHI0.450.240.940.420.28
Net GEX-36.7K-1.0M561.8K-293.9K-27.9K
Net DEX-44.1K-4.8M7.3M3.5M-14.1K
Net VEX-9.1K-17.3K-4.9K-15.3K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.581.810.590.83
Total Volume374.818274716709352
Total OI2,811.6829924,1294,1291,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$68.98$70.0025.6%7.3%22.3%9.2%31.5%1.3%0.5%-293.9K3.5M-15.3K0.5998.12N/AN/A4472621,7902,339
2016-06-02$69.77$70.0025.1%7.3%23.0%8.7%27.0%2.5%2.6%-289.7K2.5M-15.1K0.5888.93N/AN/A4542621,6622,339
2016-06-03$73.02$70.0030.8%7.0%28.9%15.2%27.4%3.2%3.4%212.6K-2.0M-17.3K1.8191.22N/AN/A1502711,6822,339
2016-06-06$74.02$70.0024.6%7.1%29.4%8.2%27.3%1.6%3.0%491.5K-4.8M-12.9K1.3690.38N/AN/A1552111,6892,329
2016-06-07$74.07$70.0025.0%7.1%29.4%8.6%28.2%2.1%3.0%466.5K-3.9M-14.2K1.6291.60N/AN/A1422301,6972,340
2016-06-08$74.40$70.0024.5%7.0%29.3%7.6%25.8%3.3%3.2%554.3K-4.6M-13.7K1.3887.96N/AN/A1622241,6972,360
2016-06-09$74.14$70.0024.1%6.9%29.3%7.2%25.7%2.3%4.4%561.8K-4.1M-13.1K1.3789.24N/AN/A1642241,7182,350
2016-06-10$72.52$70.0025.0%7.2%30.2%8.2%26.1%2.4%4.7%406.6K-2.1M-11.5K1.6897.94N/AN/A1442421,7262,350
2016-06-13$70.76$70.0027.6%7.9%31.2%11.1%24.9%4.8%3.4%-196.6K829.6K-10.2K1.7097.31N/AN/A1442451,7232,371
2016-06-14$70.70$70.0028.6%8.2%31.2%12.3%31.1%-2.1%2.6%-509.2K1.5M-9.3K1.5495.69N/AN/A1442221,7222,364
2016-06-15$70.21$70.0027.0%7.7%31.2%10.1%30.1%4.2%4.4%-903.2K2.1M-8.4K1.6095.82N/AN/A1392221,7222,362
2016-06-16$70.74$70.0027.4%7.9%31.1%10.6%32.0%4.1%2.4%-1.0M594.8K-7.0K1.7894.72N/AN/A1452581,7222,361
2016-06-17$69.66$70.0027.6%7.9%31.4%10.8%31.3%3.3%2.4%-28.0K7.3M-5.5K1.7195.06N/AN/A1472511,7292,372
2016-06-20$70.19$70.0026.3%7.5%31.1%9.2%32.1%6.8%4.2%-27.4K91.9K-5.4K1.5299.48N/AN/A112170282710
2016-06-21$70.15$70.0026.1%7.5%29.0%9.1%28.9%2.9%4.9%-28.2K105.2K-5.4K1.4997.65N/AN/A114170284711
2016-06-22$69.50$70.0026.1%7.5%28.6%9.1%29.8%1.2%5.1%-29.2K166.9K-5.3K1.4996.15N/AN/A114170288711
2016-06-23$71.16$70.0026.7%7.7%25.2%9.8%32.7%6.9%5.6%-27.3K89.1K-5.4K1.48101.71N/AN/A115170288711
2016-06-24$67.74$70.0031.2%8.9%30.9%14.9%38.0%-2.1%4.0%-30.8K384.9K-5.3K1.40102.63N/AN/A114160289711
2016-06-27$66.68$70.0033.3%9.5%31.2%17.3%33.6%4.9%3.3%-35.3K574.8K-5.0K1.40104.30N/AN/A114160289711
2016-06-28$67.46$70.0032.9%9.4%31.2%16.9%33.7%4.4%1.1%-36.6K519.5K-4.9K1.40101.50N/AN/A114160289716
2016-06-29$69.35$70.0025.7%7.4%32.8%5.0%29.9%5.3%6.2%-34.3K329.4K-5.0K1.38106.54N/AN/A116160289716
2016-06-30$71.21$70.0023.4%6.7%33.9%2.3%23.6%10.3%9.4%-27.9K-14.1K-5.0K0.83105.51N/AN/A192160291716