VSAT Options History — July 2016

In July 2016, VSAT traded between $69.63 and $74.54. ATM implied volatility averaged 31.5%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.5% (HV 20d: 28.0%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-07-01: Highest Volume — 369 contracts
  • 2016-07-08: Largest IV drop — 21.4% change
  • 2016-07-26: Highest IV Rank — 15.3%
  • 2016-07-26: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.25$69.63$74.54$70.87$73.93
Max Pain$72.00$60.00$75.00$70.00$75.00
ATM IV31.5%24.9%35.9%26.4%34.3%
Expected Move9.4%7.6%10.3%7.6%9.8%
HV 20d28.0%17.6%33.2%29.6%17.6%
HV 60d26.0%25.4%26.6%25.4%25.6%
IV Rank11.0%4.0%15.3%5.8%13.2%
IV Percentile39.9%4.8%57.1%14.3%49.6%
Term Structure-2.2%-5.8%5.8%5.8%-3.9%
VWIV35.8%26.2%40.3%26.2%36.2%
Skew 25d4.6%0.5%7.9%2.8%2.0%
Skew 10d5.5%-14.2%22.3%5.8%-5.4%
Call IV 25d32.0%27.5%36.2%27.5%36.2%
Put IV 25d36.6%30.3%39.3%30.3%38.2%
Bid-Ask Spread %90.0684.10107.47107.4795.40
Gamma HHI0.210.170.240.200.23
Net GEX-771-13.8K8.5K2.8K8.5K
Net DEX-514.4K-1.0M35.9K-222.3K-509.2K
Net VEX-4.5K-5.3K-3.9K-5.3K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.771.590.770.87
Total Volume292.95258369369291
Total OI994.28741,1181,060927

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$70.87$70.0026.4%7.6%29.6%5.8%26.2%2.8%5.8%2.8K-222.3K-5.3K0.77107.47N/AN/A209160344716
2016-07-05$69.63$60.0027.6%9.3%29.6%7.3%34.2%6.3%-1.1%2.9K35.9K-5.0K1.3190.51N/AN/A122160362716
2016-07-06$70.42$60.0027.9%9.4%30.0%7.5%36.2%4.6%-2.2%7.4K-82.9K-5.0K1.3191.59N/AN/A122160362716
2016-07-07$71.02$60.0031.6%9.3%30.1%12.0%35.8%3.7%-2.1%8.2K-279.9K-5.1K1.4884.60N/AN/A122180362716
2016-07-08$73.68$65.0024.9%8.9%33.2%4.0%36.6%7.9%-0.9%3.4K-730.2K-5.0K1.5485.75N/AN/A122188362731
2016-07-11$74.20$75.0027.4%9.3%32.2%6.9%35.9%5.7%-2.1%-1.6K-871.3K-4.7K1.5984.87N/AN/A118188362739
2016-07-12$74.54$75.0028.4%9.2%30.8%8.1%36.3%5.1%-0.9%-7.1K-983.7K-4.5K1.5388.17N/AN/A123188364738
2016-07-13$74.32$75.0031.9%9.2%30.8%12.4%35.4%4.1%-1.5%-8.1K-1.0M-4.4K1.5485.05N/AN/A122188367741
2016-07-14$73.91$75.0031.6%9.1%30.8%12.0%34.0%4.9%-1.5%-13.8K-989.5K-4.3K1.4284.10N/AN/A132188367741
2016-07-15$74.28$75.0032.3%9.3%30.7%12.8%35.4%7.1%-0.5%-1.9K-947.2K-4.5K1.4289.23N/AN/A132188377741
2016-07-18$74.47$75.0033.3%9.6%30.0%12.1%36.1%5.3%-3.9%-1.2K-452.5K-4.2K1.3090.80N/AN/A122158257617
2016-07-19$73.43$75.0032.5%9.3%30.6%11.1%36.1%0.5%-1.1%-676-410.4K-4.4K1.2589.67N/AN/A122153271617
2016-07-20$73.70$75.0032.6%9.3%30.5%11.2%34.4%3.1%-2.7%-1.9K-395.2K-4.4K1.2484.38N/AN/A123152271622
2016-07-21$73.33$75.0033.9%9.7%30.4%12.7%37.7%4.1%-1.9%-3.2K-374.7K-4.3K1.2492.63N/AN/A123152272624
2016-07-22$73.69$75.0033.8%9.7%29.4%12.7%36.8%4.5%-4.9%-1.6K-420.0K-4.3K1.2489.40N/AN/A123152272624
2016-07-25$73.93$75.0034.4%9.9%22.3%13.4%37.4%3.6%-3.7%-2.3K-420.4K-4.0K1.2490.29N/AN/A123152272624
2016-07-26$74.20$75.0035.9%10.3%21.0%15.3%40.3%3.4%-5.5%-760-440.3K-4.2K1.1092.00N/AN/A123135272624
2016-07-27$74.02$75.0035.3%10.1%21.1%14.5%38.8%4.9%-3.5%-1.4K-408.6K-4.1K1.1090.55N/AN/A123135272625
2016-07-28$73.49$75.0035.0%10.0%19.6%14.1%35.7%7.5%-5.8%-3.0K-378.1K-3.9K0.9094.84N/AN/A150135272625
2016-07-29$73.93$75.0034.3%9.8%17.6%13.2%36.2%2.0%-3.9%8.5K-509.2K-4.1K0.8795.40N/AN/A156135302625