VSAT Options History — August 2016

In August 2016, VSAT traded between $72.65 and $75.59. ATM implied volatility averaged 28.2%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 14.8% (HV 20d: 13.4%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-08-19: Highest Volume — 351 contracts
  • 2016-08-10: Largest IV drop — 40.7% change
  • 2016-08-09: Highest IV Rank — 26.2%
  • 2016-08-03: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.57$72.65$75.59$73.75$75.21
Max Pain$70.65$70.00$75.00$75.00$70.00
ATM IV28.2%19.9%44.9%37.7%23.4%
Expected Move7.5%5.7%11.5%10.8%6.7%
HV 20d13.4%10.3%17.5%17.5%12.2%
HV 60d24.5%20.9%26.2%25.6%20.9%
IV Rank7.3%0.0%26.2%17.4%4.1%
IV Percentile26.5%0.0%91.3%73.0%5.6%
Term Structure1.1%-8.1%5.8%-7.2%-0.1%
VWIV28.1%21.8%42.8%40.1%22.8%
Skew 25d1.8%-5.6%6.6%1.4%-5.6%
Skew 10d1.8%-9.7%12.0%7.2%-9.7%
Call IV 25d26.7%21.4%39.6%39.6%24.5%
Put IV 25d28.5%18.8%42.9%41.0%18.8%
Bid-Ask Spread %95.8383.94105.7895.75105.78
Gamma HHI0.370.230.750.230.29
Net GEX46.1K-14.0K280.8K10.3K-1.8K
Net DEX-707.8K-1.6M-396.6K-515.4K-569.3K
Net VEX-4.0K-4.4K-3.4K-4.1K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.001.180.921.11
Total Volume266.6960351281331
Total OI1,035.9579211,1299381,022

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$73.75$75.0037.7%10.8%17.5%17.4%40.1%1.4%-7.2%10.3K-515.4K-4.1K0.9295.75N/AN/A146135313625
2016-08-02$72.65$75.0038.4%11.0%17.1%18.2%42.8%2.5%-8.1%12.4K-450.2K-4.2K1.0994.77N/AN/A131143333625
2016-08-03$72.71$75.0040.0%11.5%16.8%20.2%40.5%6.6%-7.9%11.6K-450.8K-4.2K1.0798.70N/AN/A135145337635
2016-08-04$73.22$70.0040.4%9.1%16.7%20.8%33.4%5.1%-0.6%16.4K-550.0K-4.3K1.1087.88N/AN/A155170342637
2016-08-05$73.38$70.0039.5%8.7%10.3%19.7%30.4%3.9%-0.6%21.2K-599.5K-4.3K1.1083.94N/AN/A155170367662
2016-08-08$74.96$70.0044.7%9.0%12.6%25.9%30.0%4.0%-2.0%30.8K-812.3K-4.1K0.9585.30N/AN/A136129367662
2016-08-09$74.95$70.0044.9%8.8%12.5%26.2%32.1%4.5%-1.0%29.8K-784.6K-4.4K0.7790.03N/AN/A167129372686
2016-08-10$74.85$70.0026.6%7.6%12.5%3.9%28.5%-0.3%2.2%62.5K-925.2K-4.2K0.7793.86N/AN/A167129414686
2016-08-11$74.54$70.0022.7%6.5%12.4%0.0%24.7%2.4%5.3%110.2K-887.6K-4.0K0.7791.48N/AN/A167129414688
2016-08-12$74.35$70.0022.2%6.4%12.3%0.0%25.1%1.9%5.8%84.7K-799.9K-3.9K1.1896.91N/AN/A131154414688
2016-08-15$75.44$70.0022.7%6.5%13.4%0.5%24.7%3.8%5.0%139.8K-1.1M-4.0K1.1594.15N/AN/A134154412715
2016-08-16$75.55$70.0022.9%6.6%12.2%0.9%24.9%2.9%4.8%146.6K-1.2M-3.8K1.1291.85N/AN/A137154414715
2016-08-17$74.72$70.0022.7%6.5%12.9%0.6%24.3%2.5%5.4%168.3K-758.2K-3.8K0.0097.77N/AN/A650403714
2016-08-18$75.00$70.0022.2%6.4%12.8%0.0%0.0%2.8%5.7%280.8K-973.5K-3.7K0.0097.55N/AN/A00406714
2016-08-19$75.20$70.0022.4%6.4%12.7%0.2%22.3%2.9%5.4%-4.7K-1.6M-3.4K0.9197.56N/AN/A184167414715
2016-08-22$74.85$70.0022.5%6.4%12.8%0.3%21.8%1.8%2.7%-14.0K-396.6K-3.4K1.0199.31N/AN/A161162254667
2016-08-23$75.59$70.0021.8%6.2%13.2%0.0%23.5%1.9%1.6%-4.4K-535.2K-3.8K0.96100.73N/AN/A161155276692
2016-08-24$74.87$70.0023.1%6.6%13.7%1.6%0.0%-4.2%0.9%-13.7K-409.1K-3.9K0.80104.18N/AN/A2016274691
2016-08-25$74.93$70.0022.3%6.4%13.4%0.6%23.6%0.5%2.5%-7.9K-507.0K-4.3K0.9897.75N/AN/A149146302708
2016-08-26$74.49$70.0019.9%5.7%13.5%0.0%24.9%-0.9%3.8%-12.8K-445.7K-4.3K0.94103.87N/AN/A157148304708
2016-08-29$74.85$70.0022.4%6.4%13.5%2.8%24.3%-1.2%1.3%-2.8K-542.3K-4.2K0.9495.43N/AN/A157148314706
2016-08-30$74.95$70.0023.4%6.7%12.1%4.1%24.4%1.2%0.5%-2.8K-550.4K-4.2K0.9499.61N/AN/A157148314706
2016-08-31$75.21$70.0023.4%6.7%12.2%4.1%22.8%-5.6%-0.1%-1.8K-569.3K-4.1K1.11105.78N/AN/A157174314708