VSAT Options History — September 2016

In September 2016, VSAT traded between $72.04 and $75.69. ATM implied volatility averaged 25.6%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.3% (HV 20d: 17.3%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-09-29: Highest Volume — 642 contracts
  • 2016-09-12: Largest IV spike — 48.2% change
  • 2016-09-12: Highest IV Rank — 27.3%
  • 2016-09-13: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.20$72.04$75.69$75.30$74.85
Max Pain$74.52$70.00$75.00$70.00$75.00
ATM IV25.6%21.4%43.3%23.1%22.1%
Expected Move6.9%6.3%7.8%6.6%6.3%
HV 20d17.3%9.9%22.4%12.0%22.4%
HV 60d19.6%17.1%21.5%20.9%17.3%
IV Rank6.6%1.8%27.3%3.7%2.5%
IV Percentile16.6%0.4%91.3%5.2%1.6%
Term Structure4.0%0.0%6.8%0.0%6.8%
VWIV24.7%22.6%27.4%24.0%22.6%
Skew 25d2.1%-4.3%6.0%-4.3%2.9%
Skew 10d5.3%-7.5%23.1%-7.5%2.7%
Call IV 25d24.8%23.1%27.8%25.3%24.1%
Put IV 25d26.9%20.9%29.9%20.9%27.1%
Bid-Ask Spread %96.2386.94105.24105.24104.88
Gamma HHI0.390.230.700.370.70
Net GEX1.8K-73.0K185.8K-16.1K185.8K
Net DEX-524.5K-1.8M303.8K-512.8K-1.8M
Net VEX-5.2K-8.1K-3.8K-4.3K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.381.111.110.41
Total Volume408.762307642331613
Total OI910.6195601,2911,065946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$75.30$70.0023.1%6.6%12.0%3.7%24.0%-4.3%0.0%-16.1K-512.8K-4.3K1.11105.24N/AN/A157174314751
2016-09-02$75.69$70.0022.5%6.5%12.1%3.0%24.1%2.2%1.3%-9.4K-602.5K-4.1K0.9693.34N/AN/A157150314751
2016-09-06$75.19$75.0022.0%6.7%9.9%2.4%23.3%2.6%3.8%-10.9K-527.4K-3.8K0.9086.94N/AN/A167150314751
2016-09-07$75.17$75.0021.4%6.5%9.9%1.8%22.9%3.1%3.8%-2.9K-598.4K-3.9K0.7990.00N/AN/A189150334751
2016-09-08$75.12$75.0023.0%6.5%9.9%3.6%22.6%2.1%4.0%-235-607.7K-4.1K0.8391.50N/AN/A189156352751
2016-09-09$72.58$75.0029.2%6.9%15.7%10.8%23.4%1.0%4.7%-33.7K-161.9K-4.4K0.5594.00N/AN/A299165362770
2016-09-12$73.20$75.0043.3%7.4%16.1%27.3%25.6%-0.1%2.0%-58.1K96.3K-4.3K0.6391.77N/AN/A321203352780
2016-09-13$72.28$75.0037.2%7.8%15.6%20.2%26.5%1.8%3.9%-73.0K162.5K-4.7K0.6589.64N/AN/A319208371818
2016-09-14$72.04$75.0026.8%7.7%15.5%8.1%25.4%4.9%5.6%-55.2K303.8K-4.8K0.8498.35N/AN/A258217371823
2016-09-15$73.53$75.0026.4%7.6%17.1%7.6%27.4%5.2%1.0%-60.6K-320.3K-5.3K0.8096.83N/AN/A272217439837
2016-09-16$72.25$75.0026.5%7.6%18.0%7.7%25.1%3.1%2.7%-11.0K-275.6K-5.2K0.7692.31N/AN/A287217454837
2016-09-19$73.73$75.0023.9%6.9%19.6%4.6%25.7%3.2%4.3%3.3K-387.0K-5.3K0.7095.89N/AN/A188132279281
2016-09-20$73.15$75.0024.9%7.1%19.7%5.8%25.4%2.3%4.4%7.8K-403.6K-5.9K0.6096.41N/AN/A221132321281
2016-09-21$73.73$75.0023.8%6.8%19.6%4.5%24.9%1.1%5.0%12.4K-490.7K-5.8K0.60103.64N/AN/A221132326281
2016-09-22$75.57$75.0023.0%6.6%21.4%3.6%27.4%6.0%5.9%16.9K-801.1K-5.8K0.65103.48N/AN/A204132326281
2016-09-23$75.03$75.0023.1%6.6%21.5%3.6%24.7%2.0%5.2%27.0K-843.7K-6.3K0.65103.62N/AN/A204132359281
2016-09-26$74.73$75.0024.1%6.9%21.5%4.8%25.1%-0.6%4.7%26.8K-772.5K-6.0K0.6596.90N/AN/A204132359281
2016-09-27$75.26$75.0023.8%6.8%21.5%4.6%25.5%2.8%4.4%29.5K-856.7K-6.1K0.6796.98N/AN/A196132359281
2016-09-28$75.53$75.0023.7%6.8%21.6%4.4%24.9%2.5%5.3%31.4K-949.2K-6.0K0.7688.59N/AN/A196149361281
2016-09-29$74.37$75.0022.8%6.5%22.3%3.3%22.8%1.1%6.0%28.9K-707.8K-5.7K0.38100.47N/AN/A465177361281
2016-09-30$74.85$75.0022.1%6.3%22.4%2.5%22.6%2.9%6.8%185.8K-1.8M-8.1K0.41104.88N/AN/A435178635311