VSAT Options History — October 2016

In October 2016, VSAT traded between $70.60 and $74.25. ATM implied volatility averaged 30.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.7% (HV 20d: 19.0%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-10-04: Highest Volume — 676 contracts
  • 2016-10-12: Largest IV spike — 27.7% change
  • 2016-10-31: Highest IV Rank — 39.0%
  • 2016-10-31: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.57$70.60$74.25$73.86$70.86
Max Pain$70.71$70.00$75.00$75.00$70.00
ATM IV30.7%21.8%37.9%24.6%37.9%
Expected Move9.1%7.0%10.9%7.1%10.9%
HV 20d19.0%15.3%24.1%22.7%15.3%
HV 60d16.8%15.9%17.2%15.9%17.2%
IV Rank20.5%2.1%39.0%5.5%39.0%
IV Percentile42.4%0.8%78.6%13.9%78.6%
Term Structure-2.5%-7.1%8.1%5.8%-7.1%
VWIV32.2%25.4%38.7%26.5%38.7%
Skew 25d3.7%-0.1%5.6%-0.1%3.8%
Skew 10d10.2%3.2%36.7%36.7%7.1%
Call IV 25d31.7%22.3%37.4%28.3%37.4%
Put IV 25d35.4%27.1%41.2%28.2%41.2%
Bid-Ask Spread %89.5577.34103.76101.0690.63
Gamma HHI0.740.470.870.790.47
Net GEX328.6K73.1K663.4K301.0K73.1K
Net DEX-1.8M-3.3M-806.2K-2.1M-806.2K
Net VEX-8.5K-12.1K-5.7K-9.6K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.371.010.930.92
Total Volume365.286278676375333
Total OI1,345.1437981,6851,209854

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$73.86$75.0024.6%7.1%22.7%5.5%26.5%-0.1%5.8%301.0K-2.1M-9.6K0.93101.06N/AN/A194181897312
2016-10-04$72.77$75.0025.9%7.4%23.2%7.0%26.4%0.1%6.1%253.4K-1.6M-8.8K0.3799.80N/AN/A495181897315
2016-10-05$73.02$75.0024.4%7.0%23.3%5.2%25.4%4.8%8.1%360.2K-2.5M-11.4K0.87103.76N/AN/A2091811,173315
2016-10-06$74.20$70.0021.8%8.6%24.1%2.1%30.6%5.6%-2.6%467.1K-3.3M-12.1K0.8388.15N/AN/A2171811,210315
2016-10-07$73.58$70.0025.3%8.8%20.8%6.3%31.2%4.0%-2.8%418.4K-2.8M-11.8K0.8381.56N/AN/A2171811,210315
2016-10-10$74.25$70.0024.3%8.7%20.8%5.1%30.8%4.2%-2.3%491.9K-3.3M-11.4K0.5482.61N/AN/A3021621,210315
2016-10-11$72.81$70.0026.2%9.0%21.5%7.3%31.3%3.5%-3.3%486.5K-2.3M-10.6K0.8577.34N/AN/A1911621,345316
2016-10-12$72.50$70.0033.5%9.6%21.6%15.8%31.5%4.1%-4.4%462.2K-2.1M-10.2K0.8583.87N/AN/A1911621,345316
2016-10-13$71.85$70.0032.9%9.4%20.4%15.1%31.7%4.0%-2.5%386.3K-1.6M-9.3K0.8183.09N/AN/A1911551,345316
2016-10-14$72.33$70.0033.4%9.6%19.6%29.2%31.6%4.9%-3.9%470.7K-1.7M-9.2K0.8785.63N/AN/A1791551,345313
2016-10-17$72.55$70.0032.2%9.2%18.2%26.6%32.1%4.1%-3.3%395.4K-1.2M-7.7K0.8792.65N/AN/A1791551,335313
2016-10-18$73.08$70.0031.5%9.0%18.2%25.1%31.6%4.0%-3.3%514.2K-1.7M-7.8K0.8697.30N/AN/A1801551,335313
2016-10-19$73.50$70.0031.2%9.0%18.1%24.5%31.7%4.0%-3.5%663.4K-2.1M-7.9K0.8689.36N/AN/A1801551,336312
2016-10-20$72.98$70.0032.1%9.2%15.6%26.3%32.4%4.0%-3.4%589.9K-2.4M-7.6K0.7390.30N/AN/A2111551,336312
2016-10-21$72.33$70.0034.9%10.0%15.7%32.5%33.1%2.9%-5.3%97.5K-842.5K-6.7K0.7386.52N/AN/A2131551,373312
2016-10-24$72.81$70.0032.9%9.4%16.0%28.1%34.9%3.9%-3.6%108.3K-1.4M-6.6K0.5990.31N/AN/A189111591207
2016-10-25$71.85$70.0035.1%10.1%16.2%32.9%34.8%3.5%-5.7%97.9K-1.2M-6.2K0.5993.10N/AN/A189111591207
2016-10-26$71.67$70.0034.7%10.0%16.0%32.1%35.7%3.9%-4.9%95.7K-1.1M-6.0K0.5989.49N/AN/A189111591207
2016-10-27$70.60$70.0034.7%9.9%16.0%32.0%37.8%3.9%-5.1%84.3K-927.0K-5.8K0.6687.49N/AN/A167111591207
2016-10-28$70.60$70.0034.9%10.0%15.7%32.4%36.5%4.5%-4.8%84.0K-896.1K-5.7K1.0186.58N/AN/A167168593207
2016-10-31$70.86$70.0037.9%10.9%15.3%39.0%38.7%3.8%-7.1%73.1K-806.2K-5.9K0.9290.63N/AN/A173160593261