VSAT Options History — November 2016

In November 2016, VSAT traded between $68.50 and $81.20. ATM implied volatility averaged 31.5%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 11.8% (HV 20d: 43.2%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2016-11-17: Highest Volume — 2,815 contracts
  • 2016-11-09: Largest IV drop — 45.6% change
  • 2016-11-07: Highest IV Rank — 57.3%
  • 2016-11-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.40$68.50$81.20$69.48$71.19
Max Pain$73.33$70.00$75.00$70.00$70.00
ATM IV31.5%24.3%46.3%39.4%28.2%
Expected Move8.4%7.0%11.3%11.3%8.1%
HV 20d43.2%14.3%65.1%16.0%65.0%
HV 60d29.8%17.0%40.3%17.0%40.3%
IV Rank25.0%9.4%57.3%42.2%18.0%
IV Percentile45.4%12.7%95.2%83.7%36.5%
Term Structure-1.8%-9.1%2.7%-9.1%-1.4%
VWIV29.5%23.6%42.6%41.8%24.4%
Skew 25d3.3%-0.2%5.2%3.7%4.2%
Skew 10d7.5%-0.9%22.2%7.9%13.2%
Call IV 25d28.7%24.2%40.0%40.0%27.1%
Put IV 25d32.0%26.9%44.6%43.7%31.3%
Bid-Ask Spread %89.4373.2299.6189.0599.61
Gamma HHI0.330.150.630.460.20
Net GEX64.3K-130.7K236.8K57.8K19.0K
Net DEX-723.6K-4.7M10.8M-549.1K-164.2K
Net VEX-7.5K-8.5K-5.2K-5.4K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.706.170.811.11
Total Volume819.8573132,815313615
Total OI1,329.9528433,9548431,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$69.48$70.0039.4%11.3%16.0%42.2%41.8%3.7%-9.1%57.8K-549.1K-5.4K0.8189.05N/AN/A173140594249
2016-11-02$68.92$70.0039.6%11.3%15.9%42.6%42.6%4.8%-9.0%37.9K-213.9K-5.2K0.7093.44N/AN/A201140594284
2016-11-03$68.50$75.0041.0%8.9%14.3%45.7%33.1%2.9%-2.2%38.6K-235.0K-5.6K0.7082.95N/AN/A201140631284
2016-11-04$68.91$75.0043.4%9.7%14.6%50.9%32.8%5.2%-4.8%48.4K-401.5K-5.8K0.7082.40N/AN/A201140631284
2016-11-07$69.90$75.0046.3%9.3%15.3%57.3%33.3%4.7%-3.1%58.5K-607.1K-5.7K1.1185.30N/AN/A297331626284
2016-11-08$70.46$75.0045.3%8.8%14.4%55.1%32.8%4.3%-1.5%64.2K-660.9K-8.5K1.0173.22N/AN/A403409727488
2016-11-09$77.60$75.0024.6%7.1%37.7%10.2%25.8%-0.2%-3.7%194.0K-2.9M-8.0K1.2390.64N/AN/A290358783506
2016-11-10$79.60$75.0024.4%7.0%38.1%9.7%26.3%3.3%2.7%177.4K-3.9M-8.2K1.2587.32N/AN/A309387772494
2016-11-11$81.20$75.0025.2%7.2%38.5%11.4%26.9%4.0%1.4%126.2K-4.7M-8.2K1.3192.39N/AN/A309404804532
2016-11-14$80.62$75.0026.3%7.5%38.8%13.7%26.8%3.5%0.8%126.1K-4.5M-8.3K1.1891.20N/AN/A318376819554
2016-11-15$80.98$75.0025.9%7.4%38.8%12.8%26.3%2.7%0.6%109.8K-4.6M-8.0K1.1990.08N/AN/A328390810556
2016-11-16$73.74$75.0027.3%7.8%52.3%16.0%30.2%3.9%1.1%236.8K-1.2M-7.9K1.8191.41N/AN/A489885839556
2016-11-17$68.51$75.0034.4%9.9%58.4%31.3%33.5%3.6%-3.6%-130.7K3.1M-7.2K5.3189.15N/AN/A4462,369816984
2016-11-18$73.34$70.0026.7%7.7%63.6%14.6%28.8%4.2%2.0%31.7K10.8M-8.1K6.1786.13N/AN/A3832,3649672,987
2016-11-21$72.30$70.0029.6%8.5%63.8%20.9%27.1%4.0%-2.1%28.2K-703.4K-7.9K1.2574.94N/AN/A280350591542
2016-11-22$71.96$70.0026.5%7.6%63.6%14.3%23.6%3.9%0.1%14.5K-388.0K-8.4K1.4895.25N/AN/A227336619591
2016-11-23$74.11$75.0024.3%7.0%64.5%9.4%24.6%0.4%-0.3%31.8K-955.1K-8.4K1.4894.83N/AN/A227336617593
2016-11-25$74.81$75.0026.2%7.5%64.2%13.6%25.5%2.7%-1.1%26.6K-1.1M-8.4K1.4298.27N/AN/A235334620592
2016-11-28$72.83$75.0026.7%7.6%65.1%14.6%27.4%1.2%-1.3%24.9K-697.3K-7.8K1.3994.34N/AN/A230319636593
2016-11-29$72.45$70.0029.4%8.4%65.1%20.5%26.3%2.8%-2.6%29.0K-618.8K-7.9K1.4096.02N/AN/A228319651587
2016-11-30$71.19$70.0028.2%8.1%65.0%18.0%24.4%4.2%-1.4%19.0K-164.2K-7.7K1.1199.61N/AN/A292323657585