VSAT Options History — December 2016

In December 2016, VSAT traded between $66.05 and $71.10. ATM implied volatility averaged 27.0%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 11.6% (HV 20d: 38.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-12-16: Highest Volume — 723 contracts
  • 2016-12-14: Largest IV drop — 29.3% change
  • 2016-12-13: Highest IV Rank — 33.3%
  • 2016-12-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.93$66.05$71.10$70.30$66.05
Max Pain$65.48$65.00$70.00$70.00$65.00
ATM IV27.0%23.5%35.3%27.6%25.3%
Expected Move7.3%6.7%8.0%7.9%7.2%
HV 20d38.6%13.3%65.1%65.1%14.3%
HV 60d39.4%38.9%40.4%40.3%39.0%
IV Rank15.4%7.7%33.3%16.6%11.6%
IV Percentile28.3%10.3%64.3%33.3%22.2%
Term Structure4.2%-1.7%6.4%-1.7%5.8%
VWIV26.9%20.4%36.5%24.4%25.4%
Skew 25d2.6%-2.2%5.0%3.0%-2.2%
Skew 10d4.5%-5.0%12.0%5.3%-5.0%
Call IV 25d24.7%22.1%27.8%27.2%25.3%
Put IV 25d27.3%23.1%30.4%30.2%23.1%
Bid-Ask Spread %97.0583.81104.56103.72102.82
Gamma HHI0.280.220.390.220.39
Net GEX15.4K-32.0K41.0K24.5K-32.0K
Net DEX-120.2K-455.8K440.0K-104.0K12.1K
Net VEX-6.7K-7.6K-6.1K-7.3K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.811.381.381.10
Total Volume604520723554569
Total OI1,129.198171,3961,280985

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$70.30$70.0027.6%7.9%65.1%16.6%24.4%3.0%-1.7%24.5K-104.0K-7.3K1.38103.72N/AN/A233321691589
2016-12-02$70.53$70.0027.8%8.0%65.1%17.0%27.2%2.6%-0.4%22.8K-79.7K-7.4K1.38100.42N/AN/A233321696589
2016-12-05$71.10$65.0030.2%7.8%65.1%22.3%28.9%3.3%3.1%30.4K-229.7K-7.3K1.2390.09N/AN/A233287696589
2016-12-06$70.95$65.0029.2%7.6%64.9%20.0%27.8%3.7%3.9%29.7K-161.2K-7.2K1.1891.67N/AN/A243287696587
2016-12-07$71.00$65.0029.0%7.5%64.9%19.6%20.4%3.5%3.5%32.7K-207.5K-7.1K1.1883.81N/AN/A243287706587
2016-12-08$70.49$65.0027.3%7.4%54.0%15.9%36.5%4.7%4.1%41.0K-289.2K-6.8K1.2591.88N/AN/A246307706561
2016-12-09$69.03$65.0031.0%7.3%53.1%23.9%28.1%2.4%3.8%13.6K222.9K-6.4K1.1492.07N/AN/A293334706564
2016-12-12$68.86$65.0031.9%7.3%52.2%26.0%28.1%4.6%3.7%-3.0K440.0K-6.2K0.9492.06N/AN/A357334716589
2016-12-13$69.72$65.0035.3%7.2%52.7%33.3%22.8%3.8%4.1%25.5K-101.6K-7.6K0.9392.51N/AN/A358334803589
2016-12-14$69.34$65.0025.0%7.2%52.5%10.9%28.0%2.3%4.8%25.5K46.4K-6.8K0.8199.16N/AN/A384310801589
2016-12-15$69.39$65.0025.1%7.2%41.6%11.1%28.5%2.3%4.5%35.7K97.4K-6.6K0.8297.86N/AN/A384313802594
2016-12-16$68.53$65.0025.6%7.3%32.5%12.2%27.9%3.2%4.8%24.4K434.2K-6.6K0.8894.18N/AN/A384339802573
2016-12-19$68.41$65.0024.1%6.9%20.2%9.0%25.6%2.5%6.2%14.8K-432.7K-6.4K0.8597.01N/AN/A328280462355
2016-12-20$68.51$65.0024.4%7.0%19.8%9.8%26.1%2.1%5.2%19.2K-455.8K-6.6K0.8495.53N/AN/A335280473355
2016-12-21$68.23$65.0023.5%6.7%19.8%7.7%24.8%1.8%5.5%17.4K-427.6K-6.2K0.84101.13N/AN/A335280480355
2016-12-22$67.77$65.0024.3%7.0%15.8%9.4%26.5%0.1%5.4%15.8K-389.4K-6.5K0.84102.91N/AN/A332279481355
2016-12-23$67.55$65.0024.0%6.9%15.0%8.8%26.5%1.6%6.3%7.3K-318.2K-6.5K0.81104.56N/AN/A332268491390
2016-12-27$68.10$65.0024.9%7.1%13.3%10.8%29.2%5.0%5.6%10.0K-313.1K-6.4K0.81100.94N/AN/A332268491390
2016-12-28$66.70$65.0026.2%7.5%14.6%13.6%26.7%0.9%6.4%-5.0K-195.1K-6.1K1.27101.05N/AN/A234298491390
2016-12-29$67.03$65.0025.9%7.4%14.1%12.9%25.8%3.3%4.4%-26.3K-72.4K-6.4K1.10102.64N/AN/A271298498450
2016-12-30$66.05$65.0025.3%7.2%14.3%11.6%25.4%-2.2%5.8%-32.0K12.1K-6.5K1.10102.82N/AN/A271298535450