VSAT Options History — January 2017

In January 2017, VSAT traded between $63.40 and $66.17. ATM implied volatility averaged 31.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 15.7% (HV 20d: 16.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-01-24: Highest Volume — 672 contracts
  • 2017-01-11: Largest IV spike — 25.1% change
  • 2017-01-31: Highest IV Rank — 40.1%
  • 2017-01-31: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.01$63.40$66.17$65.02$65.07
Max Pain$61.75$60.00$65.00$65.00$65.00
ATM IV31.9%25.2%38.1%27.0%38.1%
Expected Move9.5%7.6%10.9%7.7%10.9%
HV 20d16.2%14.5%20.1%14.7%20.1%
HV 60d39.1%38.8%39.6%38.9%39.6%
IV Rank26.2%11.3%40.1%15.3%40.1%
IV Percentile53.3%21.8%86.5%32.9%86.5%
Term Structure-2.9%-7.3%5.5%4.5%-6.9%
VWIV33.8%26.4%43.2%27.4%43.2%
Skew 25d4.1%-1.6%7.3%-1.6%5.1%
Skew 10d9.6%-2.0%45.2%-2.0%5.8%
Call IV 25d32.5%26.1%38.6%31.0%37.5%
Put IV 25d36.7%29.4%43.2%29.4%42.6%
Bid-Ask Spread %91.2082.28102.3599.7995.78
Gamma HHI0.440.220.780.450.29
Net GEX-59.7K-230.7K-3.0K-43.5K-9.9K
Net DEX291.2K6.7K885.0K257.4K142.2K
Net VEX-5.7K-6.5K-5.2K-5.8K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.841.320.930.84
Total Volume578.25527672529536
Total OI1,070.69751,1799851,169

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$65.02$65.0027.0%7.7%14.7%15.3%27.4%-1.6%4.5%-43.5K257.4K-5.8K0.9399.79N/AN/A274255535450
2017-01-04$65.89$65.0026.4%7.6%15.4%14.0%26.4%3.9%5.5%-40.7K138.9K-6.3K0.94102.35N/AN/A273256545460
2017-01-05$66.00$60.0025.5%9.2%15.5%12.1%31.1%4.0%-2.7%-45.6K91.8K-6.3K0.9482.28N/AN/A273256546465
2017-01-06$65.12$60.0025.2%9.0%15.8%11.3%31.5%3.2%-1.4%-59.1K284.8K-5.6K0.9384.26N/AN/A275256546466
2017-01-09$64.91$60.0026.5%9.3%15.8%14.3%32.2%4.0%-2.3%-65.3K281.8K-5.6K0.9591.92N/AN/A270257553473
2017-01-10$64.96$60.0026.2%9.1%14.5%13.5%31.8%3.8%-1.9%-71.6K332.3K-5.6K0.9790.31N/AN/A270261553473
2017-01-11$66.05$60.0032.7%9.4%16.1%27.8%31.3%6.9%-2.2%-67.8K44.1K-5.6K0.9684.32N/AN/A272261553483
2017-01-12$65.49$60.0032.0%9.2%15.3%26.6%32.1%4.4%-2.6%-85.9K229.7K-5.2K1.1389.84N/AN/A277314560483
2017-01-13$65.35$60.0032.1%9.2%15.3%26.8%33.1%2.9%-1.7%-99.7K301.9K-6.5K1.1390.43N/AN/A277314565513
2017-01-17$65.02$60.0033.3%9.5%15.3%29.4%34.7%4.0%-2.9%-134.0K346.0K-5.3K1.1388.21N/AN/A277314565515
2017-01-18$64.94$60.0033.6%9.6%14.9%30.1%32.9%3.1%-3.4%-148.9K459.7K-5.2K1.1393.59N/AN/A287324565515
2017-01-19$64.73$60.0033.9%9.7%14.9%30.6%33.0%3.5%-3.5%-230.7K490.6K-5.3K1.1290.60N/AN/A309346585535
2017-01-20$64.77$60.0033.4%9.6%14.9%29.5%31.7%5.3%-2.7%-9.8K885.0K-5.7K1.1590.78N/AN/A309356612567
2017-01-23$65.11$60.0034.7%10.0%15.1%32.5%30.0%5.4%-5.1%-3.0K65.2K-5.3K1.2190.40N/AN/A298360547428
2017-01-24$66.17$60.0034.6%9.9%16.4%32.3%34.2%4.7%-4.1%-9.7K6.7K-6.2K1.3290.05N/AN/A290382573499
2017-01-25$64.13$65.0036.0%10.3%19.6%35.3%41.6%3.3%-5.7%-14.3K259.5K-6.0K0.9490.76N/AN/A299280587503
2017-01-26$64.06$65.0034.9%10.0%19.2%32.9%37.6%7.3%-5.3%-20.1K382.8K-5.9K0.8991.41N/AN/A314281596514
2017-01-27$64.00$65.0034.7%10.0%18.0%32.6%37.5%4.8%-5.3%-13.6K355.9K-6.1K0.8592.15N/AN/A304257636515
2017-01-30$63.40$65.0037.0%10.6%18.0%37.6%42.4%4.6%-7.3%-19.9K468.6K-5.4K0.8594.86N/AN/A298253642522
2017-01-31$65.07$65.0038.1%10.9%20.1%40.1%43.2%5.1%-6.9%-9.9K142.2K-5.9K0.8495.78N/AN/A291245646523