VSAT Options History — February 2017

In February 2017, VSAT traded between $64.01 and $69.45. ATM implied volatility averaged 28.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.9% (HV 20d: 20.7%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-02-07: Highest Volume — 1,560 contracts
  • 2017-02-08: Largest IV drop — 29.3% change
  • 2017-02-06: Highest IV Rank — 51.8%
  • 2017-02-01: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.68$64.01$69.45$64.54$68.92
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV28.6%22.6%43.5%38.1%23.6%
Expected Move7.6%6.5%10.9%10.9%6.8%
HV 20d20.7%18.7%23.4%19.5%19.1%
HV 60d27.9%17.7%39.6%39.6%17.7%
IV Rank21.7%8.3%51.8%40.0%11.5%
IV Percentile35.6%5.2%95.6%86.1%13.1%
Term Structure-0.3%-7.5%3.2%-7.5%-1.7%
VWIV28.7%21.7%39.7%39.7%27.6%
Skew 25d3.5%1.4%7.1%3.9%7.1%
Skew 10d9.3%0.7%19.7%4.2%5.6%
Call IV 25d25.6%20.9%38.4%38.4%22.0%
Put IV 25d29.1%23.9%42.3%42.3%29.1%
Bid-Ask Spread %92.8977.84102.1393.89102.13
Gamma HHI0.320.220.610.260.33
Net GEX28.0K-82.7K198.0K-8.4K61.3K
Net DEX-1.2M-3.9M437.7K165.7K-1.3M
Net VEX-7.3K-10.3K-6.0K-6.1K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.351.260.940.84
Total Volume691.6845641,560564569
Total OI1,929.5261,1973,0201,1971,377

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$64.54$65.0038.1%10.9%19.5%40.0%39.7%3.9%-7.5%-8.4K165.7K-6.1K0.9493.89N/AN/A291273675522
2017-02-02$64.01$65.0038.9%8.8%19.0%41.7%34.3%2.7%-0.7%-17.2K291.9K-6.3K0.8988.68N/AN/A312277675552
2017-02-03$64.39$65.0039.4%8.6%19.1%42.9%34.8%3.3%-1.6%-11.9K227.3K-7.3K0.9088.68N/AN/A307277703561
2017-02-06$64.77$65.0043.5%8.8%18.7%51.8%35.5%4.2%-1.5%-7.3K110.1K-6.5K0.8986.46N/AN/A304271716561
2017-02-07$65.22$65.0041.0%8.5%18.9%46.4%33.1%4.2%-0.5%-14.9K37.5K-6.0K1.0789.18N/AN/A753807718560
2017-02-08$65.00$65.0029.0%8.3%18.9%20.6%29.5%4.0%-1.5%-82.7K437.7K-10.0K0.4790.27N/AN/A5162431,0931,102
2017-02-09$66.39$65.0029.9%8.6%19.5%31.6%30.8%5.3%-1.8%-10.9K-973.6K-10.3K0.3577.84N/AN/A8522971,2451,112
2017-02-10$65.08$65.0025.5%7.3%20.6%17.5%25.4%1.7%1.2%25.7K-379.3K-10.1K0.8594.16N/AN/A3442941,8041,137
2017-02-13$67.03$65.0024.9%7.1%23.1%15.7%26.6%4.8%0.6%36.7K-2.8M-8.2K0.82101.18N/AN/A3222651,8111,115
2017-02-14$67.06$65.0024.1%6.9%23.0%13.2%23.8%2.4%2.5%21.8K-3.0M-7.5K0.9695.04N/AN/A3483351,8341,126
2017-02-15$67.51$65.0022.8%6.5%23.0%9.2%24.2%3.7%2.5%138.6K-3.3M-7.4K0.9592.92N/AN/A3473311,8471,156
2017-02-16$67.17$65.0023.6%6.8%23.1%11.7%25.0%3.2%2.9%198.0K-2.3M-7.9K1.0290.57N/AN/A2892941,8491,160
2017-02-17$67.16$65.0023.7%6.8%23.1%12.0%25.7%3.9%3.2%19.3K-3.9M-6.4K1.0491.99N/AN/A3133251,8611,159
2017-02-21$67.99$65.0022.8%6.5%23.4%9.0%21.7%1.9%-0.9%24.7K-821.4K-6.4K1.1794.08N/AN/A271318754547
2017-02-22$68.19$65.0023.2%6.7%22.8%10.4%24.4%1.4%-1.1%26.5K-824.8K-7.0K1.1297.81N/AN/A283318755568
2017-02-23$68.23$65.0022.7%6.5%19.2%8.6%23.0%2.9%0.1%29.3K-871.6K-6.6K1.1195.49N/AN/A286318766567
2017-02-24$68.82$65.0023.2%6.6%19.2%10.2%28.7%2.8%-0.1%41.7K-1.1M-6.4K1.2698.69N/AN/A254319769567
2017-02-27$69.45$65.0022.6%6.5%19.3%8.3%30.8%3.1%-0.3%61.2K-1.5M-6.2K1.0495.74N/AN/A303316769568
2017-02-28$68.92$65.0023.6%6.8%19.1%11.5%27.6%7.1%-1.7%61.3K-1.3M-6.7K0.84102.13N/AN/A310259819558