VSAT Options History — March 2017

In March 2017, VSAT traded between $62.73 and $69.06. ATM implied volatility averaged 24.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.6% (HV 20d: 18.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.73.

Notable Days

  • 2017-03-07: Highest Volume — 2,877 contracts
  • 2017-03-15: Largest IV drop — 26.7% change
  • 2017-03-14: Highest IV Rank — 34.1%
  • 2017-03-07: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.24$62.73$69.06$69.06$63.88
Max Pain$64.57$60.00$65.00$65.00$65.00
ATM IV24.0%19.9%30.7%23.4%20.7%
Expected Move6.5%5.7%7.1%6.7%5.9%
HV 20d18.4%16.2%23.6%17.3%17.5%
HV 60d18.6%17.5%19.3%17.5%18.1%
IV Rank12.9%0.0%34.1%11.1%2.8%
IV Percentile17.5%0.0%54.8%11.9%0.8%
Term Structure2.2%-1.8%4.2%-1.8%4.1%
VWIV25.4%22.4%31.7%24.7%29.0%
Skew 25d4.2%0.2%6.8%6.2%6.8%
Skew 10d7.6%-2.3%16.5%5.2%16.5%
Call IV 25d22.3%19.8%25.3%21.9%19.8%
Put IV 25d26.5%24.5%28.5%28.2%26.5%
Bid-Ask Spread %92.9583.89102.2592.4698.10
Gamma HHI0.660.340.990.340.71
Net GEX-769.6K-10.6M70.2K60.4K-147.2K
Net DEX1.3M-1.4M4.7M-1.3M1.1M
Net VEX-8.7K-15.9K-5.7K-6.7K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.807.690.821.39
Total Volume1,050.0434662,877573471
Total OI2,014.4781,1563,6441,3761,168

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$69.06$65.0023.4%6.7%17.3%11.1%24.7%6.2%-1.8%60.4K-1.3M-6.7K0.8292.46N/AN/A314259821555
2017-03-02$68.73$65.0022.7%6.5%17.0%8.7%24.0%6.0%-1.2%67.1K-1.4M-6.2K0.8392.17N/AN/A312259836555
2017-03-03$68.79$65.0022.5%6.4%16.5%8.0%22.8%4.7%-0.7%70.2K-1.4M-6.3K0.80102.25N/AN/A312250841555
2017-03-06$68.77$60.0023.9%6.2%16.6%12.4%22.7%3.2%3.4%68.8K-1.3M-6.0K0.9892.57N/AN/A284278841554
2017-03-07$66.27$60.0029.7%7.1%21.8%30.8%24.8%6.1%2.8%16.9K-460.7K-5.7K7.6991.39N/AN/A3312,546867554
2017-03-08$65.00$65.0026.4%7.0%22.9%20.3%24.9%4.7%3.1%-708.6K4.1M-15.9K4.1088.26N/AN/A3231,3259242,650
2017-03-09$66.08$65.0027.2%6.8%23.6%22.9%23.5%4.8%2.5%-649.4K2.8M-15.2K3.9992.39N/AN/A3361,3429262,692
2017-03-10$65.54$65.0025.9%6.7%22.5%18.7%23.7%4.6%2.5%-834.9K3.8M-15.6K4.0088.61N/AN/A3231,2929122,712
2017-03-13$65.27$65.0028.6%6.6%21.4%27.4%23.9%4.4%3.0%-948.5K4.1M-14.1K4.8294.57N/AN/A2701,3019162,713
2017-03-14$64.87$65.0030.7%6.6%18.4%34.1%24.0%4.1%3.4%-1.0M4.7M-13.6K4.8988.68N/AN/A2701,3219212,723
2017-03-15$65.05$65.0022.5%6.5%18.5%8.1%22.8%4.6%4.2%-1.2M3.8M-12.8K6.41100.51N/AN/A2701,7309222,564
2017-03-16$65.24$65.0023.3%6.7%18.3%10.7%23.5%4.0%2.4%-857.1K2.1M-8.6K5.1594.03N/AN/A3361,7309222,125
2017-03-17$65.05$65.0022.1%6.3%18.3%6.9%22.4%3.5%3.8%-10.6M1.1M-7.5K5.1391.97N/AN/A3351,7209422,125
2017-03-20$64.62$65.0022.8%6.5%18.3%9.0%27.9%4.0%1.8%-103.3K713.4K-7.4K1.1986.17N/AN/A226268482674
2017-03-21$64.50$65.0022.6%6.5%17.6%8.4%23.7%2.3%2.0%-101.3K610.3K-7.3K1.1983.89N/AN/A227270482682
2017-03-22$64.03$65.0022.5%6.4%17.5%8.1%28.6%3.4%1.3%-109.1K896.6K-7.1K1.2189.72N/AN/A227274483684
2017-03-23$64.03$65.0022.0%6.3%17.5%6.7%24.2%0.2%2.2%-115.4K845.7K-7.3K1.3490.24N/AN/A202271483684
2017-03-24$63.66$65.0022.1%6.3%16.9%6.9%29.7%2.1%1.7%-112.7K990.7K-6.7K1.3588.48N/AN/A202272489685
2017-03-27$63.31$65.0024.6%7.1%16.2%14.8%28.6%2.6%0.8%-117.5K1.2M-6.7K1.3598.72N/AN/A202272489686
2017-03-28$62.73$65.0022.5%6.4%16.3%8.1%29.0%5.4%2.9%-117.1K1.3M-5.9K1.4197.60N/AN/A193273472686
2017-03-29$62.91$65.0019.9%5.7%16.3%0.0%23.3%5.5%3.7%-135.7K1.4M-6.1K1.4196.84N/AN/A193273479689
2017-03-30$63.06$65.0023.8%6.8%16.5%12.3%31.7%3.7%3.6%-111.5K1.2M-6.1K1.4198.31N/AN/A193273479689
2017-03-31$63.88$65.0020.7%5.9%17.5%2.8%29.0%6.8%4.1%-147.2K1.1M-6.2K1.3998.10N/AN/A197274479689