VSAT Options History — April 2017

In April 2017, VSAT traded between $62.12 and $65.55. ATM implied volatility averaged 25.4%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 13.0% (HV 20d: 12.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.20.

Notable Days

  • 2017-04-06: Highest Volume — 776 contracts
  • 2017-04-05: Largest IV spike — 45.0% change
  • 2017-04-05: Highest IV Rank — 34.3%
  • 2017-04-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.43$62.12$65.55$63.15$64.05
Max Pain$60.79$60.00$65.00$65.00$60.00
ATM IV25.4%20.3%30.7%22.4%27.3%
Expected Move7.5%6.1%8.8%6.4%7.8%
HV 20d12.4%10.2%17.7%17.7%16.4%
HV 60d17.7%16.7%18.2%18.2%17.1%
IV Rank17.5%1.4%34.3%8.0%23.5%
IV Percentile33.8%0.8%60.3%6.3%53.6%
Term Structure-0.2%-3.5%2.7%2.5%0.3%
VWIV27.7%22.7%32.6%24.9%28.3%
Skew 25d3.6%-0.5%8.9%4.5%-0.2%
Skew 10d6.9%-2.7%17.1%3.3%-0.1%
Call IV 25d24.2%18.9%29.4%21.8%29.4%
Put IV 25d27.8%24.6%31.6%26.3%29.2%
Bid-Ask Spread %101.0793.11106.9593.11106.34
Gamma HHI0.460.190.710.710.19
Net GEX-95.4K-223.3K14.5K-136.6K7.6K
Net DEX956.7K-542.4K1.8M1.3M-366.0K
Net VEX-6.8K-8.0K-5.7K-5.8K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.201.602.912.322.77
Total Volume577.947407776670407
Total OI1,395.7891,1421,5971,1711,164

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$63.15$65.0022.4%6.4%17.7%8.0%24.9%4.5%2.5%-136.6K1.3M-5.8K2.3293.11N/AN/A202468484687
2017-04-04$63.03$65.0021.2%6.1%12.8%4.2%22.7%4.3%1.2%-152.0K1.4M-7.3K2.3896.32N/AN/A198471496887
2017-04-05$62.46$65.0030.7%8.8%11.4%34.3%28.4%8.9%-3.5%-172.4K1.4M-7.1K2.4197.49N/AN/A201484496881
2017-04-06$63.12$60.0021.0%6.8%10.3%3.5%28.0%3.6%1.7%-149.6K1.5M-7.2K1.66100.66N/AN/A292484500901
2017-04-07$63.41$60.0020.3%7.2%10.3%1.4%25.3%0.9%0.4%-145.2K1.2M-8.0K1.67103.84N/AN/A290484594901
2017-04-10$63.42$60.0022.4%7.0%10.3%8.1%26.1%3.2%0.9%-160.4K1.2M-7.8K1.6797.95N/AN/A290484597901
2017-04-11$63.22$60.0021.4%7.0%10.2%4.9%26.3%2.4%1.3%-152.5K1.3M-7.8K1.77101.02N/AN/A274484597901
2017-04-12$62.54$60.0023.3%6.7%10.6%10.8%27.3%3.6%2.7%-155.3K1.4M-7.5K1.7799.83N/AN/A274484597901
2017-04-13$62.12$60.0028.4%8.2%10.6%27.1%30.9%3.7%-0.9%-111.9K1.5M-7.3K1.6499.36N/AN/A211345599901
2017-04-17$62.12$60.0030.7%8.8%10.6%34.2%32.6%7.7%-2.3%-87.2K1.8M-6.9K1.60102.82N/AN/A211337604962
2017-04-18$62.38$60.0029.3%8.4%10.7%29.9%31.4%5.7%-1.0%-119.3K1.5M-7.3K2.28100.83N/AN/A148337603963
2017-04-19$62.73$60.0025.2%7.2%11.0%16.9%30.8%6.6%1.0%-89.9K1.8M-6.4K2.14101.35N/AN/A153328629963
2017-04-20$63.65$60.0027.0%7.7%12.1%22.6%31.4%6.0%-0.1%-223.3K1.3M-6.6K2.82102.61N/AN/A120338630963
2017-04-21$63.23$60.0027.7%7.9%12.3%24.8%25.5%2.8%-2.7%-8.4K1.7M-6.3K2.91105.99N/AN/A119346634963
2017-04-24$64.28$60.0026.0%7.4%13.6%19.3%24.5%-0.5%-1.7%316-266.5K-5.7K2.7298.37N/AN/A113307502640
2017-04-25$65.55$60.0026.8%7.7%15.0%21.8%28.2%2.6%-1.8%14.2K-492.8K-6.1K2.54102.25N/AN/A121307515640
2017-04-26$65.34$60.0025.4%7.3%14.5%17.4%26.9%0.5%0.2%14.5K-542.4K-5.8K2.38103.16N/AN/A129307521640
2017-04-27$65.32$60.0026.4%7.6%14.5%20.5%27.7%2.9%-1.1%14.3K-496.5K-5.9K2.44106.95N/AN/A126307523640
2017-04-28$64.05$60.0027.3%7.8%16.4%23.5%28.3%-0.2%0.3%7.6K-366.0K-6.1K2.77106.34N/AN/A108299524640