VSAT Options History — May 2017

In May 2017, VSAT traded between $63.04 and $66.95. ATM implied volatility averaged 30.0%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.7% (HV 20d: 17.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.56.

Notable Days

  • 2017-05-24: Highest Volume — 5,915 contracts
  • 2017-05-24: Largest IV drop — 19.1% change
  • 2017-05-31: Highest IV Rank — 64.6%
  • 2017-05-31: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.86$63.04$66.95$64.27$65.17
Max Pain$64.09$60.00$65.00$60.00$65.00
ATM IV30.0%25.4%37.0%26.0%37.0%
Expected Move8.5%7.3%10.6%7.5%10.6%
HV 20d17.3%14.9%22.8%15.8%22.5%
HV 60d16.6%15.0%18.8%17.0%18.8%
IV Rank36.4%17.3%64.6%19.5%64.6%
IV Percentile65.1%37.7%90.9%42.5%90.9%
Term Structure-3.0%-7.9%1.5%-0.7%-7.1%
VWIV31.8%26.7%42.7%27.4%42.7%
Skew 25d4.0%-4.3%13.5%-0.7%13.5%
Skew 10d10.5%-10.8%28.8%-1.9%28.8%
Call IV 25d28.9%25.4%36.2%28.1%33.1%
Put IV 25d32.9%26.1%46.6%27.4%46.6%
Bid-Ask Spread %65.0828.11108.30103.1775.99
Gamma HHI0.350.190.870.190.87
Net GEX-208.3K-1.3M54.2K8.5K-1.3M
Net DEX822.4K-1.4M9.0M-336.1K9.0M
Net VEX-17.2K-58.2K-5.8K-5.8K-58.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.807.102.821.45
Total Volume1,052.2274265,915439815
Total OI3,355.5911,16611,0431,16611,043

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$64.27$60.0026.0%7.5%15.8%19.5%27.4%-0.7%-0.7%8.5K-336.1K-5.8K2.82103.17N/AN/A115324524642
2017-05-02$64.27$60.0026.1%7.5%15.2%19.6%30.3%-2.5%-0.2%5.9K-303.7K-5.8K2.70105.70N/AN/A115311528672
2017-05-03$64.00$60.0025.4%7.3%15.3%17.3%32.5%-4.3%1.5%11.7K-327.6K-6.4K1.96108.30N/AN/A159311562673
2017-05-04$64.54$65.0026.7%7.6%15.0%21.6%30.0%2.7%-1.0%16.3K-429.4K-6.2K1.9377.82N/AN/A163315562673
2017-05-05$65.38$65.0026.3%7.5%15.2%20.5%26.7%3.2%-0.9%27.3K-585.8K-6.3K1.9488.85N/AN/A162314572677
2017-05-08$65.39$65.0031.3%7.7%15.2%36.1%27.6%3.5%-1.4%27.1K-644.5K-6.0K1.9573.81N/AN/A161314573681
2017-05-09$65.00$65.0031.8%7.7%15.4%37.8%26.8%3.0%-1.2%30.2K-605.8K-6.2K1.9773.98N/AN/A161317583681
2017-05-10$65.25$65.0027.4%7.8%15.4%23.8%28.4%3.3%-1.7%29.7K-639.6K-6.0K2.5960.76N/AN/A181468583685
2017-05-11$64.94$65.0027.9%8.0%14.9%30.5%28.7%3.9%-2.1%-21.0K-237.9K-6.7K2.4661.55N/AN/A190468604854
2017-05-12$64.24$65.0028.0%8.0%15.3%30.5%28.9%3.3%-2.2%-28.5K-44.7K-6.5K2.4960.08N/AN/A188468613854
2017-05-15$65.43$65.0028.5%8.2%16.3%32.5%29.5%3.3%-2.9%-38.0K-374.4K-6.1K3.2972.74N/AN/A197648604854
2017-05-16$65.15$65.0029.2%8.4%16.5%35.2%31.1%4.7%-3.6%-6.7K-447.3K-6.7K1.9149.80N/AN/A197377692925
2017-05-17$64.47$65.0029.2%8.4%17.0%35.3%33.0%2.4%-3.5%-13.0K79.6K-6.4K3.0963.54N/AN/A118365692925
2017-05-18$63.48$65.0029.9%8.6%17.3%38.0%31.0%2.7%-3.8%-18.6K531.7K-5.9K2.2737.27N/AN/A175398694925
2017-05-19$64.14$65.0029.9%8.6%17.5%37.9%28.6%3.1%-2.8%8.0K639.0K-6.6K0.8045.36N/AN/A464373746935
2017-05-22$63.85$65.0033.4%9.6%16.6%51.3%36.7%6.0%-7.5%54.2K-1.4M-11.7K4.4878.54N/AN/A3691,653941719
2017-05-23$63.04$65.0036.7%10.5%15.3%63.5%39.7%6.1%-7.9%-201.3K774.7K-23.4K2.0328.11N/AN/A7271,4731,1972,075
2017-05-24$65.76$60.0029.7%8.5%21.9%37.0%35.0%4.8%-2.8%-335.0K-805.7K-36.2K7.1044.63N/AN/A7305,1851,8894,408
2017-05-25$66.95$65.0031.9%9.2%22.8%45.7%37.3%8.2%-3.5%-754.5K2.7M-47.6K2.3143.18N/AN/A4541,0491,6088,016
2017-05-26$66.25$65.0032.4%9.3%21.9%47.2%32.3%7.9%-3.9%-948.3K4.5M-53.1K1.7833.81N/AN/A3826801,6068,726
2017-05-30$65.92$65.0034.7%9.9%22.0%55.9%34.8%10.0%-5.8%-1.2M7.1M-55.3K2.9444.71N/AN/A2838321,6169,191
2017-05-31$65.17$65.0037.0%10.6%22.5%64.6%42.7%13.5%-7.1%-1.3M9.0M-58.2K1.4575.99N/AN/A3324831,6469,397