VSAT Options History — June 2017

In June 2017, VSAT traded between $65.92 and $72.44. ATM implied volatility averaged 28.6%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.6% (HV 20d: 30.2%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.01.

Notable Days

  • 2017-06-30: Highest Volume — 1,852 contracts
  • 2017-06-12: Largest IV spike — 45.0% change
  • 2017-06-13: Highest IV Rank — 100.0%
  • 2017-06-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.68$65.92$72.44$67.30$66.38
Max Pain$68.18$65.00$70.00$65.00$70.00
ATM IV28.6%24.0%46.5%41.9%25.1%
Expected Move7.7%6.9%12.0%12.0%7.2%
HV 20d30.2%17.1%33.4%25.0%17.1%
HV 60d21.8%18.4%22.7%18.4%22.7%
IV Rank32.9%15.7%100.0%83.1%19.6%
IV Percentile53.0%25.0%100.0%97.2%33.7%
Term Structure1.8%-11.3%5.5%-11.3%5.5%
VWIV31.3%26.1%55.0%55.0%33.1%
Skew 25d4.9%2.2%13.8%13.8%4.8%
Skew 10d9.9%4.5%24.3%24.3%12.4%
Call IV 25d25.0%22.8%33.7%33.7%23.2%
Put IV 25d29.9%26.6%47.5%47.5%28.0%
Bid-Ask Spread %72.2238.0685.4076.6385.40
Gamma HHI0.580.330.800.800.57
Net GEX-287.7K-930.3K713-930.3K-367.4K
Net DEX-1.6M-6.6M2.6M2.6M687.3K
Net VEX-22.5K-48.0K-16.9K-48.0K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.011.2615.252.0415.25
Total Volume708.9092441,8529711,852
Total OI8,445.6823,81912,49211,3674,242

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$67.30$65.0041.9%12.0%25.0%83.1%55.0%13.8%-11.3%-930.3K2.6M-48.0K2.0476.63N/AN/A3196521,7039,664
2017-06-02$71.17$65.0026.0%7.5%31.3%23.3%31.0%6.4%-1.3%-254.8K-4.5M-27.9K2.0268.72N/AN/A5141,0391,59610,100
2017-06-05$71.77$65.0028.3%7.2%31.2%31.9%33.6%4.0%0.9%-148.0K-5.3M-22.5K1.6158.71N/AN/A3836181,59810,554
2017-06-06$71.89$65.0028.3%7.1%31.2%31.9%33.3%3.3%2.0%-59.9K-5.9M-20.3K1.5766.36N/AN/A3956191,58210,553
2017-06-07$71.98$65.0027.6%7.3%31.0%29.1%33.5%4.5%1.2%-31.0K-6.0M-18.5K1.7374.09N/AN/A3786541,57610,562
2017-06-08$72.44$65.0027.3%7.2%31.0%28.1%33.8%3.7%1.0%713-6.6M-17.3K4.0656.83N/AN/A1616541,58010,541
2017-06-09$72.12$65.0024.0%7.4%31.0%15.7%34.2%4.5%0.6%-16.4K-6.3M-16.9K3.9278.13N/AN/A1746821,57510,541
2017-06-12$71.25$65.0034.8%7.2%31.1%56.5%31.3%4.3%1.6%-46.0K-5.7M-17.7K3.0271.48N/AN/A2387191,57310,607
2017-06-13$69.40$70.0046.5%8.0%32.6%100.0%30.8%2.2%0.5%-415.3K-2.6M-21.1K1.4277.84N/AN/A2343331,53310,683
2017-06-14$68.76$70.0027.4%7.9%32.8%28.4%33.2%4.0%0.3%-235.7K-2.7M-22.7K1.2684.67N/AN/A2132691,55510,759
2017-06-15$67.48$70.0030.9%8.9%33.3%41.5%31.9%5.5%-0.4%-395.6K-267.2K-25.6K2.3275.25N/AN/A1683901,55510,799
2017-06-16$67.60$70.0026.5%7.6%32.7%24.9%30.3%4.4%1.7%-316.4K-807.5K-25.7K1.5377.05N/AN/A1612471,55810,934
2017-06-19$68.05$70.0024.2%6.9%32.6%16.3%28.0%4.3%4.5%-301.0K587.8K-22.3K1.8474.40N/AN/A861586953,124
2017-06-20$66.81$70.0026.6%7.6%33.4%25.2%28.0%5.0%3.7%-354.1K1.5M-24.5K2.0573.30N/AN/A871787213,123
2017-06-21$65.92$70.0026.1%7.5%33.4%23.4%27.9%5.0%4.2%-420.8K1.9M-23.7K2.1681.45N/AN/A881907243,145
2017-06-22$65.95$70.0026.0%7.5%29.9%23.2%27.5%5.1%4.3%-413.7K1.8M-23.2K3.2680.22N/AN/A1003267333,153
2017-06-23$66.66$70.0026.5%7.6%29.4%25.0%26.7%5.4%3.7%-369.4K986.6K-22.0K3.5638.12N/AN/A983497503,351
2017-06-26$66.75$70.0027.0%7.7%29.2%26.8%26.1%4.5%4.1%-338.4K494.1K-20.0K3.1538.06N/AN/A1173687523,376
2017-06-27$67.04$70.0027.0%7.7%29.1%26.7%26.2%5.0%4.2%-314.5K282.3K-19.2K2.8884.74N/AN/A1173377733,416
2017-06-28$67.63$70.0024.3%7.0%28.9%16.5%26.5%3.4%5.3%-276.0K-143.4K-18.5K2.5384.25N/AN/A1353427733,441
2017-06-29$66.58$70.0027.2%7.8%27.1%27.6%26.8%5.8%4.3%-326.4K307.7K-18.3K2.9883.20N/AN/A1143407913,441
2017-06-30$66.38$70.0025.1%7.2%17.1%19.6%33.1%4.8%5.5%-367.4K687.3K-19.2K15.2585.40N/AN/A1141,7387933,449