VSAT Options History — July 2017

In July 2017, VSAT traded between $63.22 and $67.57. ATM implied volatility averaged 31.3%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.8% (HV 20d: 17.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 4.74.

Notable Days

  • 2017-07-03: Highest Volume — 1,838 contracts
  • 2017-07-12: Largest IV spike — 19.8% change
  • 2017-07-31: Highest IV Rank — 68.6%
  • 2017-07-31: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.27$63.22$67.57$64.91$66.13
Max Pain$66.00$65.00$70.00$70.00$65.00
ATM IV31.3%24.2%38.1%25.9%38.1%
Expected Move9.3%6.9%10.9%7.4%10.9%
HV 20d17.6%16.2%18.8%17.7%17.0%
HV 60d23.3%23.0%23.6%23.1%23.1%
IV Rank43.1%16.2%68.6%22.8%68.6%
IV Percentile68.8%26.6%92.1%39.3%92.1%
Term Structure-2.8%-7.4%7.2%4.9%-7.4%
VWIV34.7%29.2%37.1%32.2%37.0%
Skew 25d2.6%-23.0%5.7%2.9%3.8%
Skew 10d5.5%-35.1%9.8%4.9%7.6%
Call IV 25d32.7%26.8%52.2%26.8%37.0%
Put IV 25d35.3%29.2%40.8%29.8%40.8%
Bid-Ask Spread %47.5821.4797.7994.9121.47
Gamma HHI0.410.190.620.500.20
Net GEX-224.7K-462.0K38.6K-330.2K27.4K
Net DEX393.1K-1.6M3.1M1.1M-1.2M
Net VEX-12.7K-16.6K-9.7K-16.6K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.742.7015.1215.124.47
Total Volume515.253611,8381,838585
Total OI2,830.851,5443,4413,2971,606

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$64.91$70.0025.9%7.4%17.7%22.8%32.2%2.9%4.9%-330.2K1.1M-16.6K15.1294.91N/AN/A1141,7247932,504
2017-07-05$65.24$70.0024.2%6.9%17.9%16.2%29.2%-23.0%7.2%-340.8K1.1M-16.4K4.3397.79N/AN/A763297932,504
2017-07-06$63.83$65.0027.0%8.9%18.8%27.0%34.5%4.9%-2.4%-417.6K2.1M-16.4K6.1626.46N/AN/A774747982,506
2017-07-07$63.97$65.0025.5%8.9%18.4%21.3%34.2%4.0%-1.5%-403.4K1.7M-15.9K4.9528.40N/AN/A964757982,578
2017-07-10$63.22$65.0028.1%9.4%18.5%30.9%34.1%4.5%-3.2%-462.0K3.1M-16.3K5.4421.90N/AN/A663597682,578
2017-07-11$63.52$65.0026.5%9.2%18.8%24.8%34.6%3.7%-3.1%-454.6K2.8M-15.8K4.1139.02N/AN/A803297732,586
2017-07-12$63.75$65.0031.7%9.1%17.4%44.5%33.7%3.5%-2.1%-456.9K2.5M-15.2K4.1159.98N/AN/A803297732,591
2017-07-13$64.31$65.0032.1%9.2%17.9%46.0%34.3%3.9%-3.3%-423.1K1.8M-14.5K4.1658.85N/AN/A813377732,597
2017-07-14$64.83$65.0032.1%9.2%17.4%45.8%34.6%3.3%-3.3%-334.4K827.3K-13.2K4.2155.42N/AN/A803377832,606
2017-07-17$65.13$65.0032.3%9.3%17.5%46.7%35.3%4.0%-3.5%-295.0K432.8K-11.8K4.9644.82N/AN/A803977822,606
2017-07-18$64.75$65.0032.3%9.2%17.2%46.5%35.8%4.4%-3.0%-329.4K737.7K-11.4K4.9636.41N/AN/A803977822,631
2017-07-19$65.75$65.0032.3%9.3%17.3%46.7%34.1%3.7%-3.1%-197.2K-296.7K-10.8K4.3047.92N/AN/A803447822,622
2017-07-20$65.67$70.0032.7%9.4%16.6%48.1%34.9%3.8%-3.2%-243.4K-375.3K-10.7K4.8642.41N/AN/A793847832,658
2017-07-21$65.85$70.0032.9%9.4%16.7%49.0%34.3%5.3%-3.9%15.6K-1.2M-10.1K3.8361.19N/AN/A1003837842,618
2017-07-24$66.10$65.0033.8%9.7%16.2%52.5%35.0%5.7%-4.2%19.3K-1.2M-9.9K3.8846.34N/AN/A74287623921
2017-07-25$67.35$65.0034.8%10.0%17.6%56.2%35.4%4.3%-5.0%29.8K-1.5M-9.7K2.7028.00N/AN/A107289622922
2017-07-26$67.57$65.0032.8%9.4%17.6%48.5%36.0%2.6%-4.8%38.6K-1.6M-10.1K2.7073.54N/AN/A107289669920
2017-07-27$66.85$65.0035.7%10.2%17.7%59.6%36.8%4.3%-5.6%32.3K-1.4M-10.0K2.7244.82N/AN/A107291669920
2017-07-28$66.60$65.0035.8%10.3%16.8%60.0%37.1%3.5%-5.9%31.0K-1.4M-9.9K2.7621.94N/AN/A107295675920
2017-07-31$66.13$65.0038.1%10.9%17.0%68.6%37.0%3.8%-7.4%27.4K-1.2M-9.7K4.4721.47N/AN/A107478675931