VSAT Options History — August 2017

In August 2017, VSAT traded between $59.29 and $66.63. ATM implied volatility averaged 28.5%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.8% (HV 20d: 32.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 3.12.

Notable Days

  • 2017-08-14: Highest Volume — 727 contracts
  • 2017-08-09: Largest IV drop — 47.6% change
  • 2017-08-08: Highest IV Rank — 100.0%
  • 2017-08-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.38$59.29$66.63$66.20$63.57
Max Pain$60.43$60.00$65.00$65.00$60.00
ATM IV28.5%20.6%47.1%39.0%20.6%
Expected Move7.5%5.9%11.4%11.2%5.9%
HV 20d32.3%11.5%42.3%14.8%42.3%
HV 60d27.7%22.9%31.1%23.0%27.6%
IV Rank32.2%2.6%100.0%71.9%2.6%
IV Percentile40.3%0.8%100.0%93.3%0.8%
Term Structure-0.4%-9.7%4.2%-9.3%1.2%
VWIV26.0%19.8%42.4%38.7%22.4%
Skew 25d3.8%2.3%5.5%5.0%4.0%
Skew 10d8.0%-0.6%13.4%9.0%7.8%
Call IV 25d24.7%19.5%37.2%36.6%19.5%
Put IV 25d28.5%23.5%42.8%41.6%23.5%
Bid-Ask Spread %31.8813.6167.3420.7458.95
Gamma HHI0.300.180.410.180.40
Net GEX4.2K-111.0K80.6K18.5K80.6K
Net DEX-335.5K-1.6M1.0M-1.1M-1.6M
Net VEX-10.8K-13.3K-8.9K-11.4K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.121.794.744.432.38
Total Volume595.609420727586470
Total OI1,855.131,6252,1001,8061,953

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$66.20$65.0039.0%11.2%14.8%71.9%38.7%5.0%-9.3%18.5K-1.1M-11.4K4.4320.74N/AN/A1084786751,131
2017-08-02$66.09$65.0039.7%11.4%14.8%74.4%42.4%5.5%-9.7%18.8K-1.1M-11.5K4.7420.29N/AN/A1115266831,131
2017-08-03$65.83$60.0040.8%8.7%12.3%78.4%30.4%3.6%-2.3%17.8K-1.0M-11.3K4.7133.18N/AN/A1115236831,131
2017-08-04$66.11$60.0041.8%8.8%12.4%82.4%30.6%3.9%-2.9%20.4K-1.1M-11.0K4.1939.81N/AN/A1255246831,133
2017-08-07$66.63$60.0046.4%8.9%11.5%99.5%31.2%3.9%-2.9%26.3K-1.2M-11.1K4.5517.26N/AN/A1185376931,135
2017-08-08$65.75$60.0047.1%9.0%12.7%100.0%31.9%4.2%-3.0%14.8K-1.0M-11.1K3.0124.79N/AN/A1795397021,150
2017-08-09$59.88$60.0024.7%7.1%36.1%17.7%24.5%2.3%1.0%-54.5K929.8K-8.9K4.0167.34N/AN/A1355417461,146
2017-08-10$60.96$60.0025.5%7.3%36.6%20.7%23.5%4.3%1.2%-52.9K600.1K-9.8K3.9854.28N/AN/A1365417481,179
2017-08-11$60.66$60.0025.8%7.4%36.4%21.7%25.8%2.9%2.0%-59.4K490.6K-10.8K2.8552.19N/AN/A1865308071,185
2017-08-14$62.36$60.0024.7%7.1%38.0%17.6%24.3%4.8%1.8%-12.7K-84.0K-10.7K2.9113.61N/AN/A1865418131,218
2017-08-15$62.06$60.0023.9%6.9%38.0%15.0%23.6%4.2%3.1%-9.9K-70.9K-10.2K3.8516.08N/AN/A1415438131,221
2017-08-16$61.58$60.0023.1%6.6%37.4%11.9%23.3%3.3%2.9%-25.9K41.5K-10.1K3.8055.21N/AN/A1435438211,223
2017-08-17$59.35$60.0023.7%6.8%39.3%14.2%23.2%3.5%2.8%-111.0K906.4K-9.6K2.6647.08N/AN/A1945178211,223
2017-08-18$59.29$60.0023.2%6.6%39.2%12.1%23.5%4.9%4.2%1.5K1.0M-9.9K3.4522.79N/AN/A1585458781,222
2017-08-21$59.35$60.0023.5%6.7%39.1%13.4%23.6%4.1%0.7%1.3K103.4K-10.4K2.0025.91N/AN/A140280814811
2017-08-22$60.10$60.0022.6%6.5%38.7%9.9%20.9%2.8%0.5%15.0K-131.7K-10.3K2.1214.85N/AN/A148314816818
2017-08-23$60.76$60.0022.5%6.5%39.0%9.7%19.8%3.8%0.4%23.2K-304.9K-10.8K2.2517.04N/AN/A146328839850
2017-08-24$60.00$60.0022.3%6.4%39.0%9.0%21.3%3.2%0.2%11.7K-51.1K-10.6K2.0419.21N/AN/A163333834864
2017-08-25$61.89$60.0022.9%6.6%41.1%11.4%21.5%3.4%-0.3%43.0K-750.6K-11.3K2.0820.07N/AN/A155323867874
2017-08-28$61.35$60.0024.0%6.9%41.2%15.1%24.1%3.7%0.2%31.9K-499.2K-10.9K2.1922.14N/AN/A137300860875
2017-08-29$61.89$60.0025.0%7.2%41.4%19.0%23.5%2.5%-0.9%40.0K-649.7K-11.1K1.7950.95N/AN/A173310869890
2017-08-30$63.13$60.0023.3%6.7%42.2%12.6%23.7%2.5%0.3%58.8K-1.1M-12.5K1.8419.52N/AN/A183337922918
2017-08-31$63.57$60.0020.6%5.9%42.3%2.6%22.4%4.0%1.2%80.6K-1.6M-13.3K2.3858.95N/AN/A139331989964