VSAT Options History — September 2017

In September 2017, VSAT traded between $60.06 and $64.33. ATM implied volatility averaged 23.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.0% (HV 20d: 24.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.09.

Notable Days

  • 2017-09-15: Highest Volume — 1,759 contracts
  • 2017-09-05: Largest IV spike — 43.9% change
  • 2017-09-05: Highest IV Rank — 38.0%
  • 2017-09-06: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.11$60.06$64.33$62.80$64.33
Max Pain$57.25$55.00$60.00$60.00$55.00
ATM IV23.1%19.7%30.2%21.0%19.7%
Expected Move6.5%5.7%7.4%6.0%5.7%
HV 20d24.1%15.6%42.7%42.4%15.6%
HV 60d27.3%26.6%27.9%27.6%26.6%
IV Rank12.0%0.0%38.0%4.1%0.0%
IV Percentile18.5%0.0%67.9%2.0%0.0%
Term Structure5.2%0.9%7.9%0.9%7.7%
VWIV23.4%21.5%25.6%23.1%22.7%
Skew 25d3.7%1.8%6.8%3.6%6.8%
Skew 10d8.8%-3.6%17.0%3.9%11.5%
Call IV 25d21.3%16.0%24.0%22.1%16.0%
Put IV 25d25.0%22.8%28.3%25.7%22.8%
Bid-Ask Spread %62.8730.3989.8177.3765.47
Gamma HHI0.270.230.390.390.26
Net GEX37.6K-10.5K87.8K65.2K35.0K
Net DEX-2.6M-5.3M220.3K-1.1M-5.3M
Net VEX-14.2K-16.6K-11.6K-13.7K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.725.642.425.64
Total Volume881.14681,759468704
Total OI2,345.451,9762,9381,9972,573

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$62.80$60.0021.0%6.0%42.4%4.1%23.1%3.6%0.9%65.2K-1.1M-13.7K2.4277.37N/AN/A1373319971,000
2017-09-05$61.44$60.0030.2%7.3%42.7%38.0%25.6%4.7%3.0%38.5K-573.6K-13.0K2.4589.81N/AN/A1373359961,000
2017-09-06$61.02$60.0027.4%7.4%42.6%27.7%25.5%4.0%2.8%23.3K-409.7K-12.6K2.5270.62N/AN/A137345996995
2017-09-07$60.55$60.0025.0%7.2%26.5%19.0%25.1%3.2%3.2%15.6K-255.9K-12.1K2.5166.56N/AN/A1373449861,000
2017-09-08$60.06$60.0024.0%7.2%25.8%15.4%25.3%3.9%3.5%8.7K-33.8K-12.1K2.4857.68N/AN/A1373409761,000
2017-09-11$60.13$60.0027.3%6.8%25.8%27.4%24.2%3.2%4.7%10.3K-53.9K-11.6K3.7667.31N/AN/A1676289761,000
2017-09-12$60.29$60.0025.5%6.8%23.6%20.7%23.9%2.9%4.5%-10.5K220.3K-12.7K3.8167.84N/AN/A1656289201,294
2017-09-13$60.50$60.0023.1%6.6%23.6%12.0%23.2%2.4%5.0%-6.6K109.1K-12.5K3.8758.27N/AN/A1636319251,294
2017-09-14$61.21$60.0022.6%6.5%23.9%10.2%22.6%4.0%5.3%264-256.3K-12.1K0.7271.18N/AN/A8926469221,294
2017-09-15$62.42$55.0023.1%6.6%20.6%11.8%21.8%3.0%3.8%87.8K-4.7M-13.9K0.9976.76N/AN/A8848751,6291,309
2017-09-18$62.71$55.0021.6%6.2%20.6%6.2%21.5%1.9%5.6%53.6K-4.2M-16.6K0.7975.05N/AN/A7646051,2671,183
2017-09-19$63.02$55.0021.4%6.1%20.6%5.6%22.8%2.4%6.4%49.1K-4.3M-16.4K0.7867.49N/AN/A7645981,2811,216
2017-09-20$63.40$55.0020.7%5.9%20.3%3.0%23.4%2.4%7.5%48.3K-4.5M-15.8K0.8376.92N/AN/A7225981,2891,221
2017-09-21$62.79$55.0020.9%6.0%20.5%3.7%21.8%1.8%6.7%42.9K-4.5M-15.6K0.8337.67N/AN/A7225981,3221,221
2017-09-22$62.39$55.0024.3%7.0%20.1%16.4%22.4%3.5%5.4%56.5K-4.2M-16.4K5.4844.65N/AN/A1095971,3271,221
2017-09-25$62.45$55.0023.8%6.8%16.9%14.5%23.9%3.4%5.6%65.1K-4.1M-16.5K5.5842.41N/AN/A1075971,3311,230
2017-09-26$62.85$55.0020.3%5.8%16.6%1.6%24.4%4.3%7.6%65.6K-4.3M-16.2K5.4544.69N/AN/A1085891,3391,231
2017-09-27$63.72$55.0020.5%5.9%17.0%2.2%23.2%5.5%7.2%65.5K-4.7M-15.6K5.4069.24N/AN/A1085831,3441,231
2017-09-28$64.11$55.0019.8%5.7%15.7%0.0%21.7%6.6%7.9%38.4K-5.3M-13.7K5.4530.39N/AN/A1075831,3441,229
2017-09-29$64.33$55.0019.7%5.7%15.6%0.0%22.7%6.8%7.7%35.0K-5.3M-14.1K5.6465.47N/AN/A1065981,3441,229