VSAT Options History — October 2017

In October 2017, VSAT traded between $64.11 and $67.12. ATM implied volatility averaged 29.8%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 13.9% (HV 20d: 15.9%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 4.42.

Notable Days

  • 2017-10-09: Highest Volume — 840 contracts
  • 2017-10-11: Largest IV spike — 44.3% change
  • 2017-10-31: Highest IV Rank — 72.3%
  • 2017-10-31: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.05$64.11$67.12$66.23$65.11
Max Pain$62.27$55.00$65.00$55.00$65.00
ATM IV29.8%20.7%39.5%21.5%39.5%
Expected Move9.0%6.2%11.3%6.2%11.3%
HV 20d15.9%10.3%17.8%17.8%10.3%
HV 60d27.3%27.0%27.7%27.3%27.1%
IV Rank36.8%3.4%72.3%6.4%72.3%
IV Percentile57.3%2.8%94.4%6.0%94.4%
Term Structure-3.6%-10.3%7.9%7.1%-10.3%
VWIV33.1%21.0%39.7%22.3%39.7%
Skew 25d3.2%-2.2%6.0%2.7%4.9%
Skew 10d6.8%-5.1%12.1%6.2%10.2%
Call IV 25d30.1%18.6%37.7%20.7%37.7%
Put IV 25d33.3%19.0%42.9%23.4%42.6%
Bid-Ask Spread %64.3823.6981.4623.6973.59
Gamma HHI0.240.190.300.300.20
Net GEX21.9K-11.5K44.6K43.6K12.2K
Net DEX-4.1M-6.4M-517.7K-6.1M-962.9K
Net VEX-12.8K-13.9K-11.5K-12.4K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.424.054.804.464.42
Total Volume755.864710840732710
Total OI2,510.3641,9642,8462,5952,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$66.23$55.0021.5%6.2%17.8%6.4%22.3%2.7%7.1%43.6K-6.1M-12.4K4.4623.69N/AN/A1345981,3441,251
2017-10-03$67.12$55.0022.8%6.5%15.6%11.1%21.0%4.1%6.8%43.7K-6.4M-12.8K4.4048.90N/AN/A1365991,3811,251
2017-10-04$65.79$55.0021.5%6.2%17.5%6.4%21.7%-2.2%7.9%44.6K-5.9M-13.1K4.3151.53N/AN/A1395991,3861,251
2017-10-05$65.14$55.0021.5%8.4%17.7%6.5%30.0%3.2%-2.5%43.9K-5.7M-13.2K4.3838.92N/AN/A1396091,4031,261
2017-10-06$65.02$55.0020.7%8.5%17.3%3.4%30.3%3.2%-2.7%41.6K-5.7M-13.2K4.4352.26N/AN/A1366021,4031,271
2017-10-09$65.13$55.0021.6%8.8%17.3%6.7%33.0%3.0%-3.4%42.6K-5.7M-12.9K4.6057.15N/AN/A1506901,4051,271
2017-10-10$64.96$65.0021.2%8.7%17.4%5.5%33.1%3.5%-3.4%26.6K-5.5M-13.9K4.6058.92N/AN/A1486811,4161,382
2017-10-11$65.17$65.0030.6%8.8%17.4%39.9%33.5%3.2%-3.8%22.7K-5.6M-13.5K4.5958.12N/AN/A1386341,4181,392
2017-10-12$65.06$65.0030.7%8.8%17.3%40.0%34.4%3.7%-3.7%22.4K-5.5M-13.6K4.7769.14N/AN/A1336341,4181,393
2017-10-13$64.97$65.0030.9%8.8%16.2%40.7%33.9%2.4%-3.6%26.0K-5.5M-13.3K4.7767.23N/AN/A1336341,4201,393
2017-10-16$64.93$65.0032.2%9.2%16.2%45.8%35.5%3.6%-5.1%28.8K-5.5M-13.2K4.8072.74N/AN/A1336381,4201,393
2017-10-17$64.84$65.0031.9%9.2%16.1%44.6%35.0%3.3%-4.7%31.1K-5.4M-13.0K4.5074.05N/AN/A1416341,4151,398
2017-10-18$64.58$65.0032.1%9.2%16.2%45.3%34.8%3.1%-4.6%40.4K-5.3M-12.7K4.2572.15N/AN/A1496341,4251,399
2017-10-19$64.37$65.0032.3%9.3%15.8%46.0%35.5%3.3%-4.5%35.6K-5.2M-12.9K4.2776.48N/AN/A1506411,4241,399
2017-10-20$64.75$65.0032.9%9.4%15.6%48.2%36.8%3.3%-5.8%-11.5K-5.2M-12.7K4.1067.91N/AN/A1556361,4271,419
2017-10-23$64.54$65.0033.5%9.6%15.7%50.4%36.5%2.4%-5.5%-11.1K-551.0K-12.6K4.5274.00N/AN/A1376196611,303
2017-10-24$64.93$65.0035.0%10.0%15.7%55.8%35.3%4.3%-6.9%-663-781.5K-12.6K4.2070.73N/AN/A1385796831,303
2017-10-25$64.66$65.0033.6%9.6%15.1%50.7%35.0%3.3%-5.8%-4.8K-681.7K-12.4K4.3579.94N/AN/A1335796851,306
2017-10-26$64.11$65.0035.5%10.2%15.3%57.8%36.0%3.8%-7.3%-9.9K-517.7K-12.6K4.2074.49N/AN/A1385796901,306
2017-10-27$64.60$65.0035.2%10.1%15.5%56.5%35.7%3.2%-6.8%637-688.9K-12.5K4.0581.46N/AN/A1435797081,306
2017-10-30$65.13$65.0039.0%11.2%11.6%70.4%39.1%6.0%-9.8%13.6K-974.5K-11.7K4.1773.02N/AN/A1395797181,306
2017-10-31$65.11$65.0039.5%11.3%10.3%72.3%39.7%4.9%-10.3%12.2K-962.9K-11.5K4.4273.59N/AN/A1315797181,306