VSAT Options History — November 2017

In November 2017, VSAT traded between $64.05 and $74.65. ATM implied volatility averaged 26.9%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.1% (HV 20d: 19.7%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.87.

Notable Days

  • 2017-11-09: Highest Volume — 1,224 contracts
  • 2017-11-08: Largest IV drop — 34.7% change
  • 2017-11-06: Highest IV Rank — 100.0%
  • 2017-11-01: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.25$64.05$74.65$65.01$74.29
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV26.9%19.4%49.2%40.7%21.9%
Expected Move6.9%5.6%11.7%11.7%6.3%
HV 20d19.7%7.7%26.3%7.7%26.3%
HV 60d19.8%17.7%27.0%27.0%19.1%
IV Rank25.8%0.0%100.0%76.8%8.6%
IV Percentile30.8%0.0%100.0%95.2%13.5%
Term Structure0.0%-10.8%5.3%-10.8%-1.4%
VWIV26.4%18.8%43.8%43.8%19.8%
Skew 25d4.3%1.2%8.1%5.5%5.2%
Skew 10d6.5%-11.2%15.7%-7.0%9.3%
Call IV 25d21.7%14.4%38.9%38.9%18.0%
Put IV 25d26.0%20.7%44.5%44.5%23.2%
Bid-Ask Spread %65.5643.0692.3879.4554.54
Gamma HHI0.390.200.590.200.58
Net GEX149.8K11.1K287.8K15.4K221.4K
Net DEX-3.6M-5.7M-654.9K-966.5K-5.2M
Net VEX-10.7K-13.3K-7.0K-11.7K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.871.075.165.162.05
Total Volume956.4766971,2247521,196
Total OI2,442.9521,9742,8102,0342,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$65.01$65.0040.7%11.7%7.7%76.8%43.8%5.5%-10.8%15.4K-966.5K-11.7K5.1679.45N/AN/A1226307281,306
2017-11-02$64.30$65.0041.7%8.4%7.9%80.2%38.0%4.0%-2.5%15.4K-741.3K-11.6K4.9569.03N/AN/A1286347291,246
2017-11-03$64.05$65.0041.5%8.4%8.0%79.8%37.2%3.2%-2.0%11.1K-654.9K-11.7K4.5370.27N/AN/A1336037241,250
2017-11-06$64.81$65.0047.8%8.8%9.1%100.0%41.3%3.5%-2.6%19.8K-915.8K-11.2K4.3267.70N/AN/A1315667291,253
2017-11-07$64.47$65.0049.2%8.9%9.2%100.0%35.0%3.8%-2.9%18.4K-815.4K-11.2K3.1847.81N/AN/A1775637391,254
2017-11-08$64.54$65.0032.1%9.2%9.2%42.1%41.5%4.6%-3.7%25.8K-928.6K-12.1K2.0371.85N/AN/A3156387951,254
2017-11-09$64.92$65.0022.2%6.4%9.4%8.3%23.9%2.0%3.8%100.4K-1.4M-10.8K2.8792.38N/AN/A3169089321,314
2017-11-10$68.35$65.0019.7%5.6%20.6%0.0%20.8%4.7%5.3%185.5K-3.1M-9.3K2.4272.78N/AN/A2556169301,523
2017-11-13$70.01$65.0020.5%5.9%21.9%2.9%21.6%8.1%4.2%287.8K-4.0M-8.8K3.3979.65N/AN/A1665621,0021,538
2017-11-14$72.90$65.0020.7%5.9%25.3%3.4%20.5%1.2%3.1%136.3K-5.2M-7.0K1.0777.40N/AN/A5095469611,547
2017-11-15$72.22$65.0022.5%6.5%25.7%9.6%22.0%2.2%2.0%181.9K-5.1M-9.0K2.7072.35N/AN/A2085611,1451,543
2017-11-16$73.65$65.0021.2%6.1%25.9%5.3%21.7%5.7%3.1%199.3K-5.4M-7.4K2.3969.37N/AN/A2596201,0851,559
2017-11-17$73.77$65.0019.4%5.6%26.0%0.0%19.9%5.1%4.7%176.5K-5.3M-10.2K2.9343.59N/AN/A2126211,1661,644
2017-11-20$74.43$65.0020.6%5.9%25.7%4.2%21.8%6.4%0.2%190.9K-4.7M-9.8K3.1270.41N/AN/A1895891,0261,555
2017-11-21$74.42$65.0019.8%5.7%25.9%1.6%20.9%3.3%0.1%204.6K-4.8M-9.1K2.2563.92N/AN/A3588071,0431,555
2017-11-22$73.63$65.0020.0%5.7%26.3%2.3%21.9%5.1%0.7%233.3K-5.0M-13.3K2.3243.06N/AN/A3588301,2211,465
2017-11-24$73.64$65.0019.8%5.7%25.8%1.4%21.6%5.1%-0.2%232.9K-5.0M-12.9K2.3251.28N/AN/A3588301,2211,491
2017-11-27$73.70$65.0020.6%5.9%25.9%4.1%23.8%1.7%0.0%232.4K-5.2M-12.1K2.1163.56N/AN/A3888191,2211,491
2017-11-28$73.56$65.0020.6%5.9%26.1%4.1%18.8%3.5%0.0%232.7K-4.9M-12.5K2.1357.67N/AN/A3788041,2121,503
2017-11-29$74.65$65.0021.6%6.2%26.2%7.5%19.5%7.4%-0.9%224.1K-5.7M-11.8K2.1258.73N/AN/A3798041,2121,510
2017-11-30$74.29$65.0021.9%6.3%26.3%8.6%19.8%5.2%-1.4%221.4K-5.2M-12.1K2.0554.54N/AN/A3928041,1701,510