VSAT Options History — December 2017

In December 2017, VSAT traded between $71.09 and $74.95. ATM implied volatility averaged 21.4%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 1.9% (HV 20d: 19.4%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.75.

Notable Days

  • 2017-12-04: Highest Volume — 1,197 contracts
  • 2017-12-11: Largest IV spike — 29.2% change
  • 2017-12-06: Highest IV Rank — 22.3%
  • 2017-12-06: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.88$71.09$74.95$73.45$74.95
Max Pain$69.50$65.00$75.00$65.00$75.00
ATM IV21.4%18.2%26.0%22.5%18.2%
Expected Move5.9%5.2%6.5%6.5%5.2%
HV 20d19.4%14.2%27.7%26.4%15.4%
HV 60d19.5%18.6%20.1%19.2%18.6%
IV Rank8.0%0.0%22.3%10.5%0.0%
IV Percentile14.1%0.0%47.6%19.0%0.0%
Term Structure4.2%-2.0%6.8%-2.0%6.8%
VWIV19.5%13.4%22.0%18.8%18.4%
Skew 25d3.1%0.6%7.5%3.6%1.7%
Skew 10d7.5%-2.3%25.8%25.8%2.8%
Call IV 25d19.2%13.7%21.8%20.9%18.3%
Put IV 25d22.3%20.0%24.6%24.6%20.0%
Bid-Ask Spread %80.7339.4996.1267.8239.49
Gamma HHI0.460.320.580.580.48
Net GEX137.8K77.2K258.0K230.9K132.4K
Net DEX-3.5M-5.3M-1.8M-5.3M-2.7M
Net VEX-13.9K-15.2K-13.2K-15.1K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.751.994.962.043.88
Total Volume1,014.89351,1971,187975
Total OI2,330.651,5832,9042,8381,714

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$73.45$65.0022.5%6.5%26.4%10.5%18.8%3.6%-2.0%230.9K-5.3M-15.1K2.0467.82N/AN/A3907971,3201,518
2017-12-04$73.45$65.0023.9%6.2%26.2%15.1%21.5%2.1%3.3%258.0K-5.1M-15.0K1.9976.14N/AN/A4007971,3321,519
2017-12-05$72.67$65.0024.8%6.2%26.8%18.1%21.6%2.0%4.2%237.5K-4.7M-15.2K3.9477.61N/AN/A2048031,3341,519
2017-12-06$71.54$65.0026.0%6.5%27.6%22.3%21.8%1.8%2.7%195.9K-4.3M-14.4K3.6580.79N/AN/A2208031,3381,529
2017-12-07$71.38$65.0023.8%6.3%27.7%14.8%20.8%2.6%2.9%182.0K-4.1M-14.1K3.5277.82N/AN/A2257911,3541,529
2017-12-08$71.87$65.0019.0%6.1%27.7%0.0%19.8%2.5%3.2%189.4K-4.4M-14.1K3.5578.26N/AN/A2237911,3521,520
2017-12-11$71.09$65.0024.6%6.1%22.2%18.4%20.4%2.7%3.8%120.4K-3.9M-13.5K3.6064.00N/AN/A2217951,3541,519
2017-12-12$71.63$65.0022.3%6.2%20.7%11.1%19.7%2.8%3.4%107.4K-4.1M-13.3K3.6685.17N/AN/A2218091,3521,525
2017-12-13$72.25$65.0022.1%6.3%15.0%10.1%19.4%4.9%2.8%146.7K-4.4M-13.6K3.4093.51N/AN/A2388091,3641,526
2017-12-14$72.74$65.0020.2%5.8%14.8%3.9%20.4%1.9%4.7%77.2K-4.6M-13.2K3.4386.96N/AN/A2388161,3631,536
2017-12-15$73.86$65.0019.9%5.7%14.2%3.0%19.9%3.0%4.3%77.3K-4.9M-13.2K3.3590.32N/AN/A2528431,3611,543
2017-12-18$73.68$75.0020.3%5.8%14.2%4.4%20.4%2.5%5.5%92.4K-2.2M-13.5K4.5986.68N/AN/A169775720863
2017-12-19$72.18$75.0021.3%6.1%15.5%7.7%20.0%2.6%5.2%81.6K-1.8M-13.8K4.2389.92N/AN/A184778755878
2017-12-20$72.24$75.0021.3%6.1%15.5%7.7%19.7%2.6%5.2%86.6K-1.8M-13.9K4.5892.24N/AN/A170778774882
2017-12-21$72.72$75.0019.9%5.7%15.4%3.0%19.9%3.9%4.7%92.2K-2.0M-13.8K4.9288.88N/AN/A158778780882
2017-12-22$73.13$75.0018.5%5.3%15.5%0.0%18.7%3.7%6.3%94.7K-2.0M-14.3K4.9696.12N/AN/A157778783882
2017-12-26$73.51$75.0020.2%5.8%15.6%5.3%22.0%0.6%5.4%103.8K-2.2M-13.5K4.0782.14N/AN/A191778788882
2017-12-27$74.44$75.0019.2%5.5%16.3%2.1%14.0%7.3%6.6%120.8K-2.5M-13.9K3.9075.44N/AN/A197769827882
2017-12-28$74.90$75.0019.2%5.5%15.5%2.2%13.4%7.5%6.1%129.6K-2.6M-13.5K3.7385.31N/AN/A206769832882
2017-12-29$74.95$75.0018.2%5.2%15.4%0.0%18.4%1.7%6.8%132.4K-2.7M-13.5K3.8839.49N/AN/A200775832882