VSAT Options History — January 2018

In January 2018, VSAT traded between $74.29 and $80.18. ATM implied volatility averaged 29.2%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 13.8% (HV 20d: 15.4%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.59.

Notable Days

  • 2018-01-29: Highest Volume — 2,437 contracts
  • 2018-01-10: Largest IV spike — 51.0% change
  • 2018-01-31: Highest IV Rank — 95.4%
  • 2018-01-31: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.51$74.29$80.18$74.50$75.62
Max Pain$74.05$65.00$75.00$75.00$75.00
ATM IV29.2%18.6%47.8%19.1%47.8%
Expected Move8.8%5.4%13.7%5.5%13.7%
HV 20d15.4%13.1%17.7%15.0%17.6%
HV 60d19.4%18.5%20.6%18.5%20.4%
IV Rank35.3%1.3%95.4%2.8%95.4%
IV Percentile55.3%0.8%99.2%1.2%99.2%
Term Structure-3.8%-21.5%7.5%7.1%-21.5%
VWIV32.1%20.0%52.4%20.0%44.5%
Skew 25d3.8%-2.8%25.6%1.6%25.6%
Skew 10d7.5%1.6%27.1%2.2%27.1%
Call IV 25d30.1%19.4%46.2%19.7%41.9%
Put IV 25d33.9%21.3%67.4%21.3%67.4%
Bid-Ask Spread %79.6962.28100.7270.65100.72
Gamma HHI0.520.360.770.510.77
Net GEX34.7K-557.6K205.1K135.1K-557.6K
Net DEX-2.2M-5.0M4.8M-2.5M4.8M
Net VEX-16.8K-32.0K-12.3K-13.3K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.592.224.753.894.65
Total Volume1,335.7628442,4379742,437
Total OI2,350.7621,7354,5241,7354,524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$74.50$75.0019.1%5.5%15.0%2.8%20.0%1.6%7.1%135.1K-2.5M-13.3K3.8970.65N/AN/A199775848887
2018-01-03$74.70$75.0018.7%5.4%15.0%1.5%20.1%2.6%7.5%143.2K-2.6M-13.7K3.8693.42N/AN/A201775862887
2018-01-04$74.55$65.0019.0%7.5%14.4%2.6%27.4%1.7%-1.4%147.8K-2.6M-13.4K3.8673.36N/AN/A201775912887
2018-01-05$74.39$70.0018.6%7.5%13.1%1.3%26.7%3.4%-1.8%145.0K-2.5M-13.4K3.2372.51N/AN/A240775912888
2018-01-08$75.16$70.0019.7%7.7%13.3%4.6%27.4%2.0%-2.0%174.2K-3.0M-13.1K3.2770.87N/AN/A240784947888
2018-01-09$75.56$75.0018.6%7.9%13.2%1.3%28.0%2.2%-2.6%178.2K-3.2M-13.2K3.8772.96N/AN/A206798947898
2018-01-10$74.29$75.0028.1%8.1%14.2%32.0%28.5%3.9%-3.3%164.6K-2.6M-12.8K3.6387.83N/AN/A220798958913
2018-01-11$75.75$75.0027.3%7.8%15.4%29.1%27.9%4.1%-2.5%188.6K-3.2M-13.6K3.6979.16N/AN/A216798968913
2018-01-12$76.40$75.0029.0%8.3%15.4%34.7%28.4%4.7%-4.5%186.5K-3.5M-13.4K3.0983.30N/AN/A258798961924
2018-01-16$76.18$75.0028.7%8.2%15.4%33.8%29.0%2.7%-3.3%187.8K-3.6M-13.0K3.3981.30N/AN/A2357961,010934
2018-01-17$77.68$75.0027.9%8.0%15.9%31.1%31.8%5.1%-4.5%196.1K-4.2M-13.1K2.4074.91N/AN/A2485961,026935
2018-01-18$78.31$75.0028.4%8.1%15.9%32.8%31.3%3.5%-4.0%205.1K-4.6M-13.0K2.2268.56N/AN/A2695981,026939
2018-01-19$79.04$75.0027.5%7.9%13.4%30.0%31.2%3.5%-3.0%144.3K-5.0M-13.0K2.3870.10N/AN/A2686381,062957
2018-01-22$80.18$75.0030.5%8.7%13.7%39.5%32.1%3.8%-4.5%140.5K-4.5M-12.3K2.7262.28N/AN/A250681882917
2018-01-23$78.68$75.0030.8%8.8%16.2%40.6%33.0%1.6%-5.2%126.8K-4.1M-12.7K4.1081.21N/AN/A166681882982
2018-01-24$77.93$75.0034.1%9.8%16.8%51.4%36.6%4.0%-4.2%111.6K-3.7M-13.7K4.6989.70N/AN/A4251,993885982
2018-01-25$77.87$75.0035.1%10.1%16.9%54.6%36.7%4.0%-4.8%-230.9K-422.4K-26.3K4.7583.89N/AN/A4201,9931,1452,343
2018-01-26$77.42$75.0036.8%10.5%16.7%59.8%40.4%-2.8%-4.3%-240.1K-166.5K-27.0K2.4084.68N/AN/A4201,0061,1562,343
2018-01-29$76.72$75.0040.0%11.5%17.1%70.3%40.3%4.0%-7.6%-264.5K508.9K-26.1K4.6574.45N/AN/A4312,0061,1562,356
2018-01-30$75.80$75.0046.5%13.3%17.7%91.2%52.4%-2.5%-9.5%-554.0K4.6M-32.0K4.6597.73N/AN/A4312,0061,1693,355
2018-01-31$75.62$75.0047.8%13.7%17.6%95.4%44.5%25.6%-21.5%-557.6K4.8M-31.1K4.65100.72N/AN/A4312,0061,1693,355