VSAT Options History — March 2018

In March 2018, VSAT traded between $65.71 and $75.56. ATM implied volatility averaged 29.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.4% (HV 20d: 29.8%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.65.

Notable Days

  • 2018-03-01: Highest Volume — 1,070 contracts
  • 2018-03-13: Largest IV spike — 101.6% change
  • 2018-03-13: Highest IV Rank — 83.6%
  • 2018-03-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.34$65.71$75.56$68.50$65.71
Max Pain$66.67$65.00$70.00$70.00$70.00
ATM IV29.3%23.6%61.0%27.8%32.7%
Expected Move7.8%6.8%9.4%8.0%9.4%
HV 20d29.8%24.5%38.2%37.0%27.8%
HV 60d26.5%25.1%28.3%25.1%28.3%
IV Rank21.7%10.6%83.6%18.7%28.2%
IV Percentile59.6%32.1%99.6%61.1%81.0%
Term Structure0.7%-4.4%4.7%-1.1%-2.7%
VWIV28.3%25.2%32.4%30.9%31.6%
Skew 25d3.3%-2.6%6.2%4.4%3.9%
Skew 10d6.3%-11.7%14.6%10.5%4.4%
Call IV 25d26.2%23.0%31.3%28.9%31.3%
Put IV 25d29.5%25.8%35.1%33.2%35.1%
Bid-Ask Spread %89.9180.3296.2692.7789.89
Gamma HHI0.470.300.690.300.39
Net GEX-11.4K-136.2K119.8K-58.3K29.9K
Net DEX-1.4M-5.5M2.9M2.9M405.6K
Net VEX-13.8K-19.8K-10.4K-18.9K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.651.435.143.202.31
Total Volume8866121,0701,070745
Total OI2,839.811,3853,8873,8111,698

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$68.50$70.0027.8%8.0%37.0%18.7%30.9%4.4%-1.1%-58.3K2.9M-18.9K3.2092.77N/AN/A2558151,6812,130
2018-03-02$69.50$70.0028.4%8.2%37.5%19.9%32.4%3.6%-1.8%-63.2K2.0M-19.8K3.2695.76N/AN/A2508151,6912,140
2018-03-05$70.79$65.0029.0%7.8%38.2%21.1%26.8%2.3%1.7%-77.5K111.5K-18.7K4.8887.01N/AN/A1678151,6932,140
2018-03-06$72.33$65.0029.6%7.7%34.6%22.2%26.3%3.9%2.7%-83.3K-1.4M-17.9K5.1485.93N/AN/A1678581,6862,140
2018-03-07$72.56$65.0026.1%7.2%34.4%15.4%26.6%2.8%3.6%-88.7K-1.8M-17.4K5.1487.79N/AN/A1648431,6862,139
2018-03-08$72.92$65.0025.4%7.1%34.2%13.9%26.9%3.2%3.1%-95.4K-2.3M-16.6K5.0482.07N/AN/A1648261,6862,139
2018-03-09$73.87$65.0023.9%6.9%34.3%11.1%25.8%2.9%3.5%-128.9K-3.4M-14.8K4.9680.32N/AN/A1638081,6862,144
2018-03-12$75.56$65.0030.3%7.1%26.6%23.5%27.5%2.6%3.6%-97.7K-5.5M-13.0K4.6288.63N/AN/A1758081,6782,153
2018-03-13$75.40$65.0061.0%7.1%26.1%83.6%31.0%2.6%3.9%-81.3K-5.2M-12.7K4.8789.91N/AN/A1668081,6852,153
2018-03-14$73.39$65.0025.8%7.4%28.2%14.8%26.5%4.7%2.6%-136.2K-3.4M-13.0K4.3086.07N/AN/A1888081,6802,153
2018-03-15$72.22$65.0027.3%7.8%29.1%17.8%27.3%2.9%2.3%-84.8K-1.6M-13.2K3.8491.78N/AN/A2128141,6912,153
2018-03-16$72.89$65.0023.6%6.8%28.2%10.6%26.9%2.8%4.7%119.4K-3.3M-11.4K3.3895.45N/AN/A2408101,7382,149
2018-03-19$72.46$65.0027.6%7.9%25.8%18.2%28.9%2.1%-1.8%112.6K-1.7M-11.9K2.7596.26N/AN/A163449741644
2018-03-20$71.88$65.0026.8%7.7%24.5%16.7%25.2%4.3%-0.9%117.5K-1.6M-11.4K2.7293.17N/AN/A165449766644
2018-03-21$72.26$65.0026.3%7.5%24.5%15.8%31.9%-2.6%-1.3%119.8K-1.7M-12.4K2.7296.14N/AN/A165449771644
2018-03-22$71.24$65.0027.3%7.8%24.6%17.7%27.4%4.1%-1.0%109.7K-1.5M-11.2K3.3494.12N/AN/A172575771644
2018-03-23$69.18$70.0029.8%8.5%26.1%22.5%29.9%6.2%-3.5%46.3K-616.8K-11.9K3.1187.47N/AN/A183569781767
2018-03-26$70.36$70.0026.9%7.7%26.7%16.9%26.5%4.1%0.2%53.6K-734.8K-12.1K2.7681.08N/AN/A206569798770
2018-03-27$68.31$70.0028.0%8.0%28.6%19.2%29.1%3.7%0.4%34.5K-236.1K-11.0K2.8892.76N/AN/A206594808770
2018-03-28$66.78$70.0032.4%9.3%28.0%27.6%29.2%4.4%-4.4%13.2K308.6K-10.7K1.4393.70N/AN/A332476808797
2018-03-29$65.71$70.0032.7%9.4%27.8%28.2%31.6%3.9%-2.7%29.9K405.6K-10.4K2.3189.89N/AN/A225520903795