VSAT Options History — September 2018

In September 2018, VSAT traded between $61.35 and $64.47. ATM implied volatility averaged 23.3%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 8.6% (HV 20d: 31.9%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2018-09-20: Highest Volume — 2,967 contracts
  • 2018-09-25: Largest IV drop — 7.3% change
  • 2018-09-07: Highest IV Rank — 14.3%
  • 2018-09-24: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.30$61.35$64.47$63.31$63.79
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV23.3%21.9%25.6%23.5%21.9%
Expected Move6.6%6.3%7.1%6.7%6.3%
HV 20d31.9%20.0%72.4%71.8%20.0%
HV 60d45.1%44.2%45.5%44.8%44.2%
IV Rank9.8%7.1%14.3%10.4%7.1%
IV Percentile28.2%15.5%42.9%29.4%15.5%
Term Structure5.5%-1.7%8.9%-1.7%8.5%
VWIV24.5%22.8%27.6%23.6%22.9%
Skew 25d1.3%0.0%3.4%0.0%0.3%
Skew 10d0.6%-5.2%8.1%-4.5%-2.3%
Call IV 25d23.3%22.3%25.1%24.5%22.7%
Put IV 25d24.6%23.0%27.6%24.5%23.0%
Bid-Ask Spread %49.1518.2595.3038.2767.07
Gamma HHI0.350.210.580.320.21
Net GEX-472.6K-1.1M150.0K-440.7K150.0K
Net DEX4.3M-1.5M10.2M5.3M-1.5M
Net VEX-94.6K-101.9K-83.0K-85.9K-88.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.322.601.021.33
Total Volume1,552.1059112,9671,1521,001
Total OI12,027.3169,27914,45111,3089,279

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$63.31$65.0023.5%6.7%71.8%10.4%23.6%0.0%-1.7%-440.7K5.3M-85.9K1.0238.27N/AN/A5695836,5474,761
2018-09-05$61.46$65.0024.4%7.0%72.4%12.0%24.0%0.1%0.1%-373.3K10.2M-83.0K1.0460.08N/AN/A9399726,8035,017
2018-09-06$61.35$65.0024.7%6.7%72.4%12.6%26.0%3.4%5.1%-364.5K10.1M-95.8K0.6895.30N/AN/A9336307,2585,444
2018-09-07$61.86$65.0025.6%6.6%71.5%14.3%22.8%1.7%5.3%-415.1K9.0M-95.3K0.6525.26N/AN/A9306027,3155,472
2018-09-10$64.07$65.0023.8%6.6%27.2%10.8%24.6%1.4%5.8%-575.8K3.2M-101.9K0.7533.20N/AN/A8986727,3155,459
2018-09-11$63.27$65.0023.8%6.8%22.6%10.9%25.2%1.2%4.1%-615.3K6.0M-101.2K0.7369.24N/AN/A9216727,3385,522
2018-09-12$63.52$65.0022.9%6.6%21.6%9.1%24.7%1.4%4.9%-621.3K4.8M-100.3K0.5524.82N/AN/A8534727,4125,522
2018-09-13$63.75$65.0022.3%6.4%21.2%7.9%24.2%1.5%6.0%-695.3K4.2M-98.3K0.5574.40N/AN/A8634747,4125,520
2018-09-14$64.15$65.0022.2%6.4%20.5%7.8%24.1%1.1%6.2%-815.8K2.7M-100.8K0.5328.07N/AN/A8534547,4255,524
2018-09-17$63.65$65.0022.5%6.5%20.6%8.4%24.3%1.1%5.6%-772.4K4.8M-94.9K0.5844.87N/AN/A8464897,4575,526
2018-09-18$64.47$65.0022.4%6.4%21.0%8.2%23.6%0.6%6.5%-1.1M1.9M-98.9K0.6718.25N/AN/A8265517,4555,601
2018-09-19$64.09$65.0022.7%6.5%21.1%8.7%24.1%0.9%5.0%-1.1M3.8M-95.4K0.6825.32N/AN/A8265587,4915,646
2018-09-20$63.60$65.0023.5%6.7%21.3%10.4%26.2%1.5%5.1%-855.7K5.6M-93.3K2.6053.45N/AN/A8252,1427,4915,656
2018-09-21$63.13$65.0023.3%6.7%20.6%9.9%25.4%2.1%6.0%-121.8K10.0M-96.8K2.0630.19N/AN/A9051,8607,4916,960
2018-09-24$63.16$65.0024.8%7.1%20.0%12.8%27.6%2.5%6.6%-109.4K1.4M-93.6K1.9465.78N/AN/A6761,3115,3404,693
2018-09-25$63.53$65.0023.0%6.6%20.1%9.2%25.0%1.9%8.9%-50.8K-508.6K-93.4K0.3238.67N/AN/A6912205,3414,518
2018-09-26$63.22$65.0022.8%6.5%20.1%9.0%24.7%2.2%7.5%-34.2K444.0K-91.6K0.3788.44N/AN/A6862515,3744,394
2018-09-27$63.26$65.0022.1%6.4%20.1%7.7%23.2%0.2%8.6%-35.0K174.1K-89.7K1.3253.14N/AN/A6638735,3744,366
2018-09-28$63.79$65.0021.9%6.3%20.0%7.1%22.9%0.3%8.5%150.0K-1.5M-88.0K1.3367.07N/AN/A4305715,4203,859