VSAT Options History — November 2018

In November 2018, VSAT traded between $67.44 and $71.44. ATM implied volatility averaged 31.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 16.3% (HV 20d: 47.5%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2018-11-05: Highest Volume — 3,182 contracts
  • 2018-11-12: Largest IV spike — 20.0% change
  • 2018-11-12: Highest IV Rank — 36.0%
  • 2018-11-02: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.62$67.44$71.44$71.22$69.19
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV31.2%28.6%36.6%30.6%28.9%
Expected Move8.5%8.0%10.4%8.8%8.3%
HV 20d47.5%20.9%50.8%49.7%20.9%
HV 60d34.4%32.3%51.6%51.6%32.7%
IV Rank25.3%20.3%36.0%24.3%20.8%
IV Percentile62.6%52.0%81.0%61.9%52.0%
Term Structure0.0%-4.6%2.8%0.3%-1.8%
VWIV31.9%28.5%43.1%36.2%30.7%
Skew 25d2.4%-0.1%3.5%-0.1%2.5%
Skew 10d5.5%0.2%8.4%0.2%6.6%
Call IV 25d29.6%27.6%36.5%32.4%29.1%
Put IV 25d32.0%30.0%40.0%32.4%31.6%
Bid-Ask Spread %39.4920.4083.9483.9480.67
Gamma HHI0.200.150.240.200.23
Net GEX112.5K-198.8K507.6K507.6K161.2K
Net DEX-11.1M-18.2M-6.2M-18.2M-9.6M
Net VEX-86.5K-105.9K-74.1K-100.3K-74.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.834.704.701.49
Total Volume1,439.817293,1822,359994
Total OI11,404.3819,48713,11211,5169,748

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$71.22$65.0030.6%8.8%49.7%24.3%36.2%-0.1%0.3%507.6K-18.2M-100.3K4.7083.94N/AN/A4141,9455,9785,538
2018-11-02$70.87$65.0036.2%10.4%49.8%35.0%43.1%3.5%-4.6%489.1K-17.4M-102.2K3.1068.44N/AN/A7262,2475,9565,636
2018-11-05$69.38$65.0034.3%8.3%50.8%31.4%29.1%1.5%2.0%126.1K-12.6M-105.9K0.8350.55N/AN/A1,7351,4475,9617,006
2018-11-06$69.95$65.0034.3%8.6%50.5%31.4%30.4%2.1%1.7%-196.1K-10.4M-98.8K1.3827.03N/AN/A9301,2805,0667,689
2018-11-07$71.44$65.0032.5%8.0%50.4%27.8%28.5%2.0%2.7%-22.1K-13.7M-91.6K1.4426.51N/AN/A8811,2714,9638,118
2018-11-08$71.02$65.0030.9%8.1%50.6%24.7%28.8%2.1%2.4%-98.4K-12.5M-90.9K1.1326.55N/AN/A8779954,9728,140
2018-11-09$71.15$65.0030.5%8.0%48.8%24.0%28.6%2.5%2.7%-8.2K-13.6M-89.6K1.1633.14N/AN/A7779004,9688,131
2018-11-12$69.90$65.0036.6%8.2%49.4%36.0%30.4%3.0%2.5%-198.8K-10.5M-89.3K1.2133.31N/AN/A7609174,7678,139
2018-11-13$70.11$65.0035.8%8.2%49.0%34.4%30.9%2.9%2.2%-51.0K-11.5M-85.4K1.1830.67N/AN/A7769164,7658,139
2018-11-14$69.60$65.0028.9%8.3%49.2%20.9%31.6%2.0%2.6%21.5K-11.1M-85.1K0.9731.66N/AN/A4093974,7708,139
2018-11-15$69.71$65.0028.9%8.3%48.5%20.9%32.4%2.7%2.4%247.8K-11.3M-84.1K0.9327.60N/AN/A4043774,7608,138
2018-11-16$69.03$65.0028.6%8.2%48.3%20.3%32.6%1.9%2.8%164.2K-10.1M-83.5K1.0030.87N/AN/A3753754,7578,139
2018-11-19$68.81$65.0028.9%8.3%48.4%20.9%31.3%2.4%-2.2%144.6K-9.0M-80.6K1.0730.66N/AN/A3533764,6064,881
2018-11-20$67.46$65.0033.0%9.5%49.2%28.9%33.5%3.2%-3.3%97.4K-6.2M-83.8K1.1425.46N/AN/A4224814,6284,880
2018-11-21$67.44$65.0030.7%8.8%49.2%24.4%31.2%2.9%-2.1%97.1K-6.3M-82.9K1.1429.76N/AN/A4224814,6954,986
2018-11-23$67.72$65.0029.5%8.5%49.2%22.0%29.8%2.2%-2.0%138.9K-7.2M-81.9K1.1444.11N/AN/A4224814,6954,986
2018-11-26$69.73$65.0029.2%8.4%50.0%21.5%31.0%2.9%-2.2%183.6K-10.8M-78.3K1.1724.45N/AN/A4244974,6954,986
2018-11-27$69.11$65.0028.9%8.3%46.1%20.9%31.0%2.5%-2.1%171.6K-9.7M-77.0K1.1720.40N/AN/A4264974,6925,011
2018-11-28$70.17$65.0028.8%8.3%45.1%20.6%33.6%2.4%-1.6%212.7K-11.9M-74.8K1.5024.85N/AN/A3525294,6875,011
2018-11-29$69.06$65.0028.9%8.3%44.2%20.9%34.3%2.5%-1.8%174.2K-9.7M-75.5K1.6078.55N/AN/A3645844,6585,012
2018-11-30$69.19$65.0028.9%8.3%20.9%20.8%30.7%2.5%-1.8%161.2K-9.6M-74.1K1.4980.67N/AN/A4005944,6665,082