VSAT Options History — December 2018

In December 2018, VSAT traded between $56.64 and $70.43. ATM implied volatility averaged 32.3%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.5% (HV 20d: 27.9%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.93.

Notable Days

  • 2018-12-21: Highest Volume — 1,565 contracts
  • 2018-12-24: Largest IV spike — 18.7% change
  • 2018-12-27: Highest IV Rank — 42.9%
  • 2018-12-27: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.34$56.64$70.43$70.43$58.62
Max Pain$66.00$60.00$70.00$65.00$60.00
ATM IV32.3%27.2%40.2%27.5%35.2%
Expected Move9.1%7.8%11.5%7.9%10.1%
HV 20d27.9%21.4%34.5%22.0%34.5%
HV 60d34.8%32.6%37.6%32.8%37.6%
IV Rank27.6%17.4%42.9%18.2%33.1%
IV Percentile64.8%39.7%90.9%45.2%74.6%
Term Structure3.4%-3.3%7.5%-0.8%7.5%
VWIV31.1%26.4%35.5%30.9%31.0%
Skew 25d2.6%1.2%3.5%2.2%2.3%
Skew 10d5.3%-4.7%10.0%3.1%-4.7%
Call IV 25d30.9%26.4%37.6%27.7%35.2%
Put IV 25d33.5%29.8%40.6%29.9%37.5%
Bid-Ask Spread %84.8278.8392.3084.8892.30
Gamma HHI0.290.200.490.200.20
Net GEX-17.0K-633.2K277.3K203.3K-70.3K
Net DEX-935.9K-12.5M9.5M-12.5M1.1M
Net VEX-67.2K-72.0K-58.8K-69.2K-69.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.059.550.052.25
Total Volume337.531,565403
Total OI8,745.655,34210,1809,7455,687

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$70.43$65.0027.5%7.9%22.0%18.2%30.9%2.2%-0.8%203.3K-12.5M-69.2K0.0584.88N/AN/A3824,6755,070
2018-12-04$68.39$65.0029.2%8.4%23.1%21.5%32.0%1.2%-2.4%166.9K-8.2M-71.5K0.6985.43N/AN/A26184,6925,069
2018-12-05$68.12$65.0030.4%8.7%22.9%23.7%32.6%1.2%-3.3%168.4K-7.8M-72.0K0.6990.46N/AN/A26184,6925,069
2018-12-06$67.66$70.0031.1%7.9%21.4%25.1%0.0%2.6%4.6%152.5K-6.4M-71.4K0.5579.76N/AN/A20114,7015,084
2018-12-07$67.05$70.0030.8%8.1%21.5%24.6%26.4%3.3%4.2%169.2K-5.6M-69.9K0.6982.02N/AN/A39274,7185,093
2018-12-10$65.53$70.0032.9%8.5%22.5%28.7%29.8%3.5%3.2%148.6K-2.0M-68.3K9.5578.83N/AN/A111054,7085,091
2018-12-11$66.35$70.0032.6%8.6%22.7%28.1%29.8%3.0%2.7%198.8K-3.7M-67.7K6.5379.47N/AN/A171114,7125,134
2018-12-12$68.07$70.0027.2%7.8%24.7%17.4%28.7%3.4%4.4%215.4K-7.8M-65.6K1.8281.63N/AN/A611114,7085,124
2018-12-13$65.53$70.0028.4%8.1%27.9%19.9%28.9%2.8%4.4%277.3K-1.9M-62.7K1.6381.48N/AN/A681114,6955,124
2018-12-14$64.28$70.0028.4%8.2%28.4%20.0%28.9%3.4%4.3%225.9K1.2M-63.2K1.0080.94N/AN/A75754,6955,124
2018-12-17$62.20$65.0032.5%9.3%30.2%27.9%31.0%3.1%2.9%-208.0K5.8M-59.9K3.9085.27N/AN/A291134,7085,136
2018-12-18$61.72$65.0032.4%9.3%30.2%27.6%32.1%2.8%3.2%-494.4K4.5M-58.8K0.8785.05N/AN/A3823324,6864,738
2018-12-19$61.86$65.0032.6%9.4%29.8%28.2%32.3%2.8%3.3%-445.8K3.1M-70.3K0.7186.84N/AN/A4663325,1344,947
2018-12-20$61.61$65.0033.2%9.5%29.7%29.2%31.9%2.6%2.8%-633.2K3.2M-70.4K0.5387.29N/AN/A4742515,2334,947
2018-12-21$59.10$65.0031.9%9.1%32.3%26.6%31.9%2.6%5.4%-95.9K9.5M-67.6K1.8287.61N/AN/A5541,0115,2354,615
2018-12-24$56.64$65.0037.8%10.8%31.7%38.3%35.5%2.1%3.1%-96.2K3.0M-63.3K0.6388.00N/AN/A5373392,5512,808
2018-12-26$58.24$65.0036.1%10.4%34.5%35.0%30.2%2.0%6.0%-79.7K1.9M-65.1K0.4586.77N/AN/A141642,5712,771
2018-12-27$57.44$60.0040.2%11.5%33.4%42.9%35.5%2.9%5.5%-73.6K2.0M-66.8K2.2384.69N/AN/A1202682,6832,778
2018-12-28$57.94$60.0036.3%10.4%33.9%35.4%31.0%3.0%6.9%-70.2K1.6M-70.0K2.2587.71N/AN/A1122522,7772,930
2018-12-31$58.62$60.0035.2%10.1%34.5%33.1%0.0%2.3%7.5%-70.3K1.1M-69.5K0.0092.30N/AN/A032,7792,908