VSAT Options History — September 2019

In September 2019, VSAT traded between $75.09 and $80.68. ATM implied volatility averaged 26.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.2% (HV 20d: 24.5%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2019-09-12: Highest Volume — 233 contracts
  • 2019-09-27: Largest IV spike — 15.1% change
  • 2019-09-27: Highest IV Rank — 26.1%
  • 2019-09-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.06$75.09$80.68$77.77$75.40
Max Pain$77.25$75.00$80.00$75.00$80.00
ATM IV26.7%24.8%30.1%26.9%28.2%
Expected Move7.6%7.1%8.6%7.7%8.1%
HV 20d24.5%22.8%26.8%26.3%25.3%
HV 60d22.8%21.7%23.8%23.4%23.2%
IV Rank19.3%15.3%26.1%19.7%22.4%
IV Percentile37.3%23.8%57.1%40.9%46.4%
Term Structure4.8%-0.2%10.7%-0.2%8.2%
VWIV26.7%23.4%32.4%29.0%32.4%
Skew 25d2.8%-0.0%4.5%2.8%4.0%
Skew 10d5.6%-1.8%13.9%5.7%-1.8%
Call IV 25d25.6%23.6%30.0%26.5%27.0%
Put IV 25d28.4%26.1%32.3%29.3%31.0%
Bid-Ask Spread %88.5381.1097.8689.3895.09
Gamma HHI0.170.120.300.160.13
Net GEX430.3K53.9K957.0K302.5K84.0K
Net DEX-10.5M-18.6M-3.5M-8.3M-4.2M
Net VEX-97.9K-119.3K-87.1K-119.3K-87.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.003.330.350.10
Total Volume71.0562333111
Total OI17,493.2512,83919,57319,36413,181

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$77.77$75.0026.9%7.7%26.3%19.7%29.0%2.8%-0.2%302.5K-8.3M-119.3K0.3589.38N/AN/A2387,39411,970
2019-09-04$77.35$75.0028.0%8.0%25.2%22.0%25.9%4.5%-0.2%298.5K-7.6M-113.0K0.0090.89N/AN/A2007,39511,962
2019-09-05$79.46$75.0024.8%7.2%26.8%15.4%24.1%2.8%4.8%534.0K-13.2M-112.6K0.0082.51N/AN/A1207,37911,962
2019-09-06$79.42$75.0026.6%7.2%23.9%19.1%0.0%2.5%4.4%492.9K-13.0M-115.7K0.4081.10N/AN/A1047,39111,962
2019-09-09$79.15$75.0026.6%7.4%23.6%19.0%0.0%3.2%3.6%559.2K-13.0M-103.3K0.1281.96N/AN/A5777,39611,966
2019-09-10$78.04$75.0026.8%7.1%23.2%19.4%26.9%3.1%4.9%408.1K-9.3M-105.6K3.3386.20N/AN/A3107,38211,969
2019-09-11$79.64$75.0024.9%7.1%24.4%15.7%23.4%3.3%4.8%671.9K-15.3M-96.2K0.0088.52N/AN/A607,38311,949
2019-09-12$80.68$75.0025.9%7.4%23.8%17.6%24.7%2.5%3.2%774.2K-18.6M-91.8K0.0083.86N/AN/A23217,38411,949
2019-09-13$78.97$75.0024.8%7.1%23.3%15.3%25.5%2.5%4.5%672.8K-13.8M-96.8K0.4085.09N/AN/A527,59911,949
2019-09-16$80.04$75.0026.5%7.6%23.6%18.9%26.5%3.1%3.3%862.4K-18.5M-91.1K1.3385.72N/AN/A9127,60311,803
2019-09-17$78.60$80.0027.2%7.8%24.3%20.2%27.2%2.7%2.0%702.7K-13.7M-94.0K0.0588.83N/AN/A11467,60411,811
2019-09-18$78.95$75.0026.7%7.7%24.4%19.3%26.9%1.2%3.2%957.0K-14.8M-96.5K0.3892.08N/AN/A124477,69711,808
2019-09-19$77.92$80.0026.4%7.6%24.5%18.5%27.0%3.2%3.9%528.9K-10.7M-92.0K0.0890.76N/AN/A142117,74211,831
2019-09-20$77.40$80.0027.5%7.9%24.6%20.9%26.1%2.6%5.2%115.7K-9.7M-90.4K0.0889.02N/AN/A9277,64611,823
2019-09-23$77.77$80.0025.6%7.4%22.8%17.1%26.2%3.5%6.2%166.4K-6.7M-90.0K0.0091.72N/AN/A18404,9057,934
2019-09-24$76.27$80.0028.3%8.1%23.9%22.4%27.4%4.5%7.9%121.7K-5.0M-90.3K0.0088.88N/AN/A6005,0377,934
2019-09-25$77.85$80.0026.1%7.5%24.9%18.0%27.0%2.3%8.4%231.3K-7.6M-89.0K0.5890.21N/AN/A31185,0867,934
2019-09-26$75.36$80.0026.1%7.5%26.6%18.1%27.1%-0.0%10.7%67.0K-3.8M-90.5K0.0597.86N/AN/A5735,0947,952
2019-09-27$75.09$80.0030.1%8.6%25.2%26.1%32.4%2.2%7.2%53.9K-3.5M-92.6K2.3291.00N/AN/A28655,1487,951
2019-09-30$75.40$80.0028.2%8.1%25.3%22.4%0.0%4.0%8.2%84.0K-4.2M-87.1K0.1095.09N/AN/A1015,1778,004