VSAT Options History — November 2019

In November 2019, VSAT traded between $66.14 and $74.06. ATM implied volatility averaged 33.7%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.7% (HV 20d: 26.0%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2019-11-08: Highest Volume — 1,233 contracts
  • 2019-11-08: Largest IV drop — 57.3% change
  • 2019-11-06: Highest IV Rank — 100.0%
  • 2019-11-01: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.31$66.14$74.06$68.04$73.38
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV33.7%20.9%70.7%53.0%22.2%
Expected Move8.0%6.0%15.2%15.2%6.4%
HV 20d26.0%14.0%31.0%14.2%29.6%
HV 60d25.0%22.4%26.3%22.6%24.9%
IV Rank31.7%6.9%100.0%72.9%9.3%
IV Percentile37.8%2.8%100.0%97.6%6.3%
Term Structure-0.5%-17.3%5.8%-17.3%0.0%
VWIV28.2%20.6%52.7%52.7%20.6%
Skew 25d3.5%1.1%7.6%7.6%1.1%
Skew 10d7.9%-2.5%30.5%4.1%-0.2%
Call IV 25d26.8%20.6%52.6%52.6%23.0%
Put IV 25d30.3%23.0%60.2%60.2%24.1%
Bid-Ask Spread %85.5477.4192.6483.3692.64
Gamma HHI0.250.160.350.160.31
Net GEX86.0K-449.4K425.5K-372.5K362.7K
Net DEX-4.2M-11.2M8.5M5.8M-10.9M
Net VEX-69.3K-88.5K-58.2K-85.9K-58.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.008.918.910.00
Total Volume219.801,2331090
Total OI15,939.8515,05916,42915,05916,429

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$68.04$70.0053.0%15.2%14.2%72.9%52.7%7.6%-17.3%-372.5K5.8M-85.9K8.9183.36N/AN/A11985,5529,507
2019-11-04$66.78$70.0058.9%10.9%14.0%84.9%37.8%3.8%-3.7%-449.4K8.3M-83.6K0.2078.70N/AN/A87175,5559,558
2019-11-05$67.53$70.0059.9%10.5%14.8%87.0%36.9%5.6%-3.4%-403.4K6.8M-85.8K0.0577.41N/AN/A4125,6259,574
2019-11-06$67.47$70.0070.7%12.0%14.7%100.0%40.4%5.0%-6.8%-407.5K8.1M-88.5K0.4281.57N/AN/A2641125,6529,573
2019-11-07$66.14$70.0068.9%11.0%15.9%96.6%36.5%4.8%-4.4%-419.4K8.5M-82.4K0.6683.08N/AN/A1671115,8909,660
2019-11-08$70.52$70.0029.4%7.5%28.8%22.8%25.9%4.9%5.0%65.8K-1.2M-68.0K0.0987.22N/AN/A1,136976,0609,752
2019-11-11$71.00$70.0029.7%7.2%28.8%23.2%24.7%2.9%3.2%234.9K-4.2M-68.6K0.3988.83N/AN/A215836,4799,773
2019-11-12$71.55$70.0029.9%7.0%28.9%23.6%23.0%3.3%5.8%293.4K-5.9M-68.5K0.0590.39N/AN/A8846,6009,783
2019-11-13$71.96$70.0024.7%7.1%28.9%13.9%23.2%3.2%4.3%203.2K-7.1M-67.0K0.0287.62N/AN/A6116,6229,783
2019-11-14$70.97$70.0024.5%7.0%28.9%13.5%26.8%2.7%4.0%425.5K-5.3M-65.0K0.0381.99N/AN/A26886,6309,783
2019-11-15$71.65$70.0024.3%7.0%28.8%13.3%21.6%3.2%4.4%198.1K-6.1M-64.9K0.0081.93N/AN/A12106,5329,791
2019-11-18$74.01$70.0022.5%6.4%31.0%9.8%23.6%2.4%-0.3%187.9K-9.9M-60.5K0.0285.53N/AN/A550116,2299,531
2019-11-19$74.06$70.0022.9%6.6%30.4%10.5%23.1%3.2%-0.3%200.0K-10.7M-65.2K0.5580.14N/AN/A44246,4539,532
2019-11-20$74.06$70.0023.0%6.6%30.0%10.7%25.8%3.2%-0.5%217.1K-10.9M-64.1K0.0187.34N/AN/A19616,4679,547
2019-11-21$73.02$70.0023.6%6.8%30.5%11.9%24.3%2.2%-1.0%173.9K-7.7M-64.9K0.4483.76N/AN/A32146,3319,549
2019-11-22$73.44$70.0021.1%6.0%30.5%7.1%20.8%2.9%1.1%179.5K-9.0M-62.2K0.0688.14N/AN/A289176,3839,561
2019-11-25$73.36$70.0022.1%6.3%30.5%9.1%23.8%3.1%-0.3%309.5K-9.8M-62.7K0.1191.19N/AN/A179196,6629,578
2019-11-26$73.54$70.0020.9%6.0%30.5%6.9%23.9%2.4%0.7%363.6K-10.9M-60.5K0.0087.84N/AN/A106,8119,595
2019-11-27$73.63$70.0021.0%6.0%30.4%7.0%20.6%2.8%0.5%357.0K-11.2M-59.7K0.0092.04N/AN/A2706,8109,595
2019-11-29$73.38$70.0022.2%6.4%29.6%9.3%0.0%1.1%0.0%362.7K-10.9M-58.2K0.0092.64N/AN/A006,8349,595