VSAT Options History — December 2019

In December 2019, VSAT traded between $71.22 and $73.85. ATM implied volatility averaged 22.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.0% (HV 20d: 16.5%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2019-12-30: Highest Volume — 1,147 contracts
  • 2019-12-03: Largest IV spike — 19.8% change
  • 2019-12-03: Highest IV Rank — 20.1%
  • 2019-12-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.41$71.22$73.85$73.20$73.05
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV22.5%19.0%28.0%23.4%19.9%
Expected Move6.4%5.4%8.0%6.7%5.7%
HV 20d16.5%9.8%29.2%29.2%11.8%
HV 60d22.9%19.9%25.0%24.9%19.9%
IV Rank9.9%3.2%20.1%11.5%5.0%
IV Percentile13.4%0.8%46.4%13.1%2.8%
Term Structure7.0%-2.6%11.9%-0.8%11.9%
VWIV21.3%10.7%25.8%25.7%22.8%
Skew 25d2.8%-0.5%5.7%2.5%1.9%
Skew 10d4.3%-16.2%27.2%2.4%-0.5%
Call IV 25d21.0%15.5%25.3%23.8%20.0%
Put IV 25d23.8%20.8%28.3%26.3%21.9%
Bid-Ask Spread %91.4785.0397.0191.8897.01
Gamma HHI0.310.170.450.310.17
Net GEX414.2K262.0K606.8K367.2K350.4K
Net DEX-9.1M-13.0M-6.6M-10.1M-10.5M
Net VEX-65.5K-79.6K-58.4K-58.4K-79.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.920.022.50
Total Volume249.14361,14737014
Total OI13,823.5715,84917,45716,4297,057

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$73.20$70.0023.4%6.7%29.2%11.5%25.7%2.5%-0.8%367.2K-10.1M-58.4K0.0291.88N/AN/A36466,8349,595
2019-12-03$72.43$70.0028.0%8.0%28.6%20.1%25.8%4.2%-2.6%352.4K-8.0M-60.8K2.9291.89N/AN/A651906,8829,601
2019-12-04$72.40$70.0026.8%7.7%28.5%17.8%0.0%4.2%-2.2%382.5K-8.4M-60.7K0.0091.80N/AN/A1406,9279,766
2019-12-05$72.05$70.0025.4%7.0%28.6%15.1%23.1%3.0%6.1%431.4K-7.1M-59.8K0.0085.03N/AN/A2906,9279,766
2019-12-06$72.45$70.0025.0%7.1%27.2%14.4%22.1%-0.5%5.8%450.7K-8.2M-58.5K0.0190.93N/AN/A1,021106,9859,766
2019-12-09$71.53$70.0025.6%6.9%16.5%15.6%22.5%3.1%6.6%542.7K-7.8M-68.7K0.7786.37N/AN/A13107,4679,760
2019-12-10$71.22$70.0025.4%7.0%16.4%15.3%0.0%2.9%5.7%606.8K-7.1M-66.7K0.0087.69N/AN/A57617,4709,760
2019-12-11$71.51$70.0023.2%6.6%16.2%11.1%21.7%2.1%7.6%474.0K-6.6M-65.8K0.0690.57N/AN/A12887,2359,760
2019-12-12$72.11$70.0023.4%6.7%16.4%11.6%0.0%2.8%7.2%429.6K-8.5M-66.2K0.0085.91N/AN/A1407,3369,752
2019-12-13$71.71$70.0022.3%6.4%15.7%9.4%20.6%3.0%8.4%544.4K-7.3M-65.0K0.0087.69N/AN/A4107,3319,752
2019-12-16$72.14$70.0021.3%6.1%15.5%7.6%20.7%1.6%6.9%493.9K-8.5M-61.2K0.0692.84N/AN/A211127,3089,752
2019-12-17$72.15$70.0021.8%6.2%9.8%8.5%19.9%2.7%8.8%407.6K-7.9M-59.9K0.0091.07N/AN/A607,2019,761
2019-12-18$71.54$70.0022.2%6.4%10.1%9.2%22.2%3.0%8.1%508.7K-10.0M-58.5K1.5389.57N/AN/A2353607,1969,399
2019-12-19$71.96$70.0021.8%6.3%10.5%8.5%21.8%2.4%6.9%485.3K-10.6M-65.8K0.0895.34N/AN/A476387,4119,559
2019-12-20$72.78$70.0019.4%5.6%10.3%4.1%0.0%2.0%8.6%262.0K-13.0M-71.7K0.6192.58N/AN/A44277,8739,584
2019-12-23$72.90$70.0019.3%5.5%10.1%3.8%19.7%2.6%10.3%277.6K-9.7M-70.1K0.2395.33N/AN/A77183,6802,169
2019-12-24$73.85$70.0019.0%5.4%11.1%3.2%10.7%5.3%10.9%360.8K-10.9M-71.6K0.0093.12N/AN/A1303,7282,173
2019-12-26$73.79$70.0019.3%5.5%11.1%3.9%18.3%5.7%11.8%353.1K-10.8M-69.6K0.2893.18N/AN/A39113,7392,173
2019-12-27$72.97$70.0020.7%5.9%11.8%6.4%21.7%3.0%10.4%297.8K-9.8M-70.1K0.4094.72N/AN/A1043,7422,183
2019-12-30$72.85$70.0020.2%5.8%11.7%5.5%22.1%1.7%10.8%318.9K-10.1M-67.5K0.7496.31N/AN/A6614863,7522,183
2019-12-31$73.05$70.0019.9%5.7%11.8%5.0%22.8%1.9%11.9%350.4K-10.5M-79.6K2.5097.01N/AN/A4104,4112,646