VSAT Options History — January 2020

In January 2020, VSAT traded between $63.77 and $73.57. ATM implied volatility averaged 30.4%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 13.5% (HV 20d: 16.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-01-30: Highest Volume — 3,077 contracts
  • 2020-01-15: Largest IV spike — 86.2% change
  • 2020-01-29: Highest IV Rank — 54.4%
  • 2020-01-29: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.65$63.77$73.57$73.40$63.77
Max Pain$72.62$70.00$75.00$70.00$70.00
ATM IV30.4%14.2%45.0%20.0%42.6%
Expected Move10.1%5.7%12.9%5.7%12.2%
HV 20d16.9%11.0%22.5%11.2%22.5%
HV 60d21.1%19.7%22.8%19.7%22.8%
IV Rank27.0%0.0%54.4%5.1%50.2%
IV Percentile48.3%0.0%90.9%3.2%90.1%
Term Structure-3.5%-9.8%11.6%11.6%-7.6%
VWIV36.5%20.7%45.0%20.7%41.6%
Skew 25d4.1%-0.3%12.6%3.4%-0.3%
Skew 10d10.9%1.6%30.4%5.1%1.6%
Call IV 25d33.9%19.2%43.4%19.2%43.4%
Put IV 25d37.9%22.5%46.6%22.5%43.1%
Bid-Ask Spread %79.8368.9298.0894.6294.37
Gamma HHI0.220.160.360.170.36
Net GEX258.0K-157.1K554.4K382.8K-17.2K
Net DEX-8.4M-15.3M1.3M-11.0M1.3M
Net VEX-86.8K-116.0K-73.5K-78.5K-116.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.007.540.000.03
Total Volume420.09513,0774376
Total OI9,083.3337,06514,3097,06514,309

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$73.40$70.0020.0%5.7%11.2%5.1%0.0%3.4%11.6%382.8K-11.0M-78.5K0.0094.62N/AN/A404,4092,656
2020-01-03$73.57$70.0020.6%5.9%11.2%6.2%20.7%3.2%11.3%381.1K-10.5M-79.8K1.4394.53N/AN/A14204,4112,656
2020-01-06$73.57$70.0021.9%9.3%11.0%8.7%33.9%3.6%-4.0%392.1K-10.8M-77.0K0.6368.92N/AN/A32204,4122,676
2020-01-07$72.57$70.0021.3%9.3%12.0%7.5%32.6%4.1%-2.7%290.9K-9.6M-78.2K0.2869.95N/AN/A46134,4252,691
2020-01-08$70.44$75.0021.1%9.8%15.5%7.1%34.8%3.9%-3.7%44.6K-6.3M-73.5K0.6673.32N/AN/A5253484,4652,704
2020-01-09$70.66$75.0020.1%9.5%15.5%5.4%35.6%3.5%-3.4%381.2K-8.7M-77.9K0.9874.31N/AN/A5305184,9853,054
2020-01-10$70.44$75.0020.1%9.5%15.4%5.3%35.2%3.2%-3.1%358.9K-8.2M-84.8K0.1174.73N/AN/A3845,4833,559
2020-01-13$72.00$75.0014.2%9.8%17.1%0.0%32.9%2.9%-3.6%425.9K-12.5M-82.2K0.1769.10N/AN/A3565,4933,563
2020-01-14$72.44$75.0017.8%10.0%17.1%6.4%0.0%2.8%-4.5%466.5K-13.3M-81.6K0.0070.40N/AN/A2305,5183,567
2020-01-15$72.76$75.0033.1%9.5%17.1%33.5%34.1%12.6%-3.5%511.5K-13.7M-81.5K0.0082.86N/AN/A905,5153,567
2020-01-16$73.47$75.0033.3%9.6%17.4%33.8%0.0%3.2%-4.3%554.4K-15.3M-82.9K0.0070.44N/AN/A105,5203,567
2020-01-17$72.94$75.0033.5%9.6%17.3%34.1%35.5%4.0%-4.3%453.8K-14.1M-83.0K0.3371.79N/AN/A315,5213,567
2020-01-21$72.01$75.0037.4%10.7%17.9%41.1%0.0%3.3%-6.1%411.1K-9.7M-78.9K0.0072.40N/AN/A2504,8833,069
2020-01-22$70.15$75.0037.4%10.7%19.6%41.0%39.3%5.2%-8.6%288.4K-7.5M-75.9K7.5482.12N/AN/A1941,4624,9033,069
2020-01-23$69.65$75.0039.4%11.3%19.6%44.6%38.8%3.4%-6.1%46.0K-5.1M-91.7K0.3079.07N/AN/A5581665,0974,413
2020-01-24$69.29$70.0039.3%11.3%18.8%44.5%40.6%1.9%-6.0%76.2K-6.0M-98.0K0.1186.24N/AN/A125145,6254,570
2020-01-27$68.69$70.0042.2%12.1%18.9%49.6%39.8%3.1%-7.2%44.1K-5.6M-102.4K0.0378.36N/AN/A289105,8044,584
2020-01-28$68.78$70.0041.4%11.9%18.7%48.1%42.5%6.6%-7.1%87.9K-6.1M-101.5K3.5082.22N/AN/A276,1214,590
2020-01-29$67.60$70.0045.0%12.9%19.4%54.4%45.0%4.7%-9.8%-5.6K-3.8M-100.4K0.5488.64N/AN/A2131146,1234,597
2020-01-30$65.48$70.0037.6%10.8%21.6%41.4%38.2%7.3%-0.5%-157.1K438.3K-96.3K0.2998.08N/AN/A2,3866916,3004,709
2020-01-31$63.77$70.0042.6%12.2%22.5%50.2%41.6%-0.3%-7.6%-17.2K1.3M-116.0K0.0394.37N/AN/A366108,9105,399