VSAT Options History — February 2020

In February 2020, VSAT traded between $54.38 and $66.83. ATM implied volatility averaged 36.5%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 7.9% (HV 20d: 28.5%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.82.

Notable Days

  • 2020-02-18: Highest Volume — 2,807 contracts
  • 2020-02-07: Largest IV drop — 40.6% change
  • 2020-02-28: Highest IV Rank — 67.8%
  • 2020-02-28: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.06$54.38$66.83$65.26$57.63
Max Pain$65.79$65.00$70.00$70.00$65.00
ATM IV36.5%24.8%52.5%43.4%52.5%
Expected Move10.2%7.1%15.1%12.5%15.1%
HV 20d28.5%23.0%36.9%24.7%36.1%
HV 60d22.0%18.9%25.2%23.2%25.2%
IV Rank39.4%18.8%67.8%51.7%67.8%
IV Percentile73.4%32.9%96.0%90.9%96.0%
Term Structure-1.5%-11.5%4.6%-9.8%-4.7%
VWIV35.6%24.8%53.7%40.3%53.7%
Skew 25d3.5%0.4%11.0%5.2%9.8%
Skew 10d3.1%-9.2%20.0%-2.1%0.1%
Call IV 25d34.3%24.6%51.3%39.1%51.3%
Put IV 25d37.8%26.8%61.1%44.2%61.1%
Bid-Ask Spread %77.1551.9596.2291.5976.54
Gamma HHI0.330.220.480.380.22
Net GEX-225.0K-1.1M338.0K42.9K-81.2K
Net DEX3.9M-8.6M18.4M-2.6M3.3M
Net VEX-102.0K-127.7K-64.9K-121.1K-117.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.019.360.014.44
Total Volume685.211492,807167457
Total OI15,884.94714,65117,75314,65115,953

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$65.26$70.0043.4%12.5%24.7%51.7%40.3%5.2%-9.8%42.9K-2.6M-121.1K0.0191.59N/AN/A16619,2505,401
2020-02-04$66.30$70.0045.5%13.0%25.9%55.3%44.2%11.0%-11.0%278.5K-6.9M-125.8K0.0396.22N/AN/A18359,3665,402
2020-02-05$66.55$70.0045.5%13.0%25.8%55.4%41.4%7.0%-11.5%294.4K-7.5M-127.7K0.0285.62N/AN/A4819,5355,399
2020-02-06$66.83$65.0048.4%9.8%24.2%60.5%34.5%4.1%-0.9%338.0K-8.6M-127.6K0.8580.72N/AN/A4694009,5205,399
2020-02-07$65.31$65.0028.7%7.9%25.1%25.7%29.3%2.7%2.8%-343.6K-2.6M-116.3K1.0380.43N/AN/A7988249,9545,633
2020-02-10$64.85$65.0027.7%7.4%25.1%23.9%25.9%0.4%3.5%-630.3K530.4K-108.2K1.6577.30N/AN/A14724210,0335,575
2020-02-11$65.05$65.0026.1%7.5%23.4%21.1%25.6%1.6%2.8%-771.8K-417.7K-109.1K0.6278.88N/AN/A925710,1195,590
2020-02-12$64.82$65.0024.8%7.1%23.0%18.8%24.8%2.2%4.6%-1.1M1.1M-105.7K1.1279.87N/AN/A697710,2065,579
2020-02-13$62.70$65.0026.4%7.6%24.7%21.6%26.4%1.4%4.1%-721.5K8.1M-95.7K1.4178.01N/AN/A699710,1935,579
2020-02-14$60.97$65.0027.2%7.8%24.8%23.0%28.0%1.9%2.9%-124.3K12.8M-87.0K0.3481.06N/AN/A66022310,2335,600
2020-02-18$58.01$65.0029.7%8.5%28.6%27.5%31.0%1.8%-0.2%-44.4K18.4M-64.9K9.3690.19N/AN/A2712,53610,7685,780
2020-02-19$57.14$65.0031.8%9.1%28.7%31.2%34.0%2.2%0.8%-180.0K9.5M-79.9K2.8680.64N/AN/A23266410,9056,242
2020-02-20$57.98$65.0032.9%9.4%29.5%33.0%33.6%1.2%1.1%-176.9K7.0M-86.3K0.0875.82N/AN/A9697711,0296,291
2020-02-21$55.65$65.0035.0%10.0%31.6%36.7%35.5%1.9%-0.1%-284.6K9.2M-85.1K4.5670.76N/AN/A3011,37411,4526,301
2020-02-24$54.38$65.0039.2%11.2%31.7%44.3%41.0%2.7%-2.8%-296.1K11.8M-82.3K1.9961.17N/AN/A1873739,0376,638
2020-02-25$56.38$65.0041.5%11.9%36.1%48.3%40.7%3.0%-2.4%-193.4K7.9M-96.3K0.6470.20N/AN/A2961889,1416,719
2020-02-26$56.99$65.0041.3%11.8%36.6%47.9%40.2%3.5%-2.5%-169.2K6.7M-100.2K0.2951.95N/AN/A103309,1336,857
2020-02-27$57.31$65.0045.4%13.0%36.9%55.2%45.5%3.5%-4.3%-147.8K6.1M-101.2K3.3258.92N/AN/A772569,1306,872
2020-02-28$57.63$65.0052.5%15.1%36.1%67.8%53.7%9.8%-4.7%-81.2K3.3M-117.6K4.4476.54N/AN/A843739,0936,860