VSAT Options History — March 2020

In March 2020, VSAT traded between $25.75 and $59.14. ATM implied volatility averaged 92.0%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded below realized volatility by 26.6% (HV 20d: 118.6%). Max pain ranged from $30.00 to $65.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 4.59.

Notable Days

  • 2020-03-13: Highest Volume — 6,349 contracts
  • 2020-03-18: Largest IV spike — 46.4% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 45.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.27$25.75$59.14$58.78$35.64
Max Pain$48.18$30.00$65.00$65.00$30.00
ATM IV92.0%42.7%157.0%42.7%88.5%
Expected Move26.0%12.3%45.0%12.3%25.4%
HV 20d118.6%35.2%214.5%36.4%214.1%
HV 60d72.1%25.6%124.8%25.6%124.8%
IV Rank77.1%50.5%100.0%50.5%52.1%
IV Percentile97.4%89.7%100.0%89.7%95.2%
Term Structure-12.1%-68.0%-0.0%-0.0%-4.3%
VWIV86.2%40.5%135.1%40.5%93.5%
Skew 25d15.2%-13.4%48.9%3.0%18.6%
Skew 10d42.8%2.8%121.3%15.2%10.6%
Call IV 25d85.8%41.0%180.7%41.0%74.0%
Put IV 25d101.0%43.9%196.5%43.9%92.7%
Bid-Ask Spread %82.8161.95109.3364.66109.33
Gamma HHI0.220.190.250.230.23
Net GEX-91.7K-258.8K-10.9K-129.5K-55.7K
Net DEX10.2M2.5M15.9M4.7M7.6M
Net VEX-63.6K-109.5K-24.6K-101.9K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.590.0029.000.0911.89
Total Volume398.81896,349145116
Total OI13,984.54510,19216,20815,97110,326

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$58.78$65.0042.7%12.3%36.4%50.5%40.5%3.0%-0.0%-129.5K4.7M-101.9K0.0964.66N/AN/A133129,0566,915
2020-03-03$59.14$65.0050.5%14.5%35.2%64.3%50.5%11.3%-6.2%-80.4K2.5M-109.5K0.2872.52N/AN/A53159,1536,909
2020-03-04$57.27$65.0043.8%12.6%35.5%52.3%41.7%3.8%-0.1%-163.4K4.6M-103.1K0.0769.61N/AN/A5749,1196,926
2020-03-05$53.40$60.0058.3%14.8%41.6%77.9%55.3%6.5%-1.8%-258.8K11.6M-88.4K1.8678.52N/AN/A851589,1216,930
2020-03-06$51.97$60.0076.2%18.0%41.6%100.0%74.8%0.1%-0.5%-172.9K12.6M-91.3K29.0079.81N/AN/A41169,2006,958
2020-03-09$47.52$60.0076.6%21.1%49.7%100.0%70.3%4.5%-0.3%-168.4K15.4M-78.5K1.0867.05N/AN/A26289,2026,984
2020-03-10$49.98$60.0075.4%19.1%55.0%98.0%63.4%-13.4%-6.1%-236.3K15.0M-83.7K21.8875.24N/AN/A81759,2206,988
2020-03-11$48.08$55.0069.7%20.0%55.4%88.9%69.6%23.3%-12.6%-170.7K15.2M-81.2K0.4876.45N/AN/A21109,2276,875
2020-03-12$43.25$55.0094.8%27.2%63.8%100.0%86.7%28.7%-22.0%-94.2K14.6M-72.3K5.6772.12N/AN/A6349,2296,562
2020-03-13$41.84$55.0099.1%28.4%63.8%100.0%97.5%37.7%-21.2%-100.3K15.9M-62.9K2.5983.87N/AN/A1,7694,5809,1526,550
2020-03-16$39.07$55.00120.2%34.5%66.0%100.0%0.0%16.0%-34.7%-68.4K15.7M-55.6K0.0075.71N/AN/A1608,9856,443
2020-03-17$39.84$55.00107.2%30.7%66.8%87.7%89.6%16.9%-17.3%-64.4K13.5M-63.0K0.1361.95N/AN/A170228,9946,400
2020-03-18$25.75$55.00157.0%45.0%162.5%100.0%135.1%15.8%-68.0%-29.3K12.6M-24.6K1.5494.88N/AN/A2023128,8566,023
2020-03-19$31.78$55.00128.5%36.8%184.6%80.0%121.3%-11.2%-7.5%-16.2K12.3M-44.6K0.1383.90N/AN/A344448,7746,007
2020-03-20$29.15$30.00119.9%34.4%185.6%74.0%0.0%19.2%-12.6%-25.4K12.5M-32.3K0.8087.66N/AN/A549,0735,856
2020-03-23$27.38$30.00134.5%38.6%185.9%84.3%134.4%33.0%-18.2%-31.8K7.5M-26.1K17.5083.50N/AN/A2356,1314,070
2020-03-24$34.63$30.00103.3%29.6%208.0%62.4%105.2%22.7%-6.6%-59.7K8.0M-33.3K0.2791.71N/AN/A64176,1324,060
2020-03-25$39.30$30.00100.3%28.7%214.5%60.3%95.4%17.5%-3.4%-12.8K4.9M-56.2K0.4794.28N/AN/A58276,1934,077
2020-03-26$39.41$30.0096.7%27.7%214.5%57.8%96.9%19.8%-3.5%-22.1K5.5M-53.0K0.00103.36N/AN/A1806,2374,093
2020-03-27$38.56$30.0093.7%26.9%214.3%55.7%110.3%48.9%-5.2%-10.9K5.1M-56.4K4.00100.59N/AN/A286,2364,093
2020-03-30$38.11$30.0086.4%24.8%213.8%50.6%92.5%12.8%-14.2%-44.7K6.7M-44.0K1.3395.16N/AN/A686,2384,087
2020-03-31$35.64$30.0088.5%25.4%214.1%52.1%93.5%18.6%-4.3%-55.7K7.6M-37.0K11.89109.33N/AN/A91076,2384,088