VSAT Options History — May 2020

In May 2020, VSAT traded between $34.47 and $47.44. ATM implied volatility averaged 66.2%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 11.0% (HV 20d: 77.2%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-05-26: Highest Volume — 3,451 contracts
  • 2020-05-12: Largest IV spike — 64.3% change
  • 2020-05-12: Highest IV Rank — 63.2%
  • 2020-05-14: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.87$34.47$47.44$40.41$41.90
Max Pain$51.00$45.00$55.00$45.00$50.00
ATM IV66.2%53.3%104.4%60.3%60.4%
Expected Move18.7%15.3%20.6%17.3%17.3%
HV 20d77.2%66.5%91.8%91.2%85.9%
HV 60d139.2%136.6%143.4%136.6%143.4%
IV Rank36.4%27.4%63.2%32.3%32.4%
IV Percentile84.0%74.6%97.6%84.1%79.0%
Term Structure-3.1%-12.6%6.4%5.2%-5.0%
VWIV64.6%54.5%71.2%59.8%59.0%
Skew 25d8.3%-3.0%18.3%5.0%8.7%
Skew 10d16.9%-22.7%59.4%12.3%17.4%
Call IV 25d61.8%50.6%70.8%60.3%55.5%
Put IV 25d70.1%47.5%79.5%65.3%64.2%
Bid-Ask Spread %77.8856.0898.6298.6258.83
Gamma HHI0.280.150.580.260.29
Net GEX-52.1K-159.9K40.4K-83.8K-25.6K
Net DEX7.2M-1.2M10.2M8.4M6.7M
Net VEX-33.3K-49.8K-22.8K-31.0K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.035.830.140.75
Total Volume486.0523,45119893
Total OI11,879.4510,49614,20210,49613,779

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$40.41$45.0060.3%17.3%91.2%32.3%59.8%5.0%5.2%-83.8K8.4M-31.0K0.1498.62N/AN/A173256,3944,102
2020-05-04$39.55$55.0070.0%20.1%89.8%39.1%69.8%9.3%-3.6%-77.7K8.5M-29.9K1.0082.50N/AN/A116,4964,095
2020-05-05$39.74$55.0064.8%18.8%74.0%35.5%60.7%6.0%6.4%-83.1K8.6M-28.8K0.4281.82N/AN/A55236,4964,096
2020-05-06$38.10$55.0060.2%19.3%71.8%32.3%67.9%18.3%0.4%-69.5K9.6M-23.3K0.9779.67N/AN/A29286,5064,113
2020-05-07$39.48$55.0057.5%18.1%68.3%30.3%70.6%12.6%-0.0%-90.7K9.4M-25.6K5.8378.87N/AN/A472746,5304,154
2020-05-08$41.23$55.0059.2%17.8%69.1%31.5%61.7%6.4%3.6%-93.9K8.7M-29.8K0.6085.44N/AN/A1066,5354,324
2020-05-11$39.12$55.0063.6%18.0%68.7%34.6%62.0%6.8%1.0%-98.4K9.6M-25.5K1.1084.16N/AN/A31346,5404,325
2020-05-12$36.92$55.00104.4%18.9%70.5%63.2%64.2%8.0%-2.3%-100.5K10.2M-22.8K0.6086.80N/AN/A2651606,5484,349
2020-05-13$34.70$55.0068.1%19.5%70.5%37.8%67.1%11.9%-4.5%-81.4K10.1M-24.1K0.1075.75N/AN/A588596,7934,475
2020-05-14$34.47$50.0072.0%20.6%69.7%40.5%69.4%11.6%-0.3%-52.0K9.1M-28.7K0.0377.53N/AN/A16157,7394,457
2020-05-15$35.00$50.0070.1%20.1%66.5%39.2%67.4%11.7%-12.6%-159.9K8.7M-29.9K0.5873.98N/AN/A119697,9424,459
2020-05-18$38.85$50.0065.1%18.7%77.2%35.6%63.6%8.8%-6.3%-26.3K6.9M-33.9K0.5585.89N/AN/A2371317,5734,259
2020-05-19$38.49$50.0064.8%18.6%74.1%35.5%64.2%-3.0%-4.3%-28.9K6.8M-36.3K0.0994.58N/AN/A6767,6774,379
2020-05-20$40.93$50.0064.6%18.5%76.0%35.3%62.3%7.3%-5.6%-26.2K5.5M-39.2K0.1283.56N/AN/A506637,6964,385
2020-05-21$42.00$45.0070.3%20.1%76.3%39.3%68.4%5.1%-10.1%-7.4K4.3M-42.5K0.1876.03N/AN/A7131297,9284,404
2020-05-22$42.03$45.0069.0%19.8%76.3%38.4%66.6%14.6%-8.3%28.0K3.5M-44.7K0.3176.62N/AN/A3471078,3674,515
2020-05-26$47.44$45.0066.7%19.1%87.1%36.8%71.2%2.5%-6.0%40.4K-1.2M-49.8K0.0960.18N/AN/A3,1722798,4754,626
2020-05-27$43.91$50.0059.7%17.1%91.8%31.8%62.0%6.0%-7.6%4.7K4.3M-42.2K0.2460.69N/AN/A1,0752599,3444,858
2020-05-28$43.14$50.0053.3%15.3%89.2%27.4%54.5%8.7%-1.4%-9.0K5.3M-41.0K0.1856.08N/AN/A316588,9874,869
2020-05-29$41.90$50.0060.4%17.3%85.9%32.4%59.0%8.7%-5.0%-25.6K6.7M-37.9K0.7558.83N/AN/A53408,9364,843