VSAT Options History — June 2020

In June 2020, VSAT traded between $36.65 and $47.41. ATM implied volatility averaged 58.1%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 17.6% (HV 20d: 75.7%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2020-06-16: Highest Volume — 1,601 contracts
  • 2020-06-08: Largest IV spike — 20.3% change
  • 2020-06-26: Highest IV Rank — 36.1%
  • 2020-06-26: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.59$36.65$47.41$43.62$38.48
Max Pain$42.95$40.00$50.00$50.00$40.00
ATM IV58.1%50.1%65.7%56.9%54.6%
Expected Move16.4%14.3%18.8%16.3%15.6%
HV 20d75.7%57.2%85.1%84.8%61.6%
HV 60d109.1%78.7%143.0%143.0%78.9%
IV Rank30.8%25.2%36.1%29.9%28.3%
IV Percentile74.3%67.9%82.5%74.6%67.9%
Term Structure2.1%-4.9%7.5%-4.9%7.5%
VWIV55.8%47.6%64.2%57.4%54.4%
Skew 25d8.9%4.6%16.3%8.3%11.4%
Skew 10d17.1%1.0%26.7%26.5%1.0%
Call IV 25d53.5%46.8%61.5%55.6%50.7%
Put IV 25d62.4%55.9%75.6%64.0%62.1%
Bid-Ask Spread %60.5737.0675.0368.8461.04
Gamma HHI0.320.250.380.300.37
Net GEX-21.6K-69.2K79.8K-4.7K-69.2K
Net DEX5.0M2.7M7.9M5.5M4.3M
Net VEX-33.7K-38.9K-26.8K-38.9K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.042.260.240.21
Total Volume350.727381,601174122
Total OI11,664.6826,11014,77113,7706,484

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$43.62$50.0056.9%16.3%84.8%29.9%57.4%8.3%-4.9%-4.7K5.5M-38.9K0.2468.84N/AN/A140348,9404,830
2020-06-02$43.76$50.0054.2%15.5%84.3%28.0%54.3%5.1%-2.4%-12.2K5.5M-38.0K0.1452.35N/AN/A450638,8634,849
2020-06-03$45.48$50.0053.0%15.2%85.1%27.2%53.8%4.6%-2.1%-3.5K4.3M-38.5K0.4160.36N/AN/A232948,9044,882
2020-06-04$44.93$45.0053.6%14.7%83.5%27.6%51.8%9.2%0.8%-16.3K4.8M-38.2K1.0262.16N/AN/A4534638,8134,928
2020-06-05$45.32$45.0050.1%14.3%82.8%25.2%47.6%9.3%1.9%-9.7K4.8M-37.2K0.0665.18N/AN/A558358,8064,928
2020-06-08$47.41$45.0060.3%15.2%82.9%32.3%49.8%8.2%1.5%-29.3K2.7M-38.9K0.0456.00N/AN/A271119,0394,902
2020-06-09$46.30$45.0061.4%15.1%80.8%33.1%51.5%6.6%2.8%-11.3K3.7M-38.2K0.0762.28N/AN/A137109,1814,910
2020-06-10$42.41$45.0059.0%16.9%84.6%31.4%57.5%9.9%-1.4%-10.5K6.6M-34.5K0.7163.38N/AN/A1501079,2634,908
2020-06-11$40.00$45.0063.2%18.1%84.3%34.3%63.2%8.7%0.5%-35.3K7.9M-33.5K0.8870.55N/AN/A1401239,3424,936
2020-06-12$39.75$45.0059.1%16.9%84.3%31.5%58.5%8.4%1.7%-41.4K7.8M-32.4K0.1367.85N/AN/A255349,3644,737
2020-06-15$39.89$40.0061.2%17.6%84.2%32.9%59.4%7.7%0.6%-35.5K7.6M-32.4K0.2263.68N/AN/A247549,4644,778
2020-06-16$42.34$40.0064.4%18.5%78.6%35.2%57.4%11.4%-2.9%79.8K4.1M-36.9K0.0573.49N/AN/A1,5307110,1584,569
2020-06-17$41.21$40.0059.9%17.2%79.3%32.0%57.5%8.7%3.1%7.3K5.5M-34.4K0.8270.12N/AN/A13511110,1314,640
2020-06-18$41.00$40.0058.0%16.6%76.3%30.7%55.6%8.6%7.5%8.0K5.2M-34.0K1.1068.76N/AN/A616710,1624,592
2020-06-19$40.52$40.0056.8%16.3%75.8%29.9%50.6%6.7%4.2%27.1K5.6M-32.5K0.8275.03N/AN/A1169510,1784,593
2020-06-22$39.44$40.0058.0%16.6%76.3%30.6%58.9%9.0%4.7%-47.9K3.5M-30.2K0.4944.36N/AN/A71352,9553,155
2020-06-23$40.31$40.0056.5%16.2%61.6%29.6%55.9%9.3%3.9%-31.4K3.3M-30.4K0.7161.19N/AN/A4663302,9943,185
2020-06-24$38.68$40.0057.4%16.5%57.4%30.3%55.9%9.5%4.6%-51.9K4.0M-29.1K0.1637.06N/AN/A179293,0523,245
2020-06-25$38.48$40.0056.8%16.3%57.2%29.8%54.2%9.2%5.8%-62.9K4.2M-28.7K0.3651.21N/AN/A28103,0543,241
2020-06-26$36.65$40.0065.7%18.8%58.7%36.1%64.2%16.3%3.6%-66.9K4.9M-26.8K0.8858.69N/AN/A26233,0653,251
2020-06-29$39.05$40.0058.7%16.8%61.7%31.1%58.4%9.7%4.6%-57.6K3.9M-29.0K2.2638.87N/AN/A461043,0863,266
2020-06-30$38.48$40.0054.6%15.6%61.6%28.3%54.4%11.4%7.5%-69.2K4.3M-27.8K0.2161.04N/AN/A101213,1143,370