VSAT Options History — July 2020

In July 2020, VSAT traded between $36.30 and $39.15. ATM implied volatility averaged 63.4%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 16.0% (HV 20d: 47.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2020-07-06: Highest Volume — 1,008 contracts
  • 2020-07-13: Largest IV spike — 21.4% change
  • 2020-07-13: Highest IV Rank — 45.3%
  • 2020-07-14: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.64$36.30$39.15$37.03$37.99
Max Pain$39.77$35.00$40.00$40.00$40.00
ATM IV63.4%51.8%78.8%60.8%63.8%
Expected Move18.3%14.9%20.2%17.4%18.3%
HV 20d47.4%32.5%60.7%60.2%33.2%
HV 60d67.4%62.6%73.5%73.5%62.6%
IV Rank34.5%26.3%45.3%32.6%34.7%
IV Percentile77.5%63.5%92.5%77.4%75.4%
Term Structure-4.8%-11.3%11.6%4.1%-8.0%
VWIV62.5%46.5%69.5%56.0%63.5%
Skew 25d10.9%3.1%14.4%11.9%9.9%
Skew 10d20.8%4.9%32.8%32.8%22.2%
Call IV 25d58.8%46.7%63.2%51.5%63.1%
Put IV 25d69.7%49.8%74.7%63.3%73.0%
Bid-Ask Spread %58.9840.4371.8769.6359.45
Gamma HHI0.450.420.490.420.44
Net GEX-95.7K-107.7K-79.5K-86.3K-103.9K
Net DEX4.8M3.5M5.6M5.2M4.1M
Net VEX-25.5K-27.5K-23.7K-25.4K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.0012.560.140.07
Total Volume192.182231,008287173
Total OI6,733.5915,8947,3786,5896,489

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$37.03$40.0060.8%17.4%60.2%32.6%56.0%11.9%4.1%-86.3K5.2M-25.4K0.1469.63N/AN/A252353,1983,391
2020-07-02$36.75$40.0051.8%14.9%60.2%26.3%46.5%3.1%11.6%-85.4K5.2M-25.5K0.5753.98N/AN/A115663,4093,415
2020-07-06$37.38$35.0059.6%18.7%60.7%31.8%61.3%9.3%-6.0%-89.3K5.0M-25.5K0.9351.82N/AN/A5224863,4993,419
2020-07-07$36.50$40.0060.3%18.3%57.2%32.3%59.0%11.1%-2.4%-92.6K5.6M-24.7K0.3153.54N/AN/A65203,5773,535
2020-07-08$37.56$40.0053.7%17.5%58.9%27.7%57.3%11.9%-1.6%-79.5K4.8M-26.8K0.0041.21N/AN/A2803,6343,523
2020-07-09$36.30$40.0064.5%19.3%52.3%35.3%64.2%11.4%-2.7%-84.0K5.5M-25.2K2.2951.54N/AN/A7163,6413,523
2020-07-10$36.91$40.0065.0%19.4%49.4%35.6%67.4%11.8%-3.4%-84.1K5.2M-25.7K0.5747.49N/AN/A28163,6613,516
2020-07-13$36.78$40.0078.8%20.1%49.4%45.3%69.5%11.6%-7.3%-85.3K5.3M-24.4K1.1349.81N/AN/A40453,6483,517
2020-07-14$36.74$40.0072.3%20.2%49.3%40.7%66.8%11.2%-5.0%-86.0K5.4M-24.3K1.6740.43N/AN/A51853,6843,524
2020-07-15$38.49$40.0065.5%18.8%47.2%35.9%67.5%12.7%-6.5%-90.6K4.5M-26.2K0.7048.93N/AN/A4142893,7013,573
2020-07-16$37.83$40.0064.8%18.6%46.7%35.5%64.8%13.6%-4.9%-92.3K5.1M-25.2K12.5658.62N/AN/A253143,7183,583
2020-07-17$37.70$40.0064.1%18.4%46.7%35.0%66.0%10.8%-7.1%-104.1K5.3M-24.4K0.4466.76N/AN/A27123,7343,644
2020-07-20$37.62$40.0063.6%18.2%46.7%34.6%65.3%9.0%-7.3%-103.5K4.8M-23.7K0.4271.87N/AN/A146622,5653,329
2020-07-21$38.53$40.0060.6%17.4%46.8%32.5%63.6%9.3%-5.6%-102.2K4.4M-25.3K0.4857.53N/AN/A44212,6883,382
2020-07-22$38.18$40.0060.9%17.4%46.1%32.7%61.0%11.0%-6.2%-104.9K4.5M-24.6K0.3264.47N/AN/A148482,7183,378
2020-07-23$38.14$40.0060.9%17.5%43.8%32.7%60.7%11.2%-5.5%-105.4K4.4M-25.9K1.3871.18N/AN/A32442,8473,419
2020-07-24$37.49$40.0065.6%18.8%44.1%36.0%60.9%10.7%-6.8%-105.3K4.8M-25.5K0.7969.13N/AN/A82652,8593,463
2020-07-27$37.45$40.0068.5%19.6%40.4%38.1%61.6%12.3%-8.0%-107.7K4.9M-24.9K0.3969.44N/AN/A59232,9203,501
2020-07-28$38.79$40.0064.9%18.6%35.6%35.5%64.9%10.6%-8.6%-97.8K3.8M-27.5K0.2562.13N/AN/A99252,9203,515
2020-07-29$39.15$40.0060.9%17.5%35.3%32.7%66.5%11.7%-6.4%-107.4K3.5M-27.2K0.0768.59N/AN/A135102,9753,433
2020-07-30$38.74$40.0065.0%18.6%32.5%35.6%61.0%14.4%-11.3%-107.4K3.6M-26.8K0.6969.93N/AN/A32223,0283,443
2020-07-31$37.99$40.0063.8%18.3%33.2%34.7%63.5%9.9%-8.0%-103.9K4.1M-25.8K0.0759.45N/AN/A161123,0353,454