VSAT Options History — August 2020

In August 2020, VSAT traded between $37.30 and $42.49. ATM implied volatility averaged 49.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 9.0% (HV 20d: 40.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2020-08-10: Highest Volume — 575 contracts
  • 2020-08-07: Largest IV drop — 24.7% change
  • 2020-08-03: Highest IV Rank — 43.2%
  • 2020-08-03: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.34$37.30$42.49$37.30$39.78
Max Pain$44.29$40.00$45.00$40.00$45.00
ATM IV49.6%40.6%75.8%75.8%43.4%
Expected Move14.0%11.6%21.7%21.7%12.4%
HV 20d40.6%30.6%44.3%33.4%41.4%
HV 60d54.4%46.6%62.2%62.2%46.6%
IV Rank24.8%18.5%43.2%43.2%20.5%
IV Percentile54.5%40.1%89.7%89.7%45.2%
Term Structure1.3%-13.2%9.1%-12.7%3.4%
VWIV49.1%39.8%72.0%71.7%43.4%
Skew 25d7.8%5.4%12.5%12.5%5.8%
Skew 10d18.2%7.9%30.1%24.0%8.6%
Call IV 25d45.9%39.2%68.2%67.5%44.4%
Put IV 25d53.7%46.3%80.0%80.0%50.1%
Bid-Ask Spread %73.0628.7784.5068.3076.91
Gamma HHI0.440.320.580.440.52
Net GEX-122.9K-204.8K-27.0K-103.3K-182.0K
Net DEX2.2M-41.6K4.4M4.4M2.7M
Net VEX-25.4K-30.8K-20.3K-25.2K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.034.130.414.13
Total Volume220.9522057527341
Total OI7,382.4296,6057,9606,6596,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$37.30$40.0075.8%21.7%33.4%43.2%71.7%12.5%-12.7%-103.3K4.4M-25.2K0.4168.30N/AN/A194793,1933,466
2020-08-04$38.48$40.0066.0%18.9%33.9%36.3%67.0%5.4%-11.2%-97.7K3.7M-26.3K0.7461.55N/AN/A133983,2733,505
2020-08-05$38.07$40.0070.2%20.1%32.8%39.2%72.0%8.5%-13.2%-98.8K3.9M-26.7K0.1560.12N/AN/A474703,3903,587
2020-08-06$38.76$45.0069.3%16.4%30.6%38.6%54.5%10.8%2.4%-94.2K3.5M-28.0K0.2284.50N/AN/A385853,7533,621
2020-08-07$42.49$45.0052.2%14.8%43.8%26.6%50.9%8.1%3.7%-33.1K-41.6K-30.8K0.1783.69N/AN/A401683,9383,655
2020-08-10$41.86$45.0051.1%14.2%44.3%25.8%47.4%7.1%0.6%-61.3K679.1K-28.7K0.3480.68N/AN/A4281473,9583,655
2020-08-11$41.93$45.0051.9%14.0%44.3%26.4%43.2%8.4%4.1%-27.0K521.9K-30.1K0.0381.22N/AN/A23174,0873,713
2020-08-12$41.82$45.0045.1%12.9%41.8%21.6%44.2%6.9%6.9%-65.0K862.9K-27.8K0.3982.59N/AN/A138544,1363,719
2020-08-13$41.08$45.0045.2%13.0%41.8%21.7%42.3%7.8%9.1%-95.9K1.4M-27.8K0.3583.46N/AN/A106374,1823,741
2020-08-14$41.49$45.0044.7%12.8%41.8%21.4%53.4%8.8%6.8%-69.6K1.2M-27.4K0.4580.06N/AN/A60274,1923,707
2020-08-17$41.38$45.0045.1%12.9%41.8%21.7%45.9%8.2%6.1%-93.7K1.3M-26.1K0.1878.48N/AN/A253454,2133,694
2020-08-18$41.36$45.0044.2%12.7%41.2%21.0%42.1%8.5%4.3%-135.1K1.1M-25.0K0.0328.77N/AN/A8734,2653,673
2020-08-19$40.95$45.0042.6%12.2%41.2%19.9%44.0%6.7%4.8%-140.6K1.8M-24.4K0.2383.84N/AN/A52124,2883,672
2020-08-20$40.47$45.0042.3%12.1%41.5%19.7%44.5%9.0%2.1%-163.3K2.0M-23.6K2.1068.15N/AN/A10214,2823,602
2020-08-21$39.20$45.0041.6%11.9%42.8%19.2%41.6%7.3%2.4%-204.8K4.4M-20.3K0.1473.19N/AN/A173244,2793,599
2020-08-24$40.51$45.0040.7%11.7%44.1%18.5%39.8%8.2%2.4%-201.2K2.5M-22.3K0.1372.15N/AN/A137183,4763,129
2020-08-25$40.03$45.0042.8%12.3%42.9%20.0%41.1%6.3%0.0%-186.5K2.6M-22.4K0.2072.78N/AN/A200403,5753,127
2020-08-26$39.93$45.0040.6%11.6%42.8%18.5%44.6%5.8%2.2%-195.7K2.8M-22.6K0.0669.83N/AN/A7953,7373,151
2020-08-27$40.18$45.0042.6%12.2%42.6%19.9%49.1%7.7%1.9%-173.3K2.3M-22.8K1.7971.04N/AN/A711273,8013,146
2020-08-28$40.13$45.0043.6%12.5%41.9%20.6%43.4%6.5%0.9%-158.8K2.2M-23.6K0.1172.90N/AN/A1823,8623,064
2020-08-31$39.78$45.0043.4%12.4%41.4%20.5%0.0%5.8%3.4%-182.0K2.7M-21.9K4.1376.91N/AN/A8333,8603,065