VSAT Options History — September 2020

In September 2020, VSAT traded between $32.65 and $39.31. ATM implied volatility averaged 48.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 14.9% (HV 20d: 33.2%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-09-01: Highest Volume — 371 contracts
  • 2020-09-28: Largest IV spike — 10.5% change
  • 2020-09-09: Highest IV Rank — 27.7%
  • 2020-09-09: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.68$32.65$39.31$39.31$34.25
Max Pain$35.48$30.00$45.00$45.00$35.00
ATM IV48.1%43.6%53.8%45.1%50.2%
Expected Move13.8%12.5%15.4%12.9%14.4%
HV 20d33.2%24.6%42.8%40.3%37.0%
HV 60d40.2%36.3%45.6%45.6%37.1%
IV Rank23.7%20.6%27.7%21.6%25.2%
IV Percentile49.1%39.7%58.7%48.8%50.8%
Term Structure4.9%0.0%9.6%1.0%5.6%
VWIV46.5%29.6%54.1%29.6%32.1%
Skew 25d8.8%2.6%18.5%16.0%5.2%
Skew 10d17.3%1.8%45.2%45.2%14.2%
Call IV 25d44.4%34.2%49.0%34.2%49.0%
Put IV 25d53.2%48.9%62.1%50.2%54.2%
Bid-Ask Spread %70.0852.0990.7790.0870.41
Gamma HHI0.340.170.750.540.17
Net GEX-67.9K-322.6K41.1K-197.1K37.5K
Net DEX3.0M-312.9K6.5M3.2M-207.1K
Net VEX-12.9K-21.7K-7.1K-20.9K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.910.060.00
Total Volume111.191137137126
Total OI5,744.6193,1757,5016,9413,391

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$39.31$45.0045.1%12.9%40.3%21.6%29.6%16.0%1.0%-197.1K3.2M-20.9K0.0690.08N/AN/A350213,8633,078
2020-09-02$39.17$45.0047.7%13.7%40.1%23.5%48.3%7.4%0.0%-179.4K3.0M-21.7K0.2290.77N/AN/A924,0543,099
2020-09-03$37.46$40.0052.4%15.0%42.8%26.8%47.2%18.5%5.9%-165.4K4.5M-19.1K0.8075.29N/AN/A1581274,0563,100
2020-09-04$37.24$35.0051.6%15.2%24.6%26.2%48.3%7.6%2.7%-163.0K4.8M-18.5K0.8268.10N/AN/A17144,0853,175
2020-09-08$38.08$35.0050.8%14.1%26.4%25.7%53.1%10.8%4.1%-210.4K4.2M-18.6K0.5067.38N/AN/A40204,0883,168
2020-09-09$37.38$35.0053.8%15.4%26.8%27.7%48.0%9.7%4.0%-193.1K5.2M-16.2K0.0154.76N/AN/A14314,1093,180
2020-09-10$35.49$35.0049.0%14.0%31.3%24.4%48.6%8.3%2.7%-61.0K6.5M-12.3K0.3978.39N/AN/A176684,2373,180
2020-09-11$35.91$35.0047.6%13.7%31.9%23.4%47.5%6.2%4.8%-74.9K6.2M-13.3K1.9170.69N/AN/A11214,3093,192
2020-09-14$36.53$35.0049.5%14.2%32.5%24.7%0.0%7.4%1.2%-61.9K6.1M-12.4K0.5874.38N/AN/A1274,3103,152
2020-09-15$35.35$35.0046.9%13.5%33.7%22.9%44.3%5.5%3.6%-14.7K6.4M-11.5K0.5472.33N/AN/A106574,3183,147
2020-09-16$35.60$35.0044.5%12.8%34.1%21.2%42.6%6.9%4.6%-11.3K6.0M-11.3K0.0172.86N/AN/A8614,3863,032
2020-09-17$35.42$35.0046.8%13.4%34.1%22.8%42.9%10.3%7.7%-19.4K4.1M-11.6K0.1070.21N/AN/A217224,4532,514
2020-09-18$35.10$35.0047.4%13.6%34.0%23.3%46.8%6.5%6.0%-322.6K4.1M-10.8K0.6780.03N/AN/A49334,6182,518
2020-09-21$34.94$35.0047.9%13.7%32.8%23.6%43.9%6.6%6.1%39.6K-240.6K-10.1K0.0368.20N/AN/A6022,549626
2020-09-22$34.59$35.0046.5%13.3%29.4%22.6%51.4%11.9%7.9%41.1K-312.9K-10.8K0.0166.54N/AN/A8212,560628
2020-09-23$33.52$35.0046.8%13.4%30.6%22.8%50.1%7.3%6.7%24.9K103.8K-8.4K0.0052.09N/AN/A7802,604629
2020-09-24$32.65$30.0047.1%13.5%31.1%23.0%52.3%6.0%6.6%21.1K195.8K-8.1K0.0659.58N/AN/A5332,605629
2020-09-25$32.70$30.0043.6%12.5%30.8%20.6%54.1%7.8%9.6%15.4K198.4K-7.1K0.1359.63N/AN/A1522,652632
2020-09-28$34.27$30.0048.2%13.8%36.8%23.8%50.6%2.6%5.2%29.2K-224.5K-8.8K0.1757.27N/AN/A178312,662664
2020-09-29$34.32$35.0046.4%13.3%37.0%22.6%48.5%16.7%7.3%39.3K-254.0K-9.5K0.0672.66N/AN/A3422,702683
2020-09-30$34.25$35.0050.2%14.4%37.0%25.2%32.1%5.2%5.6%37.5K-207.1K-9.2K0.0070.41N/AN/A2602,706685