VSAT Options History — October 2020

In October 2020, VSAT traded between $33.73 and $36.12. ATM implied volatility averaged 56.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 27.3% (HV 20d: 29.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2020-10-12: Highest Volume — 403 contracts
  • 2020-10-13: Largest IV spike — 59.4% change
  • 2020-10-13: Highest IV Rank — 39.6%
  • 2020-10-30: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.65$33.73$36.12$34.10$33.83
Max Pain$34.55$30.00$35.00$35.00$35.00
ATM IV56.7%41.0%70.7%46.4%69.0%
Expected Move17.0%12.8%19.8%13.3%19.8%
HV 20d29.4%25.1%37.0%37.0%25.9%
HV 60d35.3%34.6%36.6%36.6%34.6%
IV Rank29.8%18.8%39.6%22.5%38.4%
IV Percentile61.4%29.0%85.7%44.0%82.5%
Term Structure-6.7%-22.7%11.7%7.6%-13.2%
VWIV60.4%46.4%74.6%46.4%71.1%
Skew 25d7.8%3.2%13.0%13.0%5.6%
Skew 10d28.5%1.0%62.1%38.6%32.2%
Call IV 25d54.7%37.8%66.9%39.9%66.9%
Put IV 25d62.4%50.6%72.5%52.9%72.5%
Bid-Ask Spread %79.2466.4089.6066.4079.12
Gamma HHI0.200.170.370.170.20
Net GEX42.5K20.6K85.2K34.9K20.6K
Net DEX-423.2K-1.0M-87.2K-189.5K-121.8K
Net VEX-9.7K-11.0K-8.6K-9.4K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.001.960.070.67
Total Volume101.682174032960
Total OI3,666.8643,2844,1843,4083,621

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$34.10$35.0046.4%13.3%37.0%22.5%46.4%13.0%7.6%34.9K-189.5K-9.4K0.0766.40N/AN/A2722,723685
2020-10-02$34.51$35.0044.5%12.8%34.7%21.3%46.9%12.8%11.7%45.2K-382.5K-10.0K0.0175.10N/AN/A10112,732687
2020-10-05$34.35$35.0044.9%15.9%34.7%21.5%0.0%10.9%-6.2%40.5K-257.7K-9.4K0.0070.45N/AN/A1702,831687
2020-10-06$34.22$35.0045.7%16.2%33.3%22.1%53.1%8.7%-6.5%41.8K-290.6K-9.7K0.0369.69N/AN/A19052,833687
2020-10-07$34.20$35.0044.8%15.9%32.9%21.4%0.0%7.8%-7.3%48.9K-357.5K-9.5K0.0075.18N/AN/A5603,009688
2020-10-08$35.07$35.0041.0%16.0%29.4%18.8%52.8%9.0%-5.7%63.2K-758.3K-10.9K0.0078.44N/AN/A8103,057688
2020-10-09$35.73$35.0048.5%16.4%29.8%24.0%53.9%12.4%-4.3%64.0K-810.1K-9.9K0.0085.25N/AN/A2503,066688
2020-10-12$36.12$35.0044.4%17.5%29.4%21.1%58.1%11.1%-5.2%64.1K-1.0M-9.9K0.1285.03N/AN/A360433,082688
2020-10-13$35.08$35.0070.7%16.5%28.9%39.6%61.2%7.0%-8.1%59.7K-685.3K-9.8K0.0978.52N/AN/A7773,371718
2020-10-14$34.42$35.0058.5%16.8%29.5%31.1%69.9%7.8%-6.0%63.4K-387.0K-9.6K0.0780.09N/AN/A5843,402723
2020-10-15$34.48$30.0058.7%16.8%29.5%31.2%55.7%8.5%-4.9%85.2K-296.3K-8.9K0.5373.93N/AN/A34183,459723
2020-10-16$34.73$30.0058.0%16.6%29.5%30.6%60.1%7.1%-4.0%31.5K-148.3K-9.2K1.6782.15N/AN/A54903,446738
2020-10-19$34.34$35.0061.7%17.7%29.7%33.3%58.7%3.2%-10.1%22.2K-142.2K-8.6K0.1688.30N/AN/A184302,600684
2020-10-20$34.92$35.0067.1%19.2%30.2%37.0%74.6%4.6%-22.7%37.1K-581.8K-10.7K0.0184.36N/AN/A19512,743706
2020-10-21$34.78$35.0061.0%17.5%27.8%32.8%60.4%4.5%-8.2%33.3K-517.4K-10.0K0.0084.11N/AN/A1702,740707
2020-10-22$35.22$35.0060.4%17.3%25.9%32.3%61.0%7.5%-6.2%42.7K-741.9K-11.0K1.6479.59N/AN/A641052,752707
2020-10-23$35.79$35.0061.0%17.5%26.3%32.8%54.8%5.1%-7.3%38.5K-712.3K-10.8K0.6589.60N/AN/A23152,796795
2020-10-26$34.51$35.0065.4%18.8%25.1%35.9%65.8%5.8%-9.9%26.7K-358.6K-9.9K1.9675.10N/AN/A48942,800798
2020-10-27$34.49$35.0062.0%17.8%25.1%33.5%63.7%6.5%-7.8%27.7K-369.2K-9.8K0.3180.29N/AN/A67212,813795
2020-10-28$33.73$35.0067.3%19.3%26.3%37.2%74.0%7.0%-12.9%21.5K-95.3K-9.1K0.5281.69N/AN/A23122,788811
2020-10-29$33.77$35.0066.6%19.1%26.3%36.7%65.8%4.5%-11.3%22.3K-87.2K-9.1K0.6580.91N/AN/A17112,790814
2020-10-30$33.83$35.0069.0%19.8%25.9%38.4%71.1%5.6%-13.2%20.6K-121.8K-8.9K0.6779.12N/AN/A36242,801820