VSAT Options History — November 2020

In November 2020, VSAT traded between $32.38 and $36.74. ATM implied volatility averaged 50.0%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 5.5% (HV 20d: 55.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2020-11-27: Highest Volume — 985 contracts
  • 2020-11-06: Largest IV drop — 25.4% change
  • 2020-11-04: Highest IV Rank — 38.6%
  • 2020-11-04: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.92$32.38$36.74$34.61$34.05
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV50.0%41.3%69.4%63.7%46.4%
Expected Move14.1%11.8%19.9%18.3%13.3%
HV 20d55.4%27.2%66.9%27.2%66.9%
HV 60d40.7%29.0%45.5%29.0%45.3%
IV Rank25.1%19.0%38.6%34.7%22.6%
IV Percentile44.2%23.8%83.3%71.4%38.5%
Term Structure-0.6%-17.0%9.6%-10.4%2.4%
VWIV50.4%43.1%67.6%65.1%48.4%
Skew 25d3.0%-9.1%14.9%14.9%4.8%
Skew 10d2.7%-20.2%33.6%20.4%6.5%
Call IV 25d49.7%41.9%67.5%61.6%49.1%
Put IV 25d52.7%38.2%76.5%76.5%53.9%
Bid-Ask Spread %75.5464.1690.3387.9584.25
Gamma HHI0.230.180.600.190.32
Net GEX51.9K5.3K171.4K20.2K89.8K
Net DEX-720.8K-1.5M411.3K-179.2K-1.4M
Net VEX-9.2K-12.9K-6.9K-8.6K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.000.950.000.12
Total Volume228.55398557701
Total OI4,109.653,6085,0573,6085,057

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$34.61$35.0063.7%18.3%27.2%34.7%65.1%14.9%-10.4%20.2K-179.2K-8.6K0.0087.95N/AN/A5702,785823
2020-11-03$35.14$35.0068.3%19.6%27.6%37.9%67.4%5.7%-11.7%31.9K-488.7K-9.4K0.9586.03N/AN/A1431362,785823
2020-11-04$32.38$35.0069.4%19.9%40.4%38.6%67.6%3.3%-17.0%5.3K411.3K-6.9K0.1082.27N/AN/A9292,879811
2020-11-05$33.33$35.0062.5%14.8%40.8%33.8%53.7%12.8%0.4%17.3K97.5K-7.7K0.0779.16N/AN/A247182,933813
2020-11-06$33.35$35.0046.6%14.2%40.1%22.7%48.6%5.5%0.5%23.0K-13.6K-8.2K0.1890.33N/AN/A76143,163811
2020-11-09$36.74$35.0051.7%13.6%53.5%26.3%47.5%7.1%3.0%69.2K-1.4M-9.6K0.5173.90N/AN/A149763,184812
2020-11-10$34.57$35.0049.5%13.5%56.9%24.8%48.1%1.7%2.3%32.1K-354.8K-8.2K0.3369.47N/AN/A40133,186814
2020-11-11$34.33$35.0046.2%13.2%56.6%22.4%47.0%2.7%1.4%29.9K-294.4K-8.3K0.1364.63N/AN/A130173,209825
2020-11-12$33.19$35.0051.1%14.6%57.8%25.8%52.2%-0.1%-6.1%25.9K-30.2K-8.0K0.5682.01N/AN/A77433,309831
2020-11-13$34.62$35.0045.5%13.0%59.8%21.9%46.8%3.8%1.2%45.4K-506.6K-9.1K0.5076.23N/AN/A82413,375867
2020-11-16$36.60$35.0046.2%13.2%62.8%22.4%45.7%7.9%1.5%66.7K-1.4M-9.6K0.1164.16N/AN/A210243,398875
2020-11-17$35.53$35.0045.4%13.0%63.6%21.9%45.8%-0.2%3.1%53.3K-901.4K-9.2K0.4971.66N/AN/A41203,473879
2020-11-18$36.35$35.0044.9%12.9%64.1%21.5%43.1%5.8%9.6%57.0K-1.4M-9.4K0.7976.69N/AN/A68543,484879
2020-11-19$34.98$35.0041.3%11.8%65.5%19.0%57.5%-6.9%6.2%52.5K-669.2K-9.0K0.0476.06N/AN/A305113,530912
2020-11-20$34.95$35.0045.0%12.9%65.2%21.5%45.1%0.9%-2.3%171.4K-624.1K-8.8K0.1470.68N/AN/A240333,693918
2020-11-23$35.78$35.0043.3%12.4%64.4%20.4%44.0%-1.0%1.6%52.4K-1.0M-9.9K0.0366.77N/AN/A12543,151705
2020-11-24$36.68$35.0043.6%12.5%64.9%20.6%43.8%-0.3%-1.4%68.3K-1.5M-10.7K0.0569.03N/AN/A17393,217705
2020-11-25$35.78$35.0042.4%12.1%65.1%19.7%43.4%1.5%0.0%62.7K-1.4M-10.6K0.1168.40N/AN/A96113,385713
2020-11-27$35.44$35.0046.3%13.3%65.2%22.5%47.5%-9.1%3.4%63.5K-1.4M-10.9K0.0371.03N/AN/A961243,469712
2020-11-30$34.05$35.0046.4%13.3%66.9%22.6%48.4%4.8%2.4%89.8K-1.4M-12.9K0.1284.25N/AN/A624774,323734