VSAT Options History — December 2020

In December 2020, VSAT traded between $30.32 and $35.21. ATM implied volatility averaged 49.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.0% (HV 20d: 44.0%). 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 20 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2020-12-21: Highest Volume — 1,596 contracts
  • 2020-12-28: Largest IV spike — 5.2% change
  • 2020-12-22: Highest IV Rank — 27.6%
  • 2020-12-22: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.64$30.32$35.21$34.84$32.82
Max Pain$33.41$30.00$35.00$35.00$30.00
ATM IV49.1%45.9%53.6%46.9%49.9%
Expected Move14.1%13.4%15.4%13.4%14.3%
HV 20d44.0%31.4%66.9%66.9%39.1%
HV 60d44.9%43.6%46.7%45.6%46.7%
IV Rank24.4%22.2%27.6%22.9%25.0%
IV Percentile43.3%35.7%52.4%40.5%42.1%
Term Structure3.9%-3.9%7.1%1.4%6.3%
VWIV51.2%47.2%60.4%47.2%52.6%
Skew 25d1.2%-2.1%4.1%1.2%1.2%
Skew 10d-0.7%-10.6%18.6%2.1%-6.3%
Call IV 25d50.9%47.3%54.3%49.7%50.9%
Put IV 25d52.1%49.1%58.2%50.9%52.1%
Bid-Ask Spread %59.9115.2576.0974.9355.70
Gamma HHI0.370.340.420.360.34
Net GEX179.3K110.0K332.3K113.2K227.6K
Net DEX-3.4M-7.9M-1.3M-2.0M-4.9M
Net VEX-25.4K-41.9K-15.3K-15.5K-35.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.020.390.080.07
Total Volume742.6361751,596331348
Total OI7,418.3645,3109,6365,3108,968

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$34.84$35.0046.9%13.4%66.9%22.9%47.2%1.2%1.4%113.2K-2.0M-15.5K0.0874.93N/AN/A306254,546764
2020-12-02$34.39$35.0047.6%13.6%66.8%23.4%48.0%2.0%-0.2%110.0K-1.8M-15.3K0.0976.09N/AN/A163154,690777
2020-12-03$34.88$35.0045.9%13.8%59.8%22.2%50.0%-0.3%2.8%130.0K-2.2M-15.8K0.0465.35N/AN/A437174,778781
2020-12-04$35.21$35.0046.3%13.6%59.1%22.5%48.8%1.7%2.8%145.1K-2.5M-16.8K0.2059.24N/AN/A146294,874797
2020-12-07$35.05$35.0046.8%13.7%59.1%22.8%51.4%0.6%2.6%144.0K-2.5M-16.6K0.0557.32N/AN/A555294,926815
2020-12-08$34.40$35.0048.1%13.9%47.8%23.7%51.7%-1.1%3.0%132.2K-2.0M-15.6K0.2065.61N/AN/A309615,052820
2020-12-09$34.72$35.0047.1%13.5%42.9%23.0%47.4%3.2%4.3%142.5K-2.2M-16.3K0.0262.90N/AN/A417105,159871
2020-12-10$34.39$35.0048.6%13.9%42.9%24.1%50.6%0.9%2.5%154.0K-2.4M-18.2K0.2464.73N/AN/A257625,497872
2020-12-11$34.89$35.0046.9%13.4%41.3%22.9%47.7%1.8%5.5%169.3K-3.0M-20.2K0.1464.53N/AN/A627885,595919
2020-12-14$34.64$35.0048.5%13.9%38.6%24.0%49.2%2.1%3.0%183.4K-3.0M-20.9K0.1068.67N/AN/A549576,042995
2020-12-15$33.51$35.0047.7%13.7%34.3%23.4%49.1%-0.7%4.9%158.2K-2.2M-21.2K0.3971.75N/AN/A4321706,3381,023
2020-12-16$33.03$35.0048.3%13.8%33.2%23.9%51.1%-1.3%3.1%150.6K-1.8M-21.2K0.3271.75N/AN/A5081646,6871,132
2020-12-17$31.97$35.0049.8%14.3%33.2%24.9%53.3%0.8%6.2%116.8K-1.3M-22.5K0.1362.35N/AN/A1,2741717,1171,239
2020-12-18$31.33$35.0050.4%14.4%31.4%25.3%53.1%1.7%6.3%122.9K-1.8M-25.6K0.1165.43N/AN/A1,4051497,8591,327
2020-12-21$30.32$35.0052.8%15.1%32.8%27.1%60.4%4.1%-3.9%130.7K-2.6M-28.1K0.2370.90N/AN/A1,2933036,415919
2020-12-22$31.96$30.0053.6%15.4%37.7%27.6%53.8%1.5%5.1%186.5K-4.7M-34.2K0.0445.38N/AN/A1,528626,9611,186
2020-12-23$33.45$30.0051.2%14.7%40.5%25.9%52.0%2.4%6.3%284.1K-7.0M-41.4K0.0757.83N/AN/A1,340898,1451,204
2020-12-24$33.20$30.0049.9%14.3%39.8%25.0%51.4%1.2%6.9%286.1K-6.7M-41.9K0.1442.82N/AN/A330458,3621,274
2020-12-28$34.30$30.0052.5%15.0%41.8%26.8%52.9%2.4%4.6%332.3K-7.9M-41.7K0.0315.25N/AN/A1,387458,2781,249
2020-12-29$33.54$30.0050.6%14.5%40.1%25.5%53.8%2.3%7.1%277.3K-5.9M-38.0K0.0637.15N/AN/A764447,7431,280
2020-12-30$33.15$30.0050.3%14.4%39.2%25.3%51.2%-2.1%6.1%248.0K-5.4M-36.5K0.2162.43N/AN/A272567,6201,308
2020-12-31$32.82$30.0049.9%14.3%39.1%25.0%52.6%1.2%6.3%227.6K-4.9M-35.8K0.0755.70N/AN/A324247,6311,337