VSAT Options History — January 2021

In January 2021, VSAT traded between $31.49 and $45.29. ATM implied volatility averaged 61.0%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 10.4% (HV 20d: 50.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2021-01-25: Highest Volume — 4,879 contracts
  • 2021-01-27: Largest IV spike — 25.7% change
  • 2021-01-27: Highest IV Rank — 42.5%
  • 2021-01-27: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.10$31.49$45.29$32.06$43.13
Max Pain$34.21$30.00$35.00$30.00$35.00
ATM IV61.0%49.5%81.0%58.8%74.9%
Expected Move18.0%16.4%23.2%17.2%21.5%
HV 20d50.6%39.3%57.1%39.3%55.9%
HV 60d51.3%46.8%55.3%47.0%55.3%
IV Rank29.7%24.7%42.5%31.2%37.9%
IV Percentile63.5%39.7%92.5%59.9%88.1%
Term Structure-4.8%-13.9%-1.8%-2.4%-8.5%
VWIV63.8%58.1%83.3%59.8%79.2%
Skew 25d-0.0%-6.1%3.5%1.8%-2.8%
Skew 10d-0.0%-21.1%7.2%3.1%-3.1%
Call IV 25d63.9%57.2%80.8%60.5%80.1%
Put IV 25d63.9%59.7%77.4%62.3%77.4%
Bid-Ask Spread %49.6720.4074.1032.9361.63
Gamma HHI0.300.230.400.320.28
Net GEX383.0K161.9K655.0K187.3K592.1K
Net DEX-17.6M-39.4M-3.4M-4.0M-32.7M
Net VEX-85.4K-143.1K-31.1K-33.2K-143.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.015.950.180.64
Total Volume1,746.5263414,879341903
Total OI14,921.2119,00821,4029,00821,402

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$32.06$30.0058.8%17.2%39.3%31.2%59.8%1.8%-2.4%187.3K-4.0M-33.2K0.1832.93N/AN/A290517,6491,359
2021-01-05$31.49$30.0055.5%16.9%39.3%28.9%59.4%1.7%-3.1%161.9K-3.4M-31.1K0.0246.77N/AN/A1,440277,7091,371
2021-01-06$33.33$30.0052.8%16.6%45.1%27.1%58.1%2.2%-2.9%264.8K-5.5M-35.8K0.1245.08N/AN/A8461027,9941,365
2021-01-07$33.94$35.0049.5%16.4%45.2%24.7%58.7%3.5%-1.8%299.4K-6.4M-38.8K3.7935.20N/AN/A903418,3731,465
2021-01-08$34.19$35.0050.0%16.7%45.2%25.1%58.4%2.7%-2.6%311.4K-6.5M-41.7K0.0347.97N/AN/A1,883498,3991,784
2021-01-11$34.18$35.0056.8%17.3%45.0%29.8%61.2%2.6%-3.8%371.3K-9.5M-55.1K1.1945.66N/AN/A1,1541,37010,0861,799
2021-01-12$35.53$35.0057.3%17.5%46.9%30.2%61.1%1.6%-3.3%448.0K-12.8M-75.7K0.0653.00N/AN/A1,1047111,0553,086
2021-01-13$34.61$35.0059.3%17.0%47.8%29.8%60.0%0.3%-4.0%447.0K-11.6M-77.2K4.8551.53N/AN/A20297911,5963,107
2021-01-14$38.06$35.0060.6%17.4%56.8%27.0%61.5%0.3%-3.9%310.9K-19.0M-85.8K0.3252.61N/AN/A3,5491,14211,6274,112
2021-01-15$38.83$35.0058.9%16.9%56.5%25.8%59.9%-0.0%-3.4%304.6K-19.2M-93.5K0.0852.26N/AN/A9427912,8174,899
2021-01-19$40.41$35.0060.0%17.2%55.4%26.6%60.5%-0.8%-5.0%349.2K-19.7M-90.1K0.1120.40N/AN/A1,1841349,8194,669
2021-01-20$38.91$35.0059.6%17.1%57.1%26.3%59.5%-0.4%-5.6%331.1K-16.3M-90.1K5.9536.81N/AN/A4232,5179,9264,739
2021-01-21$39.18$35.0059.7%17.1%54.7%26.4%61.3%-1.2%-4.6%297.7K-15.6M-97.7K0.6749.05N/AN/A5553739,9835,435
2021-01-22$40.61$35.0059.8%17.1%53.4%26.5%62.4%-2.5%-3.2%340.8K-19.1M-98.1K0.5652.79N/AN/A1,52485210,1065,351
2021-01-25$42.84$35.0068.2%19.5%54.1%32.8%69.5%2.2%-8.8%368.7K-25.4M-114.5K0.0155.98N/AN/A4,8324711,2296,085
2021-01-26$43.15$35.0064.5%18.5%53.7%30.0%67.5%-1.0%-5.4%655.0K-33.1M-138.4K0.8659.68N/AN/A1,10495214,7356,089
2021-01-27$45.29$35.0081.0%23.2%54.7%42.5%83.3%-4.6%-13.9%608.5K-39.4M-142.6K0.0674.10N/AN/A1,3207815,1126,089
2021-01-28$44.21$35.0071.3%20.4%54.9%35.1%71.1%-6.1%-5.5%626.9K-35.9M-139.2K0.5370.31N/AN/A44223314,9716,111
2021-01-29$43.13$35.0074.9%21.5%55.9%37.9%79.2%-2.8%-8.5%592.1K-32.7M-143.1K0.6461.63N/AN/A55135215,1326,270