VSAT Options History — February 2021

In February 2021, VSAT traded between $45.70 and $60.11. ATM implied volatility averaged 58.1%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 2.2% (HV 20d: 56.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-02-05: Highest Volume — 5,344 contracts
  • 2021-02-04: Largest IV drop — 24.6% change
  • 2021-02-01: Highest IV Rank — 38.7%
  • 2021-02-01: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.60$45.70$60.11$45.85$51.74
Max Pain$42.37$35.00$45.00$35.00$45.00
ATM IV58.1%51.8%75.9%75.9%54.3%
Expected Move16.6%15.4%21.8%21.8%15.6%
HV 20d56.0%51.0%60.3%57.6%56.7%
HV 60d52.1%49.9%56.5%56.5%51.1%
IV Rank21.9%11.8%38.7%38.7%11.8%
IV Percentile51.6%40.1%89.3%89.3%41.3%
Term Structure-1.7%-11.4%2.9%-11.4%-1.6%
VWIV59.6%55.0%78.1%78.1%55.0%
Skew 25d-1.0%-10.7%2.9%-3.7%1.1%
Skew 10d-0.5%-9.7%4.7%-2.7%3.7%
Call IV 25d60.2%54.9%83.2%81.2%54.9%
Put IV 25d59.2%54.2%77.5%77.5%56.0%
Bid-Ask Spread %54.3437.0965.9754.0065.97
Gamma HHI0.200.130.310.280.20
Net GEX623.5K517.9K781.6K645.4K624.5K
Net DEX-59.0M-75.3M-40.1M-40.6M-43.2M
Net VEX-105.3K-143.2K-87.8K-143.2K-103.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.032.600.700.13
Total Volume1,3172725,3441,107395
Total OI22,612.10520,64724,85821,72821,793

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$45.85$35.0075.9%21.8%57.6%38.7%78.1%-3.7%-11.4%645.4K-40.6M-143.2K0.7054.00N/AN/A65345415,3446,384
2021-02-02$45.70$35.0072.3%20.7%56.2%35.9%75.1%-10.7%-7.7%680.5K-40.1M-133.9K0.0360.66N/AN/A1,7775715,1626,072
2021-02-03$47.31$35.0068.6%19.7%54.9%33.2%69.5%1.3%-8.8%767.2K-43.7M-133.6K1.6564.55N/AN/A7941,31415,2566,100
2021-02-04$48.95$35.0051.8%15.9%53.4%20.4%56.3%-1.4%1.1%781.6K-49.4M-122.3K0.2252.87N/AN/A70515815,2836,901
2021-02-05$53.62$35.0056.9%16.6%59.2%24.2%57.8%-1.8%-0.5%724.0K-62.9M-112.4K1.8050.92N/AN/A1,9083,43615,3386,927
2021-02-08$56.92$45.0060.4%16.0%60.3%26.9%56.8%-1.9%0.6%592.0K-70.0M-101.0K2.6049.64N/AN/A5771,50215,1516,675
2021-02-09$58.26$45.0055.9%15.5%59.5%23.5%55.9%-0.1%1.3%592.9K-73.0M-103.3K0.2449.39N/AN/A94522615,2617,314
2021-02-10$60.11$45.0056.1%16.1%59.4%23.7%60.4%-1.5%0.2%519.2K-75.0M-95.8K0.2147.34N/AN/A2,75457214,8447,362
2021-02-11$60.00$45.0057.3%16.4%57.1%24.6%58.1%-1.2%-1.5%616.8K-75.3M-97.4K0.1749.09N/AN/A59610216,6937,759
2021-02-12$59.97$45.0055.4%15.9%52.0%22.2%56.6%-0.4%2.9%605.8K-74.7M-94.7K0.1849.44N/AN/A77613816,6387,813
2021-02-16$59.58$45.0055.7%16.0%53.0%22.0%57.3%0.4%0.7%668.4K-73.7M-97.9K0.4846.83N/AN/A29113916,9867,872
2021-02-17$58.31$45.0055.9%16.0%54.6%20.6%57.0%-1.3%-0.1%651.6K-69.7M-100.0K0.1837.09N/AN/A2314116,9117,938
2021-02-18$58.29$45.0055.0%15.8%51.0%18.5%57.1%-0.1%-1.7%648.3K-69.5M-96.0K0.6253.72N/AN/A25916116,8827,965
2021-02-19$57.14$45.0053.6%15.4%52.8%16.7%55.1%-1.0%0.3%517.9K-66.6M-90.8K0.7157.80N/AN/A23416716,8357,958
2021-02-22$54.84$45.0054.3%15.6%56.5%15.9%57.7%-2.0%0.8%537.6K-51.1M-93.1K0.7061.88N/AN/A26818714,8336,288
2021-02-23$53.66$45.0054.9%15.7%56.0%13.3%55.7%1.5%-1.7%539.6K-47.5M-93.3K1.0061.47N/AN/A31131014,7666,123
2021-02-24$54.71$45.0055.3%15.8%56.0%12.6%55.6%0.7%-2.9%528.4K-50.6M-87.8K0.2056.88N/AN/A1,25225314,6935,954
2021-02-25$52.53$45.0054.7%15.7%57.2%12.1%57.2%2.9%-1.8%604.7K-44.7M-100.3K0.3962.84N/AN/A77730315,4426,114
2021-02-26$51.74$45.0054.3%15.6%56.7%11.8%55.0%1.1%-1.6%624.5K-43.2M-103.9K0.1365.97N/AN/A3514415,5466,247