VSAT Options History — September 2021

In September 2021, VSAT traded between $47.76 and $55.70. ATM implied volatility averaged 36.9%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.0% (HV 20d: 35.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2021-09-17: Highest Volume — 5,696 contracts
  • 2021-09-07: Largest IV spike — 15.8% change
  • 2021-09-20: Highest IV Rank — 30.7%
  • 2021-09-20: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.87$47.76$55.70$51.77$55.27
Max Pain$49.76$45.00$50.00$45.00$50.00
ATM IV36.9%32.1%42.8%35.5%38.0%
Expected Move10.6%10.0%12.3%10.2%10.9%
HV 20d35.8%32.6%40.7%40.7%36.0%
HV 60d36.1%35.3%37.3%36.5%35.8%
IV Rank20.1%11.5%30.7%17.6%22.1%
IV Percentile11.4%0.4%34.1%3.6%21.0%
Term Structure4.3%1.1%6.9%1.1%6.1%
VWIV36.6%33.2%40.9%35.6%38.5%
Skew 25d3.1%1.5%5.6%2.3%2.4%
Skew 10d8.8%-0.7%27.7%2.3%6.1%
Call IV 25d36.0%33.7%39.8%35.0%37.7%
Put IV 25d39.2%37.2%45.5%37.2%40.1%
Bid-Ask Spread %58.8235.4677.6668.2036.77
Gamma HHI0.380.180.800.410.19
Net GEX590.7K-333.7K3.5M742.2K6.7K
Net DEX-3.8M-21.6M9.8M-13.2M-4.3M
Net VEX-150.2K-172.5K-127.0K-172.2K-128.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0227.420.060.77
Total Volume659.095605,6968262
Total OI19,073.38112,88423,37722,78512,946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$51.77$45.0035.5%10.2%40.7%17.6%35.6%2.3%1.1%742.2K-13.2M-172.2K0.0668.20N/AN/A7759,97212,813
2021-09-02$52.39$50.0035.8%10.5%32.6%18.1%33.2%2.5%0.0%752.3K-16.4M-171.3K0.0266.38N/AN/A178310,04212,823
2021-09-03$49.93$50.0032.1%10.2%36.6%11.5%34.6%3.1%0.0%968.1K-5.1M-172.5K0.1562.91N/AN/A2373610,08112,825
2021-09-07$50.64$50.0037.2%10.6%36.8%20.7%35.3%3.6%0.0%1.0M-8.3M-167.2K0.7339.76N/AN/A17012410,09112,883
2021-09-08$50.12$50.0037.1%10.6%34.9%20.5%36.5%4.0%0.0%1.2M-5.3M-165.4K0.1636.50N/AN/A2043310,11412,911
2021-09-09$49.40$50.0036.3%10.4%34.4%19.1%36.5%3.4%0.0%1.1M-1.2M-161.1K0.5141.80N/AN/A934710,15812,848
2021-09-10$48.74$50.0036.5%10.5%34.4%19.4%36.8%1.5%0.0%1.1M2.6M-159.3K0.3045.87N/AN/A812410,29412,854
2021-09-13$49.67$50.0037.3%10.7%35.5%20.8%37.6%3.1%0.0%1.7M-3.1M-156.5K0.3670.05N/AN/A441610,28912,870
2021-09-14$47.76$50.0036.6%10.5%37.5%19.6%36.5%3.8%0.0%492.6K9.8M-146.3K0.8050.05N/AN/A967710,34912,876
2021-09-15$48.60$50.0035.7%10.2%35.4%18.0%35.9%3.1%0.0%1.4M6.3M-149.2K0.1368.38N/AN/A2793510,37912,874
2021-09-16$50.98$50.0037.0%10.6%39.4%20.3%35.2%2.5%4.5%3.5M-17.4M-149.6K1.3435.46N/AN/A20427310,44912,907
2021-09-17$50.98$50.0037.9%10.9%37.2%21.9%36.8%2.8%4.4%-333.7K-21.6M-145.6K0.0755.68N/AN/A5,30139510,47712,900
2021-09-20$51.73$50.0042.8%12.3%34.9%30.7%40.9%5.6%1.7%-279.8K4.9M-142.9K0.1663.78N/AN/A295484,1429,422
2021-09-21$52.56$50.0038.8%11.1%34.0%23.6%39.1%4.9%4.4%-276.9K3.5M-145.4K1.4960.53N/AN/A1682504,3829,761
2021-09-22$54.18$50.0036.8%10.5%35.6%19.9%37.1%3.1%5.0%-223.2K891.1K-144.0K0.2668.16N/AN/A110294,4469,803
2021-09-23$54.85$50.0034.8%10.0%35.4%16.4%34.9%3.5%1.1%-163.1K-1.1M-141.8K2.1861.29N/AN/A1312864,5949,574
2021-09-24$55.03$50.0035.1%10.1%34.9%16.9%35.2%3.0%6.9%-115.8K-1.9M-141.2K27.4271.47N/AN/A1383,7844,7599,579
2021-09-27$54.59$50.0036.2%10.4%35.0%18.8%36.8%2.0%5.9%-116.7K-1.4M-139.1K0.6877.63N/AN/A56384,7469,485
2021-09-28$54.28$50.0039.3%11.3%35.0%24.5%40.9%2.9%4.3%-31.5K-2.3M-128.8K2.4176.80N/AN/A952294,8308,054
2021-09-29$55.70$50.0037.2%10.7%35.8%20.8%35.1%2.5%5.9%15.5K-4.7M-127.0K0.5377.66N/AN/A59314,8508,089
2021-09-30$55.27$50.0038.0%10.9%36.0%22.1%38.5%2.4%6.1%6.7K-4.3M-128.1K0.7736.77N/AN/A35274,8958,051