VSAT Options History — November 2021

In November 2021, VSAT traded between $44.18 and $67.08. ATM implied volatility averaged 46.0%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 19.9% (HV 20d: 65.9%). Max pain ranged from $17.50 to $50.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2021-11-08: Highest Volume — 2,583 contracts
  • 2021-11-29: Largest IV spike — 35.1% change
  • 2021-11-30: Highest IV Rank — 54.1%
  • 2021-11-30: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.12$44.18$67.08$61.23$44.18
Max Pain$44.52$17.50$50.00$17.50$50.00
ATM IV46.0%38.9%54.4%48.2%54.4%
Expected Move12.8%11.1%15.6%13.8%15.6%
HV 20d65.9%30.9%78.9%31.8%74.5%
HV 60d46.9%33.2%52.1%33.2%51.9%
IV Rank39.5%27.3%54.1%43.3%54.1%
IV Percentile56.0%25.8%86.1%63.9%86.1%
Term Structure-1.8%-11.7%6.7%-7.3%-11.7%
VWIV45.9%41.6%56.1%46.9%51.3%
Skew 25d1.8%-6.8%11.9%2.2%2.1%
Skew 10d3.9%-7.0%13.9%8.1%9.0%
Call IV 25d45.3%36.0%53.8%47.2%53.8%
Put IV 25d47.1%40.4%55.9%49.4%55.9%
Bid-Ask Spread %66.1544.4099.8786.9073.94
Gamma HHI0.220.180.260.230.26
Net GEX-69.8K-343.4K348.8K106.1K-340.9K
Net DEX-3.5M-25.9M13.6M-14.4M13.6M
Net VEX-125.6K-138.6K-105.7K-111.5K-105.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.472.822.821.01
Total Volume1,471.0958602,5831,3691,428
Total OI16,41713,90418,34313,90416,049

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$61.23$17.5048.2%13.8%31.8%43.3%46.9%2.2%-7.3%106.1K-14.4M-111.5K2.8286.90N/AN/A3581,0115,2208,684
2021-11-02$62.08$17.5049.4%14.2%30.9%45.4%41.9%10.4%-7.9%127.4K-15.5M-115.2K0.5199.87N/AN/A1,4057165,3348,689
2021-11-03$65.05$40.0050.1%14.4%33.9%46.6%56.1%2.8%-6.7%297.3K-22.9M-117.1K1.3892.61N/AN/A5687816,3558,779
2021-11-04$64.99$45.0051.5%11.6%31.2%49.1%46.6%5.8%-3.9%296.4K-21.9M-124.3K1.7245.00N/AN/A4517766,4668,815
2021-11-05$67.08$45.0053.7%12.5%31.7%52.9%43.5%1.2%-1.1%348.8K-25.9M-119.3K0.9844.40N/AN/A7887696,5448,819
2021-11-08$55.84$45.0050.6%13.3%75.1%47.5%45.3%-6.7%5.6%-2.6K-6.6M-129.6K0.6753.10N/AN/A1,5431,0406,8678,846
2021-11-09$54.94$45.0051.6%13.1%75.2%49.2%45.9%1.3%0.1%-33.3K-4.9M-138.6K0.8657.86N/AN/A1,1731,0077,7329,151
2021-11-10$54.58$45.0046.8%13.4%75.2%41.0%45.1%-1.2%-2.4%-9.8K-5.5M-137.7K1.0653.81N/AN/A7618038,1819,165
2021-11-11$54.42$45.0043.0%12.3%75.0%34.5%45.9%-3.0%0.5%-35.9K-5.5M-135.1K0.9356.94N/AN/A9378738,2049,166
2021-11-12$53.60$45.0043.6%12.5%75.0%35.4%45.0%0.9%-1.5%-63.1K-3.7M-137.4K1.5756.72N/AN/A5538688,3889,205
2021-11-15$54.23$45.0041.4%11.9%75.1%31.7%41.8%-6.8%1.0%-23.4K-5.2M-134.1K1.5167.10N/AN/A6459728,4579,216
2021-11-16$52.62$50.0040.4%11.6%75.9%29.9%41.6%3.3%6.7%-121.4K-1.7M-133.4K1.8668.41N/AN/A5119508,6489,311
2021-11-17$53.54$50.0040.3%11.5%76.1%29.7%44.2%2.7%0.9%-78.0K-3.6M-134.9K1.3364.00N/AN/A6288348,7319,299
2021-11-18$50.46$50.0042.3%12.1%78.2%33.3%47.5%-0.1%-4.0%-227.4K1.5M-130.9K0.4759.64N/AN/A5842768,9119,350
2021-11-19$48.71$50.0043.2%12.4%78.9%34.8%47.8%8.5%-2.8%-255.1K6.6M-126.9K0.7162.29N/AN/A6974948,9879,356
2021-11-22$48.59$50.0039.4%11.3%78.5%28.2%43.8%11.9%-2.4%-265.2K7.6M-125.5K1.1262.07N/AN/A6026767,2068,811
2021-11-23$48.43$50.0041.9%12.0%78.5%32.6%43.8%3.5%0.8%-268.7K7.0M-124.7K1.1859.54N/AN/A5596627,3068,509
2021-11-24$48.82$50.0042.0%12.1%78.6%32.8%43.0%2.0%1.6%-256.1K6.2M-123.4K1.4172.18N/AN/A4816767,4388,507
2021-11-26$47.12$50.0038.9%11.1%78.2%27.3%46.2%-5.7%4.3%-318.0K9.3M-118.4K1.5977.36N/AN/A3775987,4758,527
2021-11-29$45.98$50.0052.5%15.0%75.4%50.7%51.5%3.0%-7.4%-343.4K11.1M-113.5K1.6175.41N/AN/A4076557,5298,524
2021-11-30$44.18$50.0054.4%15.6%74.5%54.1%51.3%2.1%-11.7%-340.9K13.6M-105.7K1.0173.94N/AN/A7117177,5938,456