VSAT Options History — December 2021

In December 2021, VSAT traded between $42.17 and $47.86. ATM implied volatility averaged 51.2%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.2% (HV 20d: 51.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.84.

Notable Days

  • 2021-12-17: Highest Volume — 2,036 contracts
  • 2021-12-03: Largest IV spike — 42.6% change
  • 2021-12-14: Highest IV Rank — 89.4%
  • 2021-12-03: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.11$42.17$47.86$44.32$44.78
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV51.2%40.5%74.9%56.2%43.6%
Expected Move14.1%11.6%19.7%16.1%12.5%
HV 20d51.4%43.7%74.0%74.0%44.7%
HV 60d53.8%51.8%54.9%51.8%54.4%
IV Rank48.5%30.1%89.4%57.2%35.4%
IV Percentile69.2%34.9%99.2%91.3%51.2%
Term Structure2.3%-5.1%13.1%-5.1%5.0%
VWIV47.3%40.5%66.6%41.7%41.5%
Skew 25d5.7%-8.9%15.7%6.2%2.4%
Skew 10d6.4%-6.2%25.1%-6.2%19.9%
Call IV 25d47.0%40.3%60.7%47.5%42.5%
Put IV 25d52.7%39.2%76.4%53.7%44.9%
Bid-Ask Spread %73.6561.3883.7783.0168.48
Gamma HHI0.310.250.460.250.29
Net GEX-406.3K-891.8K-229.4K-341.9K-279.1K
Net DEX12.1M7.4M18.2M12.9M12.0M
Net VEX-99.6K-117.7K-86.5K-108.3K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.841.084.601.082.14
Total Volume1,555.1361,2922,0361,3461,390
Total OI15,061.68212,46617,04616,12212,745

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$44.32$50.0056.2%16.1%74.0%57.2%41.7%6.2%-5.1%-341.9K12.9M-108.3K1.0883.01N/AN/A6486987,6438,479
2021-12-02$43.80$50.0048.3%13.8%70.2%43.5%48.3%-5.1%5.3%-412.3K15.1M-101.0K1.6882.13N/AN/A6141,0327,6408,576
2021-12-03$42.17$50.0068.8%19.7%70.1%79.0%66.6%15.7%-4.6%-328.5K16.2M-102.0K1.7583.77N/AN/A5951,0427,6568,896
2021-12-06$44.59$50.0052.9%15.1%73.0%51.4%52.4%4.2%2.8%-423.7K13.6M-108.0K2.0061.38N/AN/A5011,0027,6658,913
2021-12-07$46.23$50.0047.8%14.4%43.7%42.7%48.5%12.1%-2.6%-424.7K10.7M-113.4K2.0065.93N/AN/A5471,0927,7588,920
2021-12-08$47.86$50.0047.0%13.5%46.3%41.4%49.0%2.6%-3.8%-357.5K7.4M-117.7K3.2371.22N/AN/A3591,1587,8169,025
2021-12-09$46.48$50.0050.2%13.9%47.0%46.9%48.2%5.7%4.2%-480.4K10.4M-113.2K2.9468.84N/AN/A3641,0707,8259,126
2021-12-10$46.62$50.0048.1%13.4%47.1%43.2%45.9%0.3%4.1%-511.7K10.2M-111.7K2.6971.09N/AN/A4151,1177,8339,146
2021-12-13$45.45$50.0062.6%13.3%47.5%68.3%47.2%3.6%3.3%-573.6K13.0M-103.4K2.2564.65N/AN/A4911,1047,8409,172
2021-12-14$44.69$50.0074.9%13.5%47.0%89.4%40.5%4.2%3.7%-584.1K14.8M-99.3K2.6371.46N/AN/A4961,3027,8669,180
2021-12-15$45.30$50.0046.6%13.3%47.0%40.5%45.6%-8.9%6.8%-646.1K12.7M-101.1K2.8674.51N/AN/A4471,2777,8819,091
2021-12-16$43.50$50.0058.3%16.7%47.4%60.7%41.7%6.2%-1.8%-587.5K18.2M-88.8K2.7672.62N/AN/A4581,2667,8959,084
2021-12-17$45.57$50.0051.6%14.8%47.8%49.2%49.7%14.8%1.5%-891.8K12.3M-98.0K1.8367.24N/AN/A7191,3177,9099,107
2021-12-20$44.48$50.0052.7%15.1%47.1%51.1%50.3%8.7%3.8%-229.4K11.3M-94.2K3.4975.03N/AN/A3631,2685,4387,028
2021-12-21$46.03$50.0049.4%14.2%49.0%45.5%47.7%11.3%3.7%-239.7K9.4M-99.2K4.5175.93N/AN/A2781,2555,4797,035
2021-12-22$45.65$50.0045.1%12.9%49.1%38.0%43.7%5.8%4.3%-263.7K10.4M-92.9K4.5570.62N/AN/A2761,2575,5237,037
2021-12-23$45.58$50.0045.7%13.1%48.9%39.1%48.1%11.1%1.1%-258.7K9.9M-94.3K4.2879.30N/AN/A2881,2345,5387,043
2021-12-27$44.77$50.0044.2%12.7%47.8%36.5%43.6%2.1%13.1%-273.0K11.4M-90.1K4.6071.18N/AN/A2681,2345,5597,066
2021-12-28$44.83$50.0044.5%12.8%47.1%37.1%51.3%12.4%-1.5%-253.0K10.5M-92.3K3.9281.09N/AN/A2701,0585,5687,069
2021-12-29$44.69$50.0046.9%13.4%44.8%41.1%47.8%4.3%-1.2%-279.9K11.5M-89.1K2.7981.97N/AN/A3419515,5707,076
2021-12-30$44.98$50.0040.5%11.6%44.9%30.1%42.1%5.8%9.2%-299.5K11.8M-86.5K2.4078.86N/AN/A3979545,5657,076
2021-12-31$44.78$50.0043.6%12.5%44.7%35.4%41.5%2.4%5.0%-279.1K12.0M-86.8K2.1468.48N/AN/A4439475,6657,080