VSAT Options History — November 2022

In November 2022, VSAT traded between $29.92 and $41.34. ATM implied volatility averaged 54.5%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 25.3% (HV 20d: 79.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2022-11-09: Highest Volume — 2,023 contracts
  • 2022-11-09: Largest IV drop — 26.1% change
  • 2022-11-07: Highest IV Rank — 78.3%
  • 2022-11-02: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.14$29.92$41.34$41.34$33.89
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV54.5%42.9%74.3%61.0%45.8%
Expected Move15.0%12.3%18.3%17.5%13.1%
HV 20d79.7%51.1%94.7%51.9%90.6%
HV 60d80.3%71.4%85.2%72.5%83.3%
IV Rank41.7%20.3%78.3%53.8%25.7%
IV Percentile48.4%4.4%98.4%78.6%15.5%
Term Structure-1.7%-5.7%4.0%-3.3%0.7%
VWIV52.3%43.7%57.5%48.4%55.3%
Skew 25d5.1%1.3%8.0%4.8%4.9%
Skew 10d20.9%5.9%36.1%26.3%11.0%
Call IV 25d51.4%39.9%64.0%60.0%47.4%
Put IV 25d56.5%47.5%65.2%64.9%52.3%
Bid-Ask Spread %71.7329.2284.3278.8781.12
Gamma HHI0.220.170.560.180.19
Net GEX34.1K-93.4K133.6K133.6K14.0K
Net DEX-616.4K-4.2M2.5M-4.2M270.3K
Net VEX-15.4K-23.1K-10.8K-23.1K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.2521.000.520.91
Total Volume1,042.952102,02398621
Total OI6,714.815,8297,4266,8135,982

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$41.34$40.0061.0%17.5%51.9%53.8%48.4%4.8%-3.3%133.6K-4.2M-23.1K0.5278.87N/AN/A6503364,5442,269
2022-11-02$40.39$40.0063.8%18.3%52.1%59.0%54.9%1.3%-3.3%125.1K-3.7M-23.0K0.5284.32N/AN/A6543424,5462,275
2022-11-03$38.86$35.0065.1%15.9%53.6%61.3%56.7%5.6%-2.9%101.5K-2.6M-20.0K0.5474.22N/AN/A6353424,5812,276
2022-11-04$38.05$35.0063.7%16.2%51.1%58.6%57.5%4.5%-4.0%87.1K-2.0M-18.8K0.5772.76N/AN/A6473664,5772,275
2022-11-07$36.80$35.0074.3%17.2%52.4%78.3%57.3%3.9%-5.0%61.2K-1.2M-17.3K0.5467.73N/AN/A6463524,5682,266
2022-11-08$36.66$35.0074.2%17.2%51.8%78.1%55.5%6.1%-5.7%57.9K-1.1M-17.0K0.6165.01N/AN/A6814144,5662,244
2022-11-09$29.92$35.0054.9%15.7%87.7%42.4%56.7%2.5%-3.3%-93.4K2.5M-10.8K1.0264.06N/AN/A1,0001,0234,6252,287
2022-11-10$32.65$35.0050.7%14.5%92.8%34.7%52.2%7.4%-2.5%-39.5K566.0K-14.8K0.7578.58N/AN/A9577184,8172,533
2022-11-11$34.20$35.0049.6%14.2%94.6%32.7%50.3%4.3%-0.5%271-53.2K-15.4K0.7483.01N/AN/A1,0077444,7672,468
2022-11-14$35.83$35.0051.1%14.6%94.7%35.4%54.5%6.2%-0.3%59.6K-1.0M-16.3K0.8575.86N/AN/A8046854,9362,459
2022-11-15$35.90$35.0052.1%14.9%94.3%37.3%50.5%4.4%-1.6%55.9K-1.2M-16.1K1.0165.73N/AN/A6596654,9342,492
2022-11-16$34.45$35.0050.5%14.5%90.9%34.3%55.4%5.3%-2.1%22.5K-287.6K-15.0K1.0575.96N/AN/A6546844,9302,493
2022-11-17$33.87$35.0053.2%15.3%90.7%39.4%53.1%4.1%-4.0%20.1K-40.7K-14.2K1.0369.19N/AN/A6736934,9232,503
2022-11-18$34.11$35.0050.0%14.3%89.9%33.5%53.3%3.9%-1.3%23.2K38.1K-14.2K1.0470.55N/AN/A6696994,9112,504
2022-11-21$33.85$35.0047.6%13.6%89.8%29.0%49.2%4.4%1.3%19.0K-30.0K-13.3K0.9529.22N/AN/A5705414,1701,659
2022-11-22$33.88$35.0044.9%12.9%89.6%23.9%46.2%4.7%2.4%17.5K114.6K-13.2K0.9170.69N/AN/A5965424,1841,666
2022-11-23$34.01$35.0042.9%12.3%89.2%20.3%44.2%7.6%4.0%27.5K-128.7K-12.8K0.9375.54N/AN/A5775364,2241,675
2022-11-25$34.36$35.0043.7%12.5%89.4%21.9%43.7%6.6%3.1%26.7K-171.1K-13.7K21.0075.13N/AN/A2424,2201,715
2022-11-28$32.56$35.0049.4%14.2%88.7%32.4%51.2%7.6%-1.9%-1.6K586.0K-11.7K0.0066.90N/AN/A0664,2221,750
2022-11-29$32.42$35.0055.6%15.9%88.6%43.8%0.0%8.0%-4.6%-2.8K662.8K-11.6K0.2581.92N/AN/A824,2241,751
2022-11-30$33.89$35.0045.8%13.1%90.6%25.7%55.3%4.9%0.7%14.0K270.3K-12.0K0.9181.12N/AN/A11104,2291,753