VSAT Options History — September 2023

In September 2023, VSAT traded between $17.66 and $28.87. ATM implied volatility averaged 53.5%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 6.4% (HV 20d: 59.9%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.28.

Notable Days

  • 2023-09-21: Highest Volume — 9,509 contracts
  • 2023-09-12: Largest IV spike — 30.4% change
  • 2023-09-26: Highest IV Rank — 80.4%
  • 2023-09-26: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.52$17.66$28.87$28.87$18.49
Max Pain$26.50$20.00$30.00$30.00$20.00
ATM IV53.5%40.1%68.8%40.1%68.5%
Expected Move15.2%11.5%19.7%11.5%19.7%
HV 20d59.9%49.5%68.5%49.5%65.2%
HV 60d84.0%81.8%86.1%81.8%86.1%
IV Rank48.4%20.4%80.4%20.4%79.9%
IV Percentile48.8%2.0%95.6%2.0%95.2%
Term Structure5.2%1.7%8.8%4.6%2.1%
VWIV53.6%41.6%69.3%41.6%67.5%
Skew 25d1.6%-0.5%4.7%3.1%-0.5%
Skew 10d-0.9%-14.3%7.1%-2.7%-5.0%
Call IV 25d53.9%44.8%71.0%44.8%71.0%
Put IV 25d55.5%47.7%72.5%47.9%70.5%
Bid-Ask Spread %27.9011.5642.8621.8626.59
Gamma HHI0.330.180.480.260.24
Net GEX-174.5K-359.2K40.1K40.1K-138.0K
Net DEX6.1M-979.8K11.4M-979.8K8.8M
Net VEX-49.0K-86.0K-31.1K-40.3K-85.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.2314.481.571.01
Total Volume1,424.952419,509465673
Total OI17,909.410,45625,00516,39424,454

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$28.87$30.0040.1%11.5%49.5%20.4%41.6%3.1%4.6%40.1K-979.8K-40.3K1.5721.86N/AN/A1812849,2117,183
2023-09-05$26.19$30.0050.6%14.3%60.0%42.4%49.0%2.6%2.3%-198.9K3.1M-37.0K0.9530.72N/AN/A2842709,2777,345
2023-09-06$25.59$30.0050.9%14.4%60.1%43.0%50.5%0.7%3.1%-253.6K3.8M-36.9K1.1021.37N/AN/A2412659,5037,406
2023-09-07$24.31$30.0050.9%14.1%61.1%43.1%50.3%2.4%5.5%-320.2K6.1M-35.1K5.8730.66N/AN/A4052,3799,6027,496
2023-09-08$23.92$30.0049.7%13.6%57.1%40.5%47.4%1.3%7.8%-359.2K6.9M-34.7K1.1322.31N/AN/A2352669,8077,883
2023-09-11$23.58$30.0043.3%13.8%55.4%27.2%48.3%-0.3%8.3%-297.9K6.2M-33.2K1.4037.60N/AN/A1191669,9697,357
2023-09-12$23.23$30.0056.5%13.4%53.5%54.7%47.4%-0.5%8.8%-297.2K6.9M-31.9K0.4026.20N/AN/A1726910,0627,387
2023-09-13$22.95$30.0048.7%14.0%53.5%38.3%49.6%1.4%6.6%-302.4K7.0M-31.1K6.3342.27N/AN/A4629110,1407,317
2023-09-14$24.02$25.0044.2%12.7%56.0%29.1%49.3%2.3%7.1%-185.3K4.9M-32.0K1.7222.31N/AN/A24141510,1667,061
2023-09-15$23.66$25.0046.5%13.3%55.8%33.7%46.6%0.3%8.3%-97.0K5.1M-32.2K11.5232.55N/AN/A6574910,2927,266
2023-09-18$24.12$25.0045.8%13.1%56.8%32.2%47.3%0.8%7.1%-99.8K2.6M-32.8K0.6311.56N/AN/A3982505,5334,923
2023-09-19$24.69$25.0044.9%12.9%57.0%30.4%45.2%1.3%7.8%-89.4K1.8M-35.3K0.4715.71N/AN/A173815,8695,033
2023-09-20$22.80$25.0048.8%14.0%62.5%38.6%49.0%0.1%6.8%-92.6K3.7M-31.3K14.4812.33N/AN/A2343,3895,9695,082
2023-09-21$21.07$25.0057.1%16.4%66.5%56.0%56.9%1.2%4.4%-127.4K6.6M-43.3K3.0630.87N/AN/A2,3407,1696,1397,633
2023-09-22$20.13$25.0056.3%16.1%67.4%54.2%56.2%3.5%4.9%-135.7K8.9M-86.0K1.4327.65N/AN/A4306147,97613,821
2023-09-25$18.91$25.0062.4%17.9%68.5%67.0%62.6%0.9%2.7%-112.1K9.3M-77.2K8.4733.66N/AN/A2402,0338,33212,967
2023-09-26$18.02$25.0068.8%19.7%65.1%80.4%69.3%2.8%1.7%-138.1K10.8M-79.3K1.0227.08N/AN/A1,0411,0598,57614,794
2023-09-27$17.66$25.0068.3%19.6%62.2%79.4%68.3%4.7%2.1%-148.4K11.4M-81.3K0.2341.77N/AN/A5171179,33415,671
2023-09-28$18.26$20.0067.0%19.2%64.8%76.6%69.1%3.8%2.4%-137.6K9.2M-84.6K2.8142.86N/AN/A1574419,59714,755
2023-09-29$18.49$20.0068.5%19.7%65.2%79.9%67.5%-0.5%2.1%-138.0K8.8M-85.1K1.0126.59N/AN/A3343399,66414,790