MRVL Options History — January 2007

In January 2007, MRVL traded between $18.29 and $20.88. ATM implied volatility averaged 38.7%. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 3.9% (HV 20d: 42.7%). Max pain ranged from $18.75 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-01-10: Highest Volume — 58,424 contracts
  • 2007-01-11: Largest IV spike — 15.4% change
  • 2007-01-16: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.34$18.29$20.88$19.54$18.29
Max Pain$19.50$18.75$20.00$20.00$18.75
ATM IV38.7%33.6%42.9%35.3%40.2%
Expected Move11.4%9.8%12.3%10.1%11.5%
HV 20d42.7%41.1%45.1%45.1%41.1%
Term Structure3.2%-0.1%6.9%4.8%3.8%
VWIV40.2%35.6%42.8%35.6%40.8%
Skew 25d1.0%-0.9%4.4%-0.2%-0.9%
Skew 10d-0.6%-11.0%20.3%-0.5%-3.5%
Call IV 25d40.2%34.8%43.5%35.9%42.4%
Put IV 25d41.1%35.7%43.9%35.7%41.5%
Bid-Ask Spread %8.914.4714.795.657.20
Gamma HHI0.220.150.400.210.20
Net GEX2.2M425.8K3.9M2.7M1.0M
Net DEX-65.3M-194.9M17.4M-82.3M-2.3M
Net VEX-945.3K-1.0M-838.6K-923.2K-975.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.173.240.350.93
Total Volume21,044.054,97458,42420,72113,714
Total OI361,779.2253,117444,357383,601311,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$19.54$20.0035.3%10.1%0.0%0.0%35.6%-0.2%4.8%2.7M-82.3M-923.2K0.355.6515,3575,364251,537132,064
2007-01-04$19.95$20.0034.3%9.8%0.0%0.0%36.2%2.3%6.9%2.9M-110.2M-940.3K0.914.478,5387,767253,125132,906
2007-01-05$19.41$18.7535.6%12.0%0.0%0.0%42.1%0.4%4.4%2.5M-71.0M-916.3K0.5211.187,4793,908253,476135,055
2007-01-08$19.38$18.7538.9%12.2%0.0%0.0%42.8%0.9%4.7%2.6M-77.8M-898.7K0.4810.635,3802,578255,923134,028
2007-01-09$19.73$18.7534.7%11.9%0.0%0.0%41.5%1.6%4.3%3.0M-100.7M-896.0K0.2911.4411,0113,174256,341133,443
2007-01-10$20.88$18.7533.6%11.8%0.0%0.0%40.8%0.7%3.5%3.9M-194.9M-906.5K0.3411.6843,52314,901257,233134,376
2007-01-11$20.70$20.0038.8%11.1%0.0%0.0%38.8%-0.2%2.9%3.8M-182.8M-934.1K0.9714.7921,22020,512263,168139,765
2007-01-12$20.39$20.0037.6%10.8%0.0%0.0%38.3%-0.5%4.9%3.3M-147.0M-969.4K0.908.209,0628,183267,080152,337
2007-01-16$19.90$20.0042.9%12.3%0.0%0.0%42.8%-0.4%-0.1%2.8M-101.0M-934.1K0.487.5312,2155,905268,623155,633
2007-01-17$19.60$20.0040.3%11.5%0.0%0.0%40.8%-0.6%2.9%3.0M-68.9M-913.6K1.4810.4211,70917,325273,381156,300
2007-01-18$18.76$20.0041.9%12.0%0.0%0.0%42.5%-0.4%1.1%1.5M12.1M-891.1K0.818.7815,99512,992276,928167,429
2007-01-19$18.45$20.0042.1%12.1%0.0%0.0%42.6%0.5%1.7%1.2M17.4M-899.0K0.667.9715,0099,846282,019161,061
2007-01-22$18.30$20.0041.0%11.8%0.0%0.0%40.7%4.4%2.2%425.8K2.7M-838.6K0.257.9922,6455,581150,922102,195
2007-01-23$18.35$20.0041.9%12.0%0.0%0.0%42.1%1.4%1.9%702.3K-4.9M-961.9K0.179.499,1051,564163,939116,214
2007-01-24$19.35$20.0038.1%10.9%0.0%0.0%37.6%2.1%4.3%1.4M-49.8M-1.0M0.257.3628,9087,159167,501115,564
2007-01-25$18.95$20.0039.2%11.2%45.1%0.0%39.1%2.1%1.7%1.6M-36.3M-1.0M0.187.6114,5572,651177,492119,454
2007-01-26$19.02$18.7538.3%11.0%43.6%0.0%38.3%1.1%4.2%1.9M-43.3M-1.0M0.877.556,7645,878183,100120,336
2007-01-29$19.04$18.7540.1%11.5%42.3%0.0%39.8%2.1%2.3%1.9M-39.0M-1.0M0.3510.683,6821,292184,295122,455
2007-01-30$18.79$18.7539.7%11.4%41.2%0.0%40.6%3.2%2.0%1.8M-25.8M-1.0M3.247.481,9866,442184,820122,820
2007-01-31$18.29$18.7540.2%11.5%41.1%0.0%40.8%-0.9%3.8%1.0M-2.3M-975.5K0.937.207,1006,614184,968126,278