MRVL Options History — February 2007 In February 2007, MRVL traded between $17.91 and $20.52. ATM implied volatility averaged 42.5%. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.8% (HV 20d: 33.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.38.
Notable Days 2007-02-26 : Highest Volume — 100,851 contracts2007-02-27 : Largest IV drop — 22.5% change2007-02-26 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $19.14 $17.91 $20.52 $18.35 $20.52 Max Pain $17.70 $17.50 $20.00 $18.75 $20.00 ATM IV 42.5% 33.5% 47.4% 44.1% 33.5% Expected Move 12.4% 9.6% 13.6% 12.6% 9.6% HV 20d 33.7% 27.8% 40.1% 40.1% 29.2% Term Structure -2.0% -8.9% 2.1% -0.0% 2.1% VWIV 43.6% 33.6% 49.6% 44.7% 33.6% Skew 25d -1.3% -11.2% 2.5% 1.2% -6.5% Skew 10d 0.5% -12.5% 13.8% 13.8% -9.8% Call IV 25d 45.1% 37.3% 52.5% 44.1% 37.3% Put IV 25d 43.8% 30.8% 48.3% 45.3% 30.8% Bid-Ask Spread % 10.18 5.47 22.91 5.47 10.94 Gamma HHI 0.35 0.22 0.78 0.22 0.36 Net GEX 3.6M 909.1K 10.2M 909.1K 6.4M Net DEX -73.9M -165.2M -2.0M -4.0M -161.9M Net VEX -1.1M -1.4M -971.2K -984.0K -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.07 1.14 0.45 1.14 Total Volume 26,825.579 6,634 100,851 35,639 20,485 Total OI 343,092.842 273,745 387,536 317,222 357,395
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $18.35 $18.75 44.1% 12.6% 40.1% 0.0% 44.7% 1.2% -0.0% 909.1K -4.0M -984.0K 0.45 5.47 24,580 11,059 186,923 130,299 2007-02-02 $18.46 $17.50 39.2% 12.6% 39.2% 0.0% 43.2% 1.5% -1.0% 1.3M -16.7M -1.0M 0.46 17.11 13,194 6,114 201,565 135,086 2007-02-05 $18.19 $17.50 41.6% 12.4% 38.5% 0.0% 43.4% 0.4% 0.6% 949.6K -2.0M -971.2K 0.25 11.82 10,634 2,638 205,346 135,131 2007-02-06 $18.38 $17.50 39.2% 12.4% 38.8% 0.0% 42.0% 2.5% -0.4% 1.4M -17.5M -997.5K 0.44 22.91 6,873 3,028 211,641 135,088 2007-02-07 $18.80 $17.50 43.2% 12.8% 39.1% 0.0% 44.7% 0.4% -0.7% 2.7M -51.4M -1.0M 0.31 9.00 33,698 10,502 215,867 134,699 2007-02-08 $18.55 $17.50 45.1% 12.9% 32.4% 0.0% 46.8% -2.7% -2.0% 2.7M -42.9M -1.1M 0.14 7.42 17,018 2,376 229,360 142,949 2007-02-09 $18.31 $17.50 44.0% 12.6% 32.5% 0.0% 45.4% -2.3% -0.7% 2.3M -26.6M -1.1M 0.27 9.07 19,528 5,191 232,512 143,588 2007-02-12 $17.91 $17.50 44.9% 12.9% 32.9% 0.0% 47.5% -1.7% -1.6% 1.3M -2.0M -1.0M 0.22 11.05 9,880 2,206 240,055 145,044 2007-02-13 $18.26 $17.50 45.3% 13.0% 33.4% 0.0% 46.2% -2.0% -2.4% 2.3M -25.8M -1.0M 0.47 8.77 4,521 2,113 240,316 142,934 2007-02-14 $18.49 $17.50 45.8% 13.1% 33.6% 0.0% 46.2% -0.4% -3.9% 3.6M -45.7M -1.1M 0.31 8.60 8,496 2,624 242,574 142,345 2007-02-15 $19.35 $17.50 46.0% 13.2% 34.1% 0.0% 46.0% -2.1% -4.1% 6.0M -117.2M -1.1M 0.24 9.01 24,669 5,871 243,815 142,707 2007-02-16 $19.81 $17.50 43.5% 12.5% 34.3% 0.0% 43.5% -0.5% -3.4% 10.2M -141.9M -1.1M 0.39 8.10 21,888 8,481 244,178 143,358 2007-02-20 $19.83 $17.50 43.3% 12.4% 34.0% 0.0% 43.3% 1.6% -3.2% 3.4M -105.5M -1.1M 0.14 8.64 19,578 2,733 173,110 100,635 2007-02-21 $19.96 $17.50 40.9% 11.7% 34.0% 0.0% 41.1% 0.8% -1.3% 4.1M -117.7M -1.1M 0.36 9.73 7,092 2,582 182,178 101,007 2007-02-22 $20.18 $17.50 41.9% 12.0% 28.9% 0.0% 42.2% 1.1% -1.9% 4.1M -129.7M -1.1M 0.60 9.06 12,628 7,629 183,511 102,081 2007-02-23 $20.08 $17.50 41.9% 12.0% 27.8% 0.0% 42.1% -1.1% -4.1% 3.9M -117.6M -1.1M 0.07 8.55 20,934 1,435 184,345 106,733 2007-02-26 $19.86 $17.50 47.4% 13.6% 28.2% 0.0% 49.6% -4.2% -8.9% 4.1M -112.8M -1.1M 0.46 9.41 68,865 31,986 192,353 107,459 2007-02-27 $20.46 $17.50 36.7% 10.5% 29.8% 0.0% 37.5% -11.2% -0.4% 6.2M -165.2M -1.4M 0.42 8.72 39,745 16,812 233,143 127,434 2007-02-28 $20.52 $20.00 33.5% 9.6% 29.2% 0.0% 33.6% -6.5% 2.1% 6.4M -161.9M -1.3M 1.14 10.94 9,589 10,896 231,266 126,129
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