MRVL Options History — March 2007

In March 2007, MRVL traded between $16.77 and $20.40. ATM implied volatility averaged 37.5%. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.1% (HV 20d: 32.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2007-03-29: Highest Volume — 36,585 contracts
  • 2007-03-05: Largest IV spike — 19.1% change
  • 2007-03-30: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.26$16.77$20.40$20.40$16.81
Max Pain$18.18$17.50$20.00$20.00$17.50
ATM IV37.5%32.3%41.8%33.3%41.8%
Expected Move10.7%9.3%12.0%9.5%12.0%
HV 20d32.4%27.0%36.9%27.0%31.1%
HV 60d35.1%34.3%36.3%34.7%34.3%
Term Structure1.9%-0.6%4.1%1.2%-0.6%
VWIV37.1%32.4%42.1%33.6%42.1%
Skew 25d-0.8%-12.0%5.8%-9.0%-0.8%
Skew 10d-2.3%-19.3%16.9%-15.2%-5.0%
Call IV 25d37.5%34.4%44.4%39.2%44.4%
Put IV 25d36.7%26.5%43.6%30.2%43.6%
Bid-Ask Spread %8.194.1715.829.718.53
Gamma HHI0.310.180.490.360.18
Net GEX2.6M763.5K6.1M6.1M1.4M
Net DEX-34.3M-150.0M26.8M-150.0M22.9M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.121.040.280.81
Total Volume15,945.3643,47336,58525,84611,259
Total OI366,458.636319,064404,130358,536385,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$20.40$20.0033.3%9.5%27.0%0.0%33.6%-9.0%1.2%6.1M-150.0M-1.3M0.289.7120,1795,667230,465128,071
2007-03-02$19.83$20.0032.3%9.3%29.6%0.0%32.4%-12.0%2.9%6.1M-114.7M-1.3M0.845.7811,2339,397231,649128,034
2007-03-05$19.09$20.0038.5%10.9%33.1%0.0%37.9%-2.2%2.2%4.3M-61.7M-1.2M0.568.727,2084,031231,808128,897
2007-03-06$19.24$20.0034.0%10.5%32.6%0.0%37.2%1.7%2.7%4.8M-68.6M-1.2M0.439.1613,2105,651234,741129,129
2007-03-07$19.03$20.0034.7%10.6%32.8%0.0%37.0%0.9%2.0%4.7M-62.3M-1.3M0.4311.134,5261,941243,583131,709
2007-03-08$18.78$20.0035.4%9.9%32.2%0.0%34.6%-1.4%3.6%3.9M-47.2M-1.2M0.2810.4720,1805,593243,867131,948
2007-03-09$18.64$17.5038.7%9.7%32.0%0.0%34.1%-0.5%4.1%3.8M-47.3M-1.2M0.516.745,8092,943254,701133,231
2007-03-12$18.86$17.5035.0%9.9%31.8%0.0%34.7%0.2%3.1%4.9M-62.0M-1.2M0.537.905,9123,120256,572134,041
2007-03-13$17.84$17.5039.4%10.6%36.9%0.0%37.9%-1.3%1.2%1.0M-2.4M-1.1M1.006.4516,47816,553258,375134,818
2007-03-14$17.97$17.5040.6%10.8%36.3%0.0%37.5%3.6%1.7%812.9K-11.7M-1.2M0.7115.8212,6999,004263,610140,520
2007-03-15$18.13$17.5039.0%11.2%36.2%0.0%38.6%2.5%0.4%1.4M-24.9M-1.2M0.785.757,4585,787265,080137,395
2007-03-16$17.79$17.5038.4%11.0%32.2%0.0%38.7%-0.1%1.8%763.5K-10.6M-1.1M0.226.208,5741,903264,585138,863
2007-03-19$17.46$17.5037.0%10.6%30.8%0.0%37.6%-0.1%2.5%1.0M5.4M-1.1M0.207.9010,7712,202198,967120,097
2007-03-20$17.93$17.5038.2%10.9%32.9%0.0%38.1%4.0%1.6%1.5M-16.2M-1.1M0.876.2010,9379,544202,912121,182
2007-03-21$18.07$17.5040.0%11.5%33.0%0.0%39.8%5.8%-0.6%1.6M-25.1M-1.2M0.148.0711,1261,545210,777127,792
2007-03-22$18.08$17.5037.5%10.8%32.5%0.0%35.5%-1.1%2.1%1.9M-34.4M-1.2M0.128.0112,9611,609217,141128,518
2007-03-23$18.20$17.5037.3%10.7%32.8%0.0%36.6%-0.6%1.2%2.1M-42.8M-1.2M0.248.692,801672221,923129,163
2007-03-26$18.00$17.5037.9%10.9%32.8%0.0%37.7%-3.1%3.3%1.9M-27.7M-1.2M1.049.243,4573,607222,318129,140
2007-03-27$17.67$17.5037.7%10.8%30.4%0.0%36.2%-3.4%2.0%1.6M-13.4M-1.1M0.304.966,6311,959223,162130,107
2007-03-28$17.09$17.5038.6%11.1%31.5%0.0%39.0%-1.1%1.7%1.2M13.7M-1.1M0.494.1712,1375,939224,725130,498
2007-03-29$16.77$17.5039.2%11.2%31.7%0.0%39.3%-0.0%1.2%1.1M26.8M-1.0M0.4310.5825,66310,922229,925132,988
2007-03-30$16.81$17.5041.8%12.0%31.1%0.0%42.1%-0.8%-0.6%1.4M22.9M-1.1M0.818.536,2135,046243,591141,472