MRVL Options History — May 2007

In May 2007, MRVL traded between $15.50 and $17.80. ATM implied volatility averaged 40.4%. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 12.8% (HV 20d: 27.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2007-05-03: Highest Volume — 149,776 contracts
  • 2007-05-04: Largest IV spike — 32.7% change
  • 2007-05-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.70$15.50$17.80$16.38$15.70
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV40.4%34.1%51.0%48.6%35.4%
Expected Move11.5%9.8%13.9%13.9%10.2%
HV 20d27.7%23.3%30.3%23.3%29.9%
HV 60d28.4%27.2%29.9%28.9%27.4%
Term Structure0.2%-5.3%8.3%-1.7%2.3%
VWIV41.1%34.3%48.7%48.4%37.9%
Skew 25d-2.8%-6.8%1.0%-3.1%-4.0%
Skew 10d-5.7%-14.1%9.2%-13.8%-5.4%
Call IV 25d43.5%33.6%51.4%50.8%39.4%
Put IV 25d40.7%34.6%48.3%47.7%35.4%
Bid-Ask Spread %10.165.4916.817.686.77
Gamma HHI0.280.220.360.250.25
Net GEX5.4M2.4M10.0M3.4M3.3M
Net DEX-77.4M-249.3M21.2M-1.9M-9.2M
Net VEX-2.0M-2.4M-1.4M-1.4M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.020.800.800.02
Total Volume39,063.4556,757149,77653,66248,564
Total OI688,239.273558,857798,641558,857678,339

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$16.38$17.5048.6%13.9%23.3%0.0%48.4%-3.1%-1.7%3.4M-1.9M-1.4M0.807.6829,79123,871377,493181,364
2007-05-02$16.53$17.5043.7%12.5%23.5%0.0%44.3%-1.5%2.0%3.7M-5.2M-1.5M0.439.5812,5325,420395,309200,487
2007-05-03$17.10$17.5038.4%11.0%25.9%0.0%39.2%-2.9%8.3%5.0M-63.8M-1.7M0.1111.19134,95314,823399,145203,199
2007-05-04$17.60$17.5051.0%13.8%27.0%0.0%48.7%-0.6%-3.1%7.3M-193.1M-2.3M0.168.0659,7789,357493,295212,377
2007-05-07$17.80$17.5041.6%12.5%26.8%0.0%44.3%-0.7%-0.8%10.0M-249.3M-2.4M0.3912.5545,24117,744534,532218,319
2007-05-08$17.74$17.5044.3%12.0%26.8%0.0%42.6%-1.1%-0.8%8.7M-206.2M-2.3M0.2916.8124,2157,077515,506225,634
2007-05-09$17.72$17.5042.0%11.9%26.8%0.0%42.1%-1.8%-0.3%8.8M-199.3M-2.3M0.2316.6513,4523,036520,715225,802
2007-05-10$17.35$17.5040.6%11.6%28.1%0.0%41.3%-3.7%0.7%8.5M-154.0M-2.2M0.5310.6011,2785,935522,996225,223
2007-05-11$17.52$17.5040.9%11.7%28.1%0.0%40.9%-6.2%-0.3%8.1M-167.1M-2.2M0.176.828,9701,507520,798230,414
2007-05-14$17.20$17.5043.0%12.3%29.0%0.0%44.3%-3.5%-1.1%7.6M-127.2M-2.2M0.1312.1517,7282,283521,889230,910
2007-05-15$16.96$17.5041.9%12.0%28.9%0.0%43.8%-4.6%-1.3%6.4M-85.9M-2.1M0.4413.2427,27611,957515,853230,564
2007-05-16$17.04$17.5042.2%12.1%28.9%0.0%43.7%-3.4%-1.9%6.2M-87.5M-2.1M0.5312.5719,21310,274518,124236,585
2007-05-17$17.00$17.5046.1%13.2%28.6%0.0%46.4%-5.6%-5.3%6.1M-93.0M-2.2M0.197.8564,69412,109525,624243,511
2007-05-18$16.51$17.5036.0%10.3%30.3%0.0%36.0%-3.8%1.5%4.1M13.1M-2.0M0.288.0540,51111,515549,310249,331
2007-05-21$16.37$17.5034.1%9.8%27.1%0.0%34.3%1.0%0.7%3.7M-36.2M-2.0M0.249.1517,6894,261417,413185,366
2007-05-22$16.30$17.5035.6%10.2%26.4%0.0%35.6%-1.0%-1.5%3.7M-37.2M-2.0M0.399.7313,9425,367421,583184,555
2007-05-23$16.02$17.5034.1%9.8%26.8%0.0%36.1%-1.6%3.9%3.4M-16.3M-1.9M0.279.635,3251,432430,558186,124
2007-05-24$15.50$17.5036.9%10.6%28.9%0.0%38.0%-6.1%0.9%2.4M21.2M-1.8M0.579.2634,11719,448430,921186,731
2007-05-25$15.51$17.5036.4%10.4%27.8%0.0%38.5%-6.8%2.4%2.6M14.6M-1.8M0.289.3025,3147,028453,045197,958
2007-05-29$15.93$17.5038.0%10.9%29.5%0.0%40.1%-1.8%-0.6%3.8M-25.8M-2.0M0.0810.4319,8981,496466,579201,870
2007-05-30$15.57$17.5038.2%11.0%29.9%0.0%37.9%0.8%0.1%2.8M6.2M-1.8M0.305.496,9022,073473,412202,501
2007-05-31$15.70$17.5035.4%10.2%29.9%0.0%37.9%-4.0%2.3%3.3M-9.2M-1.9M0.026.7747,5531,011476,075202,264