MRVL Options History — June 2007

In June 2007, MRVL traded between $15.81 and $18.21. ATM implied volatility averaged 37.3%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.3% (HV 20d: 32.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2007-06-29: Highest Volume — 156,370 contracts
  • 2007-06-29: Largest IV spike — 38.7% change
  • 2007-06-29: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.95$15.81$18.21$16.24$18.21
Max Pain$15.12$15.00$17.50$17.50$15.00
ATM IV37.3%30.6%45.4%35.6%45.2%
Expected Move10.5%8.8%13.0%10.2%13.0%
HV 20d32.0%27.6%38.0%29.9%38.0%
HV 60d28.4%26.8%31.6%28.4%31.6%
Term Structure2.9%-3.5%5.8%4.6%-3.5%
VWIV37.4%30.7%47.2%42.9%47.2%
Skew 25d-2.2%-15.4%5.3%-5.8%-11.9%
Skew 10d-2.4%-27.4%11.4%-1.2%-27.4%
Call IV 25d39.7%30.1%50.6%43.1%50.6%
Put IV 25d37.4%24.9%45.3%37.3%38.7%
Bid-Ask Spread %9.474.7115.817.3215.45
Gamma HHI0.360.280.540.310.28
Net GEX8.3M4.9M12.2M5.6M11.4M
Net DEX-200.7M-413.5M-61.6M-89.5M-413.5M
Net VEX-2.4M-2.9M-1.4M-2.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.021.190.150.24
Total Volume35,440.1438,807156,37058,816156,370
Total OI740,537.19526,863818,831713,986818,831

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$16.24$17.5035.6%10.2%29.9%0.0%42.9%-5.8%4.6%5.6M-89.5M-2.2M0.157.3251,2037,613511,744202,242
2007-06-04$16.04$15.0037.6%10.8%27.6%0.0%38.0%-0.7%2.4%5.7M-78.2M-2.2M0.2115.818,4501,787538,812207,075
2007-06-05$16.26$15.0044.6%11.4%27.8%0.0%39.4%-2.2%1.3%6.2M-100.5M-2.2M0.2410.1722,1545,347530,493203,252
2007-06-06$15.81$15.0043.7%11.3%29.0%0.0%40.2%-1.3%3.7%4.9M-61.6M-2.2M0.568.0121,46112,064540,095205,810
2007-06-07$15.89$15.0045.4%12.6%29.2%0.0%43.5%0.2%-0.5%5.1M-73.5M-2.2M0.109.1024,7802,506544,763211,465
2007-06-08$16.45$15.0039.6%12.0%31.9%0.0%42.5%0.1%0.1%7.4M-143.7M-2.4M1.1210.317,7208,636560,362212,398
2007-06-11$16.37$15.0040.3%11.6%31.5%0.0%40.9%1.0%2.0%5.3M-65.3M-1.4M0.1115.3312,9951,420362,224164,639
2007-06-12$16.71$15.0044.3%11.4%32.1%0.0%39.9%-1.2%1.1%9.2M-165.0M-2.4M0.149.4011,5291,601565,407215,808
2007-06-13$17.05$15.0037.3%10.3%32.6%0.0%35.9%-1.5%3.7%12.2M-206.6M-2.4M0.2111.1522,9514,830567,427215,794
2007-06-14$16.97$15.0035.0%10.0%32.6%0.0%35.0%1.1%2.8%9.3M-170.5M-2.4M1.198.338,62310,239570,597217,906
2007-06-15$17.05$15.0034.4%9.9%32.6%0.0%34.6%-1.2%4.7%9.5M-175.3M-2.4M0.4711.8212,2885,776568,647223,794
2007-06-18$17.09$15.0031.1%8.9%30.7%0.0%31.4%3.2%5.8%6.6M-203.6M-2.4M0.078.6915,2321,103484,053181,320
2007-06-19$17.64$15.0033.0%9.5%32.2%0.0%33.0%4.7%3.4%7.3M-264.0M-2.5M0.095.7629,0392,664490,317181,669
2007-06-20$17.36$15.0031.3%9.0%32.9%0.0%31.5%2.5%4.4%7.6M-244.8M-2.4M0.264.7112,9793,325499,279182,227
2007-06-21$17.76$15.0030.6%8.8%32.7%0.0%30.7%5.3%4.7%8.2M-292.5M-2.5M0.286.5722,8326,362503,390183,367
2007-06-22$18.00$15.0035.7%10.2%29.5%0.0%37.8%-4.8%4.7%8.1M-315.0M-2.5M0.027.55127,9232,527510,118183,588
2007-06-25$17.11$15.0037.2%10.7%36.0%0.0%37.5%-4.2%2.5%10.4M-261.8M-2.7M0.268.3535,6509,154601,726183,084
2007-06-26$17.31$15.0035.6%10.2%35.1%0.0%36.2%-2.0%4.1%11.2M-293.5M-2.7M0.358.016,5432,264613,170187,284
2007-06-27$17.51$15.0034.1%9.8%33.7%0.0%34.8%-12.4%4.2%11.6M-318.8M-2.7M0.149.0412,7731,797613,456188,213
2007-06-28$17.21$15.0032.6%9.3%34.7%0.0%33.0%-15.4%5.0%11.5M-277.7M-2.7M0.617.9618,49311,240617,027188,408
2007-06-29$18.21$15.0045.2%13.0%38.0%0.0%47.2%-11.9%-3.5%11.4M-413.5M-2.9M0.2415.45126,58529,785621,783197,048