MRVL Options History — July 2007

In July 2007, MRVL traded between $17.92 and $19.64. ATM implied volatility averaged 39.1%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.1% (HV 20d: 36.0%). 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 8 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2007-07-17: Highest Volume — 120,672 contracts
  • 2007-07-12: Largest IV spike — 16.4% change
  • 2007-07-17: Highest IV Rank — 63.4%
  • 2007-07-17: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.65$17.92$19.64$18.08$18.00
Max Pain$17.14$15.00$17.50$15.00$17.50
ATM IV39.1%30.8%44.7%40.1%39.3%
Expected Move11.4%9.8%12.8%11.5%11.3%
HV 20d36.0%28.5%38.9%37.7%33.5%
HV 60d32.4%31.4%33.5%31.4%33.4%
IV Rank38.3%0.9%63.4%17.5%39.3%
IV Percentile48.9%0.8%88.8%11.9%50.0%
Term Structure-0.7%-5.2%5.9%1.0%4.2%
VWIV41.1%35.9%45.1%40.4%45.1%
Skew 25d-6.5%-15.4%0.8%-11.5%-13.0%
Skew 10d-16.1%-28.6%-2.2%-25.0%-13.1%
Call IV 25d44.1%39.8%49.1%47.6%49.1%
Put IV 25d37.7%28.7%44.0%36.1%36.0%
Bid-Ask Spread %9.436.1712.356.178.09
Gamma HHI0.310.280.410.290.29
Net GEX14.5M10.3M17.1M12.9M10.3M
Net DEX-508.3M-734.3M-301.3M-416.5M-301.3M
Net VEX-3.3M-3.5M-3.1M-3.1M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.050.850.070.27
Total Volume42,586.47612,388120,67274,76551,419
Total OI960,124.095893,1931,050,265893,193913,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$18.08$15.0040.1%11.5%37.7%0.0%40.4%-11.5%1.0%12.9M-416.5M-3.1M0.076.1769,6585,107676,338216,855
2007-07-03$18.32$15.0037.5%10.8%37.7%0.0%39.8%-4.3%-0.9%13.7M-452.1M-3.1M0.188.1159,62110,995678,946218,129
2007-07-05$18.22$15.0034.5%9.9%35.8%17.5%35.9%-5.6%-2.4%15.4M-470.4M-3.2M0.339.4737,44012,259717,749222,680
2007-07-06$18.22$17.5030.8%9.8%35.9%0.9%38.3%-11.4%1.9%14.7M-466.7M-3.2M0.179.9937,1386,136710,768229,125
2007-07-09$18.20$17.5034.0%10.2%34.4%15.4%36.0%-12.0%1.5%15.4M-473.8M-3.2M0.1811.9310,4611,927727,756231,004
2007-07-10$18.47$17.5033.6%10.9%34.4%13.4%44.7%-11.2%-0.5%15.1M-537.1M-3.3M0.2011.4079,73115,802725,137231,843
2007-07-11$17.92$17.5033.4%10.5%36.2%12.8%41.4%-15.4%0.4%15.5M-424.4M-3.3M0.129.6932,9994,064756,951240,672
2007-07-12$18.44$17.5038.9%11.2%36.8%37.3%41.2%-10.3%-3.2%15.8M-525.9M-3.3M0.429.1627,02311,468746,058235,960
2007-07-13$18.58$17.5039.0%11.2%36.7%37.8%40.4%-8.9%-2.0%16.2M-557.6M-3.4M0.857.9112,15910,284761,991243,608
2007-07-16$18.63$17.5041.9%12.0%36.7%51.0%42.2%-3.4%-4.7%15.9M-568.2M-3.3M0.329.3011,2653,643760,282243,787
2007-07-17$19.40$17.5044.7%12.8%38.9%63.4%44.6%-2.2%-5.2%16.7M-711.2M-3.4M0.418.4985,33735,335761,314244,392
2007-07-18$19.04$17.5044.1%12.6%38.6%60.7%43.3%-4.0%-4.1%15.9M-632.2M-3.5M0.3810.0012,8244,899780,293269,972
2007-07-19$19.51$17.5043.6%12.5%38.5%58.5%44.1%-3.2%-3.7%17.1M-717.0M-3.5M0.147.5719,2322,680771,728267,218
2007-07-20$19.64$17.5043.4%12.4%38.0%57.4%43.5%-3.8%-3.2%17.1M-734.3M-3.5M0.278.4943,22511,551771,736266,501
2007-07-23$19.26$17.5041.6%11.9%38.8%49.4%41.7%-3.8%-1.4%13.4M-508.9M-3.4M0.1211.0730,1373,510670,193238,203
2007-07-24$18.82$17.5041.1%11.8%34.8%47.4%40.5%-4.0%-1.5%12.8M-442.9M-3.4M0.468.7811,5525,286675,912238,949
2007-07-25$18.79$17.5040.9%11.7%34.7%46.6%39.7%-3.6%-0.8%12.5M-437.0M-3.4M0.227.8316,6433,690677,091242,461
2007-07-26$18.59$17.5038.3%11.0%35.0%34.5%40.2%-3.5%2.3%12.3M-422.7M-3.4M0.0612.3542,5982,397686,874243,481
2007-07-27$18.58$17.5041.6%11.9%34.2%49.3%42.1%-1.4%1.7%12.8M-423.9M-3.4M0.1810.8710,9591,984702,094243,649
2007-07-30$18.89$17.5038.5%11.0%28.5%35.7%38.8%0.8%5.9%12.7M-450.9M-3.3M0.0511.3037,8092,069677,049244,081
2007-07-31$18.00$17.5039.3%11.3%33.5%39.3%45.1%-13.0%4.2%10.3M-301.3M-3.1M0.278.0940,61310,806670,041243,735