MRVL Options History — September 2007

In September 2007, MRVL traded between $15.57 and $17.12. ATM implied volatility averaged 36.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 14.9% (HV 20d: 51.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2007-09-19: Highest Volume — 37,242 contracts
2007-09-13: Largest IV spike — 35.6% change
2007-09-19: Highest IV Rank — 55.6%
2007-09-19: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.33	$15.57	$17.12	$17.03	$16.37
Max Pain	$16.18	$15.00	$17.50	$17.50	$15.00
ATM IV	36.3%	28.5%	44.9%	31.4%	37.1%
Expected Move	10.8%	9.0%	12.9%	9.0%	10.6%
HV 20d	51.3%	31.8%	58.6%	58.1%	31.8%
HV 60d	43.1%	41.3%	44.0%	43.7%	41.9%
IV Rank	24.5%	0.0%	55.6%	3.4%	29.0%
IV Percentile	31.8%	0.0%	91.1%	3.0%	29.0%
Term Structure	3.7%	0.7%	8.6%	1.1%	1.2%
VWIV	38.2%	31.5%	44.7%	31.7%	37.2%
Skew 25d	1.6%	-4.3%	13.0%	11.8%	0.4%
Skew 10d	-0.7%	-17.2%	20.5%	18.9%	6.9%
Call IV 25d	38.1%	28.4%	44.4%	28.4%	37.1%
Put IV 25d	39.7%	36.7%	47.9%	40.3%	37.6%
Bid-Ask Spread %	9.20	6.24	16.17	7.76	10.37
Gamma HHI	0.33	0.25	0.39	0.36	0.31
Net GEX	7.9M	4.9M	10.9M	10.7M	7.1M
Net DEX	-134.9M	-211.9M	-56.1M	-198.5M	-155.9M
Net VEX	-2.3M	-2.5M	-2.1M	-2.5M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.04	1.24	0.30	0.64
Total Volume	12,868.421	2,237	37,242	14,924	10,178
Total OI	799,679.474	747,862	859,540	790,607	755,416

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
2007-09-04	$17.03	$17.50	31.4%	9.0%	58.1%	3.4%	31.7%	11.8%	1.1%	10.7M	-198.5M	-2.5M	0.30	7.76	11,495	3,429	609,635	180,972
2007-09-05	$17.12	$17.50	32.1%	9.2%	58.1%	5.8%	32.2%	13.0%	4.1%	10.9M	-211.9M	-2.5M	0.20	9.07	14,209	2,898	610,892	182,027
2007-09-06	$16.87	$17.50	31.5%	9.0%	57.3%	3.6%	31.5%	10.7%	4.5%	10.6M	-188.3M	-2.5M	0.27	7.71	3,237	862	614,427	182,494
2007-09-07	$16.44	$17.50	33.8%	10.9%	57.9%	12.0%	38.6%	0.3%	3.2%	8.7M	-131.0M	-2.3M	0.14	16.17	8,443	1,170	613,581	182,392
2007-09-10	$16.53	$17.50	32.8%	10.7%	58.0%	8.3%	37.4%	0.0%	3.3%	9.3M	-133.9M	-2.3M	0.73	7.18	3,889	2,831	615,431	182,147
2007-09-11	$16.72	$17.50	31.5%	11.0%	58.2%	3.7%	38.7%	0.4%	4.0%	10.4M	-163.5M	-2.4M	0.32	9.73	7,600	2,423	616,343	183,748
2007-09-12	$16.37	$17.50	28.5%	11.7%	58.6%	0.0%	40.9%	-2.7%	3.3%	8.6M	-127.3M	-2.3M	0.11	9.60	23,443	2,563	616,819	183,375
2007-09-13	$16.52	$17.50	38.7%	11.1%	58.1%	34.4%	37.9%	1.3%	3.9%	9.4M	-152.8M	-2.4M	0.69	9.44	8,838	6,088	633,958	183,035
2007-09-14	$16.40	$17.50	40.0%	11.5%	57.1%	38.7%	39.5%	-2.9%	3.1%	8.8M	-132.8M	-2.3M	0.04	6.24	19,190	787	632,995	183,309
2007-09-17	$16.00	$15.00	40.5%	11.6%	57.4%	40.4%	42.0%	-3.5%	6.5%	7.0M	-104.6M	-2.2M	0.47	7.22	6,282	2,927	647,764	183,488
2007-09-18	$16.20	$15.00	38.2%	11.0%	56.9%	32.9%	39.4%	-4.3%	8.6%	6.2M	-112.5M	-2.2M	0.29	10.76	4,339	1,254	652,204	185,243
2007-09-19	$15.57	$15.00	44.9%	12.9%	58.4%	55.6%	44.7%	3.5%	2.8%	4.9M	-56.1M	-2.1M	0.26	7.32	29,496	7,746	653,538	190,066
2007-09-20	$15.64	$15.00	42.2%	12.1%	56.0%	46.4%	43.1%	2.6%	4.3%	5.4M	-77.3M	-2.1M	0.75	6.83	4,995	3,762	668,522	191,018
2007-09-21	$15.94	$15.00	37.7%	10.8%	56.5%	31.1%	38.0%	0.1%	6.0%	6.2M	-103.4M	-2.2M	1.24	7.54	5,650	7,018	665,390	189,183
2007-09-24	$15.80	$15.00	38.3%	11.0%	34.7%	33.1%	39.7%	-3.8%	3.4%	5.7M	-94.9M	-2.1M	0.32	10.32	7,350	2,379	576,350	171,512
2007-09-25	$16.00	$15.00	37.3%	10.7%	33.8%	29.7%	37.9%	-0.7%	5.4%	6.1M	-110.4M	-2.1M	0.22	9.58	1,831	406	578,642	171,905
2007-09-26	$16.53	$15.00	36.2%	10.4%	35.5%	26.0%	37.3%	4.0%	1.7%	7.3M	-161.3M	-2.2M	0.17	9.15	13,380	2,256	579,207	172,100
2007-09-27	$16.31	$15.00	37.7%	10.8%	32.1%	31.1%	37.9%	-0.0%	0.7%	6.9M	-146.1M	-2.2M	0.16	12.77	8,514	1,342	582,315	172,467
2007-09-28	$16.37	$15.00	37.1%	10.6%	31.8%	29.0%	37.2%	0.4%	1.2%	7.1M	-155.9M	-2.2M	0.64	10.37	6,195	3,983	582,524	172,892