MRVL Options History — January 2008

In January 2008, MRVL traded between $10.17 and $13.33. ATM implied volatility averaged 55.4%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 2.9% (HV 20d: 52.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2008-01-23: Highest Volume — 47,867 contracts
  • 2008-01-07: Largest IV spike — 25.2% change
  • 2008-01-18: Highest IV Rank — 99.6%
  • 2008-01-18: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.50$10.17$13.33$13.33$11.87
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV55.4%42.3%63.0%43.4%52.0%
Expected Move15.6%12.1%18.0%12.4%14.9%
HV 20d52.5%29.6%72.4%29.7%70.4%
HV 60d48.4%41.5%54.2%41.5%52.8%
IV Rank77.7%39.9%99.6%43.0%68.0%
IV Percentile94.9%75.0%99.6%82.1%91.3%
Term Structure0.1%-3.6%3.3%3.2%1.3%
VWIV55.5%43.2%64.5%46.2%53.2%
Skew 25d-0.1%-8.2%11.8%-3.9%11.8%
Skew 10d-4.9%-27.2%29.0%-6.3%19.7%
Call IV 25d57.1%46.4%65.8%49.0%49.2%
Put IV 25d57.0%42.1%72.2%45.1%61.0%
Bid-Ask Spread %8.423.4912.245.474.84
Gamma HHI0.250.150.360.180.36
Net GEX901.2K121.6K1.7M897.5K1.7M
Net DEX45.6M-49.7M130.1M90.0M-43.1M
Net VEX-792.5K-1.0M-510.0K-809.5K-946.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.051.751.100.62
Total Volume18,186.4294,10547,86716,6187,740
Total OI664,989.762458,340821,795730,309489,020

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$13.33$15.0043.4%12.4%29.7%43.0%46.2%-3.9%3.2%897.5K90.0M-809.5K1.105.477,8998,719564,042166,267
2008-01-03$13.23$15.0042.3%12.1%29.6%39.9%43.2%-4.4%1.9%634.5K100.3M-785.3K1.153.494,2654,909565,023170,324
2008-01-04$12.31$15.0046.7%13.9%34.9%52.5%49.1%-0.4%-1.9%168.0K117.6M-662.0K1.7510.178,49614,845567,082171,207
2008-01-07$12.01$15.0058.4%14.5%35.1%86.5%53.9%-3.1%-1.8%125.3K120.4M-625.1K0.1312.2424,0993,242568,545171,660
2008-01-08$11.14$15.0060.1%15.1%39.5%91.2%54.1%-3.2%-1.6%121.6K130.1M-510.0K0.128.9136,7274,283583,999172,835
2008-01-09$11.58$15.0058.5%14.8%43.9%86.7%55.4%0.2%-2.3%602.6K95.3M-693.0K0.4010.3315,6666,254605,417162,914
2008-01-10$11.47$15.0051.5%14.8%43.6%66.3%53.4%0.1%-0.7%618.1K90.3M-706.4K0.4210.4118,0177,556615,293163,578
2008-01-11$10.85$15.0055.2%15.8%46.1%77.2%56.2%-1.9%0.1%623.6K88.0M-705.9K0.186.8120,7033,810634,323165,074
2008-01-14$11.24$15.0057.1%16.4%49.5%82.6%55.6%-0.6%-2.8%825.6K78.1M-769.7K0.158.6812,3241,889645,231165,375
2008-01-15$10.72$15.0055.4%15.9%51.0%77.8%55.5%-0.9%-0.5%740.1K80.8M-742.2K0.3110.923,143979653,654165,021
2008-01-16$10.98$15.0059.6%17.1%52.8%89.8%59.4%0.1%-1.8%859.1K66.6M-800.8K0.436.1416,0626,965654,300159,636
2008-01-17$10.53$15.0059.6%17.1%52.0%89.8%60.2%-8.2%0.1%797.0K67.0M-780.1K0.869.592,2101,895662,138159,657
2008-01-18$10.74$15.0063.0%18.0%53.6%99.6%63.3%-3.4%-3.6%845.5K62.5M-804.0K0.167.5713,2792,175661,315158,015
2008-01-22$10.17$15.0062.4%17.9%55.1%97.9%64.5%6.4%0.6%819.4K15.5M-735.7K0.058.4022,9051,256353,790104,550
2008-01-23$10.49$15.0060.9%17.5%57.7%93.8%60.7%8.7%0.9%918.6K5.9M-772.3K0.089.7644,3403,527357,143105,015
2008-01-24$11.63$15.0057.4%16.4%71.4%83.4%58.4%-2.4%2.1%1.6M-49.7M-1.0M0.099.5624,1772,062393,596104,543
2008-01-25$11.53$15.0056.8%16.3%71.4%81.7%57.9%-0.2%3.3%1.4M-32.7M-916.2K0.9511.982,2122,101375,178104,569
2008-01-28$11.88$15.0056.0%16.1%72.4%79.6%57.3%3.7%2.3%1.5M-42.8M-963.8K0.329.533,1851,021375,637105,009
2008-01-29$11.93$15.0053.3%15.3%71.9%71.5%54.6%-0.7%1.6%1.5M-42.2M-952.3K0.154.755,463827375,446105,375
2008-01-30$11.85$15.0054.1%15.5%71.8%73.9%54.0%-0.4%0.9%1.6M-40.1M-931.7K0.097.299,823865378,239105,750
2008-01-31$11.87$15.0052.0%14.9%70.4%68.0%53.2%11.8%1.3%1.7M-43.1M-946.7K0.624.844,7892,951383,145105,875