MRVL Options History — February 2008

In February 2008, MRVL traded between $10.47 and $12.76. ATM implied volatility averaged 65.9%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 7.1% (HV 20d: 72.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-02-06: Highest Volume — 81,556 contracts
  • 2008-02-13: Largest IV drop — 47.5% change
  • 2008-02-06: Highest IV Rank — 100.0%
  • 2008-02-20: Largest Expected Move — 23.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.36$10.47$12.76$12.76$11.31
Max Pain$11.63$10.00$15.00$15.00$10.00
ATM IV65.9%47.5%90.5%51.5%72.0%
Expected Move18.2%14.8%23.5%14.8%20.6%
HV 20d72.9%63.6%79.4%75.6%68.2%
HV 60d59.3%55.1%61.4%55.3%58.2%
IV Rank70.2%30.6%100.0%66.4%70.1%
IV Percentile95.7%84.1%100.0%90.5%98.0%
Term Structure-4.7%-13.9%0.3%0.3%-13.9%
VWIV63.4%51.6%80.2%51.6%73.5%
Skew 25d4.9%-10.0%12.7%-10.0%1.1%
Skew 10d6.2%-18.6%25.5%-17.0%-14.9%
Call IV 25d62.6%51.8%72.8%57.0%72.5%
Put IV 25d67.5%47.0%83.2%47.0%73.5%
Bid-Ask Spread %8.495.0212.235.027.16
Gamma HHI0.380.270.450.330.41
Net GEX1.8M981.5K2.7M2.1M2.1M
Net DEX-45.4M-107.9M-2.4M-76.7M-68.5M
Net VEX-949.3K-1.1M-802.8K-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.072.880.150.16
Total Volume26,014.27,94781,55644,42323,123
Total OI507,980.25413,198568,321490,192519,848

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$12.76$15.0051.5%14.8%75.6%66.4%51.6%-10.0%0.3%2.1M-76.7M-1.0M0.155.0238,5295,894383,269106,923
2008-02-04$12.55$10.0049.3%14.8%71.2%60.1%51.8%4.9%0.2%2.4M-77.2M-1.0M0.1312.2319,2472,424402,105109,564
2008-02-05$11.77$12.5060.3%16.3%74.4%91.8%59.2%4.7%-0.5%2.0M-42.8M-951.7K0.278.837,5502,046401,701110,073
2008-02-06$10.57$12.5072.5%19.3%79.4%100.0%66.3%6.2%-2.2%1.4M-5.3M-802.8K0.3910.9358,59522,961405,195109,321
2008-02-07$10.83$12.5073.2%18.5%78.6%100.0%63.8%9.2%-1.8%1.4M-8.3M-842.4K2.319.906,36014,710413,077118,552
2008-02-08$11.03$12.5075.3%18.9%78.9%100.0%62.0%6.6%-5.0%1.4M-16.6M-882.3K0.438.689,4354,051416,644123,660
2008-02-11$11.42$12.5070.9%16.9%77.3%90.5%59.4%4.2%-3.6%1.9M-30.3M-932.1K0.4111.7112,7855,213419,750124,597
2008-02-12$11.07$12.5090.5%18.2%77.1%100.0%58.5%4.5%-2.1%1.5M-17.4M-892.8K1.2310.458,23510,112421,793126,902
2008-02-13$11.22$12.5047.5%17.8%75.2%30.6%58.6%4.0%-2.4%1.3M-11.4M-872.1K0.628.5012,4807,722415,600132,317
2008-02-14$10.98$12.5061.7%17.7%75.2%53.6%61.9%-3.2%-3.1%1.2M-7.8M-863.5K0.578.5611,5756,568419,686136,723
2008-02-15$10.77$12.5066.7%19.1%74.0%61.5%66.3%6.0%-7.2%1.1M-2.4M-870.5K1.386.373,3354,612427,538140,783
2008-02-19$10.47$12.5067.4%19.3%74.4%62.7%67.8%6.7%-5.1%981.5K-10.9M-808.5K1.747.916,93512,069308,000105,198
2008-02-20$10.99$12.5082.1%23.5%73.6%86.5%80.2%10.4%-12.7%1.1M-26.7M-904.9K0.076.1258,7954,103310,520115,139
2008-02-21$11.31$10.0066.7%19.1%73.4%61.5%68.6%12.7%-5.1%1.8M-65.1M-992.3K0.086.3845,7293,854348,486115,612
2008-02-22$11.12$10.0070.9%20.3%63.6%68.3%69.8%5.3%-8.3%2.0M-62.8M-990.4K1.048.458,4938,875363,626114,075
2008-02-25$11.77$10.0060.0%17.2%66.9%50.7%63.0%8.3%-4.9%2.4M-94.7M-1.1M0.117.3920,3182,250369,713118,830
2008-02-26$12.05$10.0056.9%16.3%66.6%45.7%59.8%9.7%-4.0%2.7M-107.9M-1.1M0.197.439,5931,831373,511119,363
2008-02-27$11.85$10.0059.9%17.2%66.8%50.6%60.9%5.9%-6.1%2.6M-98.1M-1.1M0.639.4916,83010,560374,102119,972
2008-02-28$11.40$10.0062.0%17.8%68.2%54.0%64.2%1.7%-7.5%2.4M-76.1M-1.0M2.888.333,2169,271390,567127,270
2008-02-29$11.31$10.0072.0%20.6%68.2%70.1%73.5%1.1%-13.9%2.1M-68.5M-1.1M0.167.1620,0123,111386,986132,862