MRVL Options History — March 2008

In March 2008, MRVL traded between $10.62 and $11.93. ATM implied volatility averaged 56.1%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 3.4% (HV 20d: 52.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2008-03-06: Highest Volume — 56,495 contracts
  • 2008-03-07: Largest IV drop — 27.0% change
  • 2008-03-04: Highest IV Rank — 70.3%
  • 2008-03-04: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$10.62$11.93$11.71$10.88
Max Pain$10.25$10.00$12.50$10.00$10.00
ATM IV56.1%43.9%72.1%71.2%57.7%
Expected Move16.2%14.0%20.7%20.4%16.6%
HV 20d52.7%45.8%64.2%63.9%50.5%
HV 60d60.8%58.4%63.1%58.7%62.6%
IV Rank44.5%24.8%70.3%68.8%47.1%
IV Percentile84.7%68.7%98.0%97.6%87.3%
Term Structure-0.9%-11.7%4.3%-11.7%-1.4%
VWIV56.9%49.8%74.5%72.8%57.5%
Skew 25d4.1%-1.2%20.5%3.0%1.1%
Skew 10d3.7%-16.8%30.2%-2.5%0.4%
Call IV 25d55.5%47.6%78.0%72.1%58.1%
Put IV 25d59.6%51.8%82.5%75.1%59.2%
Bid-Ask Spread %11.438.2615.589.6012.88
Gamma HHI0.390.280.560.400.39
Net GEX2.1M1.2M3.6M2.5M1.7M
Net DEX-58.0M-113.8M-27.5M-101.7M-27.5M
Net VEX-948.2K-1.1M-814.3K-1.1M-849.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.011.190.250.10
Total Volume17,215.255,40256,49525,4505,406
Total OI532,846.7453,984571,630528,878498,755

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$11.71$10.0071.2%20.4%63.9%68.8%72.8%3.0%-11.7%2.5M-101.7M-1.1M0.259.6020,3475,103394,020134,858
2008-03-04$11.93$10.0072.1%20.7%64.2%70.3%72.9%1.2%-10.9%2.6M-113.8M-1.1M0.1511.9025,1043,805398,227135,289
2008-03-05$11.75$10.0064.8%18.6%60.2%58.5%67.9%0.1%-8.1%3.0M-106.5M-1.1M0.839.4613,56311,245407,681133,578
2008-03-06$11.52$10.0071.0%20.3%45.8%68.5%74.5%20.5%-10.3%2.8M-92.9M-1.1M0.698.5433,41623,079411,458135,963
2008-03-07$10.94$12.5051.8%15.7%49.2%37.6%53.1%5.7%1.7%2.3M-41.6M-933.6K0.849.5521,99318,381418,252140,385
2008-03-10$10.62$10.0053.4%15.5%49.8%40.2%53.9%3.8%2.0%2.0M-29.5M-880.6K1.198.263,9154,677419,407141,569
2008-03-11$10.78$12.5055.0%15.5%48.4%42.7%52.3%5.4%1.5%2.1M-35.0M-903.0K0.159.764,692710422,476142,322
2008-03-12$10.96$10.0043.9%15.1%47.7%24.8%50.2%1.7%2.2%2.2M-45.3M-923.3K1.168.893,9584,601421,763142,231
2008-03-13$11.68$10.0048.8%14.0%52.7%32.7%51.5%2.2%3.8%3.6M-92.3M-1.0M0.169.788,0561,305421,317142,176
2008-03-14$11.27$10.0050.3%14.4%53.7%35.2%52.7%3.6%4.3%2.8M-66.5M-984.9K0.1410.9113,6861,957421,924141,682
2008-03-17$11.27$10.0053.4%15.3%53.2%40.1%53.9%3.2%3.3%1.5M-61.1M-956.2K0.5911.333,5262,074429,801141,829
2008-03-18$11.29$10.0049.1%14.1%52.0%33.2%49.9%8.9%3.1%1.6M-60.1M-924.2K0.1014.208,667884428,985140,247
2008-03-19$10.75$10.0056.3%16.1%52.3%44.8%55.7%-1.2%0.3%1.2M-37.8M-836.9K0.0811.4211,9741,008420,503140,403
2008-03-20$10.64$10.0053.3%15.3%51.2%40.0%51.4%0.9%2.6%1.2M-35.9M-814.3K0.2813.874,9531,390423,440137,997
2008-03-24$11.27$10.0050.7%14.5%55.2%35.8%50.4%3.3%-0.2%1.4M-32.2M-862.5K0.0415.5813,207589338,887115,097
2008-03-25$11.31$10.0050.7%14.5%51.1%35.8%49.8%5.9%-0.4%1.6M-37.8M-881.0K0.0114.7913,293170349,071114,944
2008-03-26$11.55$10.0055.3%15.9%51.0%43.3%55.6%9.8%-1.0%1.9M-56.6M-941.1K0.0414.7834,6351,558356,440114,836
2008-03-27$11.21$10.0058.9%16.9%51.7%48.9%56.3%2.2%-1.5%2.1M-48.0M-921.2K0.0811.547,122591373,169115,262
2008-03-28$11.13$10.0054.5%15.6%49.9%41.9%55.1%0.0%2.0%1.9M-37.7M-868.6K0.0211.479,441224375,326115,364
2008-03-31$10.88$10.0057.7%16.6%50.5%47.1%57.5%1.1%-1.4%1.7M-27.5M-849.6K0.1012.884,919487383,350115,405