MRVL Options History — May 2008

In May 2008, MRVL traded between $13.18 and $17.36. ATM implied volatility averaged 42.3%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 6.1% (HV 20d: 48.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2008-05-30: Highest Volume — 171,770 contracts
  • 2008-05-15: Largest IV spike — 53.3% change
  • 2008-05-27: Highest IV Rank — 33.2%
  • 2008-05-27: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$13.18$17.36$13.55$17.36
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV42.3%29.7%49.1%42.1%39.3%
Expected Move13.0%11.3%14.1%12.1%11.3%
HV 20d48.4%37.8%81.6%53.8%81.6%
HV 60d49.1%46.7%62.9%54.3%62.9%
IV Rank22.2%1.8%33.2%21.9%17.3%
IV Percentile48.7%0.4%69.8%48.8%32.1%
Term Structure-3.5%-9.5%6.1%4.8%-1.6%
VWIV45.6%34.6%53.7%42.1%34.6%
Skew 25d-0.2%-10.0%4.5%-3.1%-9.9%
Skew 10d4.9%-16.4%32.4%31.0%-16.4%
Call IV 25d46.4%39.3%51.5%42.7%39.3%
Put IV 25d46.2%29.4%52.1%39.6%29.4%
Bid-Ask Spread %11.264.3321.457.044.33
Gamma HHI0.400.310.530.380.31
Net GEX7.1M5.5M11.1M5.5M7.1M
Net DEX-320.8M-651.6M-219.5M-240.8M-651.6M
Net VEX-1.4M-1.6M-1.2M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.030.580.160.55
Total Volume32,231.0955,433171,77024,088171,770
Total OI632,861.905577,976734,748598,828637,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$13.55$12.5042.1%12.1%53.8%21.9%42.1%-3.1%4.8%5.5M-240.8M-1.3M0.167.0420,6893,399476,232122,596
2008-05-02$13.33$12.5039.7%11.4%54.4%18.0%53.7%-10.0%6.1%5.5M-225.6M-1.3M0.378.4218,4296,870481,825124,404
2008-05-05$13.18$12.5041.0%13.1%53.1%20.2%45.6%2.4%-3.4%5.8M-219.5M-1.2M0.0311.0712,667405491,925123,314
2008-05-06$13.20$12.5040.9%13.4%52.3%20.0%45.9%4.2%-5.5%6.0M-224.1M-1.3M0.488.3614,9167,167499,279123,201
2008-05-07$13.18$12.5040.8%12.8%51.9%19.8%44.4%3.8%-4.1%5.8M-220.3M-1.2M0.2513.6723,6455,956504,803127,052
2008-05-08$13.30$12.5031.8%12.6%51.8%5.3%43.9%2.7%-2.0%6.1M-232.2M-1.3M0.1810.4713,5952,435518,398128,441
2008-05-09$13.39$12.5042.7%12.9%47.9%22.9%44.0%4.0%-3.2%6.3M-255.0M-1.3M0.078.3216,5471,110523,835129,725
2008-05-12$13.70$12.5031.4%12.8%47.8%4.6%43.9%4.5%-2.5%6.6M-286.9M-1.3M0.269.1315,2643,999533,693130,529
2008-05-13$14.30$12.5046.2%13.7%48.1%28.4%47.9%0.2%-8.8%6.6M-352.6M-1.4M0.1311.9048,7326,532541,603133,467
2008-05-14$14.03$12.5029.7%13.5%49.0%1.8%47.0%-3.0%-9.5%6.5M-331.8M-1.4M0.1013.7548,2254,880564,510136,850
2008-05-15$14.83$12.5045.5%13.0%50.3%27.3%45.2%-1.1%-6.2%9.4M-427.1M-1.5M0.1713.1342,4747,311581,295137,253
2008-05-16$15.15$12.5045.6%13.1%48.6%27.6%45.5%0.6%-5.7%11.1M-489.3M-1.6M0.2212.6720,2284,458594,078140,670
2008-05-19$14.83$12.5044.6%12.8%47.5%25.9%44.5%-0.6%-3.4%7.3M-365.5M-1.5M0.3011.5322,8976,826498,18379,793
2008-05-20$14.39$12.5046.1%13.2%47.0%28.4%46.8%-1.0%-3.0%7.3M-323.9M-1.6M0.1113.709,9761,076505,40083,894
2008-05-21$14.13$12.5047.5%13.6%41.7%30.7%47.3%-2.9%-4.7%7.2M-303.5M-1.5M0.2621.454,3111,122507,01484,171
2008-05-22$14.37$12.5046.7%13.4%37.9%29.2%46.9%-1.0%-4.4%7.3M-322.4M-1.6M0.2214.3811,5032,501507,69084,997
2008-05-23$14.44$12.5047.1%13.5%37.8%30.0%47.5%-0.3%-4.5%7.4M-330.1M-1.5M0.5812.096,5553,793513,40986,409
2008-05-27$14.21$12.5049.1%14.1%37.8%33.2%49.5%0.6%-6.3%7.6M-311.1M-1.5M0.149.3916,8982,431515,63287,152
2008-05-28$14.34$12.5045.1%12.9%37.8%26.7%45.4%1.7%-3.7%8.3M-323.1M-1.5M0.2710.398,6092,319523,89288,553
2008-05-29$14.08$12.5045.3%13.0%38.5%27.0%45.7%4.4%-2.9%8.3M-299.8M-1.5M0.3911.2039,19415,139528,36889,329
2008-05-30$17.36$12.5039.3%11.3%81.6%17.3%34.6%-9.9%-1.6%7.1M-651.6M-1.5M0.554.33110,81460,956540,54296,694