MRVL Options History — July 2008

In July 2008, MRVL traded between $14.47 and $17.79. ATM implied volatility averaged 47.0%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 1.7% (HV 20d: 48.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2008-07-15: Highest Volume — 37,702 contracts
  • 2008-07-23: Largest IV drop — 9.6% change
  • 2008-07-11: Highest IV Rank — 37.7%
  • 2008-07-11: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.57$14.47$17.79$17.79$14.79
Max Pain$13.18$12.50$17.50$17.50$12.50
ATM IV47.0%42.1%51.9%43.1%43.7%
Expected Move13.5%12.1%14.9%12.4%12.5%
HV 20d48.7%42.3%54.2%49.7%42.3%
HV 60d62.5%61.1%64.7%62.2%61.3%
IV Rank29.8%21.9%37.7%23.6%24.4%
IV Percentile60.0%36.9%74.6%50.0%47.6%
Term Structure1.9%-3.2%8.4%3.5%5.0%
VWIV47.0%41.2%52.8%44.1%42.7%
Skew 25d0.2%-9.0%11.1%3.1%-0.7%
Skew 10d0.4%-14.9%20.7%11.3%0.6%
Call IV 25d46.2%33.8%53.1%45.2%35.0%
Put IV 25d46.3%32.6%53.3%48.3%34.2%
Bid-Ask Spread %9.795.9816.6810.997.62
Gamma HHI0.280.180.380.180.38
Net GEX6.1M5.2M7.1M6.6M7.1M
Net DEX-306.6M-533.6M-211.5M-533.6M-254.5M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.072.162.160.23
Total Volume18,227.7272,97037,70230,8075,065
Total OI721,597.045689,464768,485689,464729,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$17.79$17.5043.1%12.4%49.7%23.6%44.1%3.1%3.5%6.6M-533.6M-1.8M2.1610.999,75721,050534,494154,970
2008-07-02$16.97$17.5045.1%12.9%52.3%26.8%46.1%-3.3%2.5%6.1M-444.7M-1.8M1.297.647,5779,755535,196165,089
2008-07-03$16.92$17.5043.1%12.4%50.7%23.6%43.6%-3.0%3.2%6.0M-430.3M-1.8M0.367.919,2663,380536,308168,798
2008-07-07$17.02$12.5046.6%13.7%49.5%29.1%48.1%1.7%1.0%6.0M-441.1M-1.8M0.649.516,2424,002536,910169,077
2008-07-08$16.79$12.5047.5%13.7%49.7%30.7%48.1%4.3%1.3%6.0M-405.7M-1.8M0.5110.0616,5528,400537,482169,686
2008-07-09$15.50$12.5050.7%14.5%54.2%35.8%50.9%0.5%0.6%5.6M-276.5M-1.7M0.5313.2612,6296,742543,184175,215
2008-07-10$15.66$12.5051.2%14.7%53.9%36.6%48.4%1.5%-0.9%5.7M-293.5M-1.7M0.4416.6823,77310,514541,937176,577
2008-07-11$15.36$12.5051.9%14.9%54.0%37.7%52.8%-0.1%-0.9%5.5M-264.8M-1.7M0.8612.6415,75713,578549,048181,948
2008-07-14$15.09$12.5050.6%14.5%49.8%35.6%51.5%2.0%-0.1%5.2M-229.3M-1.7M0.2412.2410,5062,535553,473189,764
2008-07-15$15.05$12.5051.3%14.7%49.8%36.8%51.0%1.4%-3.2%5.3M-229.9M-1.6M0.0712.9935,0752,627555,962187,159
2008-07-16$15.51$12.5049.5%14.2%51.3%33.9%49.8%0.3%-0.9%5.9M-288.1M-1.7M0.938.709,7589,095573,810187,088
2008-07-17$16.00$12.5048.5%13.9%52.5%32.3%47.9%-2.6%-2.3%5.6M-341.7M-1.7M0.1710.0315,1722,559573,334187,419
2008-07-18$15.55$12.5047.4%13.6%46.5%30.5%46.9%3.8%1.6%5.8M-312.7M-1.7M0.878.8711,85610,284582,273186,212
2008-07-21$15.08$12.5049.1%14.1%47.3%33.3%48.5%2.0%2.4%5.7M-263.1M-1.7M0.218.489,6572,019526,513163,783
2008-07-22$15.24$12.5049.4%14.2%47.4%33.6%48.5%-6.3%2.1%5.7M-279.2M-1.7M0.688.188,1695,536527,249164,755
2008-07-23$15.09$12.5044.6%12.8%47.3%26.0%44.8%-9.0%3.1%6.1M-262.2M-1.6M0.2815.3021,6706,023530,250162,030
2008-07-24$14.47$12.5045.4%13.0%45.7%27.2%45.4%-2.7%3.1%6.2M-211.5M-1.6M0.127.4523,6862,749543,982163,304
2008-07-25$14.79$12.5043.4%12.4%45.0%24.0%44.0%2.8%4.5%6.7M-258.1M-1.7M0.595.988,3084,895560,746164,630
2008-07-28$14.48$12.5046.0%13.2%43.5%28.2%46.1%11.1%3.5%6.7M-225.8M-1.6M0.757.514,0813,066562,491165,406
2008-07-29$14.78$12.5042.1%12.1%44.7%21.9%41.2%-1.2%8.4%6.9M-253.4M-1.6M0.136.722,640330563,016166,418
2008-07-30$14.71$12.5043.1%12.4%44.3%23.5%43.0%-2.3%4.8%7.0M-245.3M-1.6M0.786.572,6312,044562,449166,300
2008-07-31$14.79$12.5043.7%12.5%42.3%24.4%42.7%-0.7%5.0%7.1M-254.5M-1.6M0.237.624,119946563,550165,850