MRVL Options History — September 2008

In September 2008, MRVL traded between $8.63 and $14.17. ATM implied volatility averaged 60.4%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 2.7% (HV 20d: 63.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-09-03: Highest Volume — 51,080 contracts
  • 2008-09-29: Largest IV spike — 40.9% change
  • 2008-09-29: Highest IV Rank — 96.0%
  • 2008-09-29: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.07$8.63$14.17$14.17$9.30
Max Pain$13.93$12.50$15.00$15.00$12.50
ATM IV60.4%36.9%88.0%36.9%73.6%
Expected Move17.1%10.6%25.2%10.6%21.1%
HV 20d63.1%39.4%88.5%39.4%88.5%
HV 60d51.1%43.9%61.7%43.9%61.7%
IV Rank51.6%13.7%96.0%13.7%72.8%
IV Percentile82.5%11.5%99.6%11.5%98.4%
Term Structure-4.3%-11.5%7.0%7.0%-8.4%
VWIV61.0%37.4%86.2%37.4%73.2%
Skew 25d0.0%-16.6%15.9%7.5%-3.2%
Skew 10d-4.8%-27.8%26.7%13.7%-10.1%
Call IV 25d61.8%36.3%86.5%36.3%80.1%
Put IV 25d61.8%42.5%88.9%43.8%76.9%
Bid-Ask Spread %9.624.8718.236.969.54
Gamma HHI0.360.250.480.480.25
Net GEX1.9M466.0K5.0M5.0M537.1K
Net DEX49.3M-100.3M82.4M-100.3M77.5M
Net VEX-725.0K-1.4M-434.7K-1.4M-491.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.162.340.411.42
Total Volume18,747.2383,86551,08013,02529,832
Total OI688,059.19616,713732,125710,401665,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$14.17$15.0036.9%10.6%39.4%13.7%37.4%7.5%7.0%5.0M-100.3M-1.4M0.416.969,2623,763526,857183,544
2008-09-03$12.63$15.0049.4%14.2%55.6%33.8%50.9%-13.6%-3.1%3.0M9.8M-1.1M0.705.8130,07221,008525,790180,591
2008-09-04$11.94$15.0049.2%14.1%57.2%33.5%49.3%15.9%-0.4%2.2M50.3M-874.4K0.414.8720,3168,368523,265181,027
2008-09-05$12.39$15.0045.8%14.3%58.1%27.9%50.7%5.5%-0.7%2.6M23.0M-982.8K0.838.315,8974,885526,073182,714
2008-09-08$12.11$15.0055.0%14.6%57.4%42.7%51.6%4.7%-1.8%2.5M36.6M-920.9K0.288.726,4061,782527,946181,033
2008-09-09$11.62$15.0059.8%15.2%57.1%50.5%52.7%2.7%-3.0%2.1M56.9M-818.2K0.866.695,4074,644529,174181,024
2008-09-10$11.39$15.0062.1%14.5%56.5%54.2%50.8%3.5%-0.3%1.9M59.4M-769.1K0.196.858,3451,611532,520177,607
2008-09-11$11.68$15.0054.7%15.7%58.0%42.3%60.0%-0.1%-3.7%2.3M46.4M-810.5K0.169.3731,7395,097535,409175,584
2008-09-12$11.60$15.0054.5%15.6%56.7%42.0%54.8%-1.4%-3.5%2.4M49.5M-797.4K0.459.592,6721,193544,094175,144
2008-09-15$10.80$15.0060.8%17.4%59.8%52.2%60.3%5.9%-6.0%1.6M82.4M-595.2K0.2311.776,8551,555544,427174,691
2008-09-16$10.69$15.0059.2%17.0%59.5%49.6%59.2%8.2%-3.7%1.6M78.0M-597.8K2.349.765,81813,637547,010169,525
2008-09-17$10.12$15.0064.8%18.6%60.3%58.6%67.1%5.5%-4.4%1.3M80.1M-570.9K0.4115.8313,5625,516550,402172,301
2008-09-18$10.59$12.5061.0%17.5%63.9%52.5%70.7%-14.1%-3.6%1.6M69.4M-620.1K0.5211.1713,8477,212557,324173,514
2008-09-19$11.06$12.5062.9%18.0%67.8%55.5%66.9%-7.0%-7.7%1.8M63.1M-671.7K0.3418.232,9131,005554,302177,823
2008-09-22$10.47$12.5068.8%19.7%68.2%65.0%71.1%3.0%-7.3%1.5M50.9M-614.5K0.625.633,6642,276462,122154,591
2008-09-23$10.24$12.5066.7%19.1%68.2%61.6%67.2%5.7%-6.9%1.3M59.8M-540.6K1.7910.078,89915,907465,353153,227
2008-09-24$10.48$12.5069.1%19.8%67.5%65.5%71.8%-9.6%-9.8%1.4M46.9M-609.3K0.169.238,1221,323467,212157,699
2008-09-25$10.76$12.5064.5%18.5%69.3%58.1%66.7%-4.9%-7.9%1.5M43.5M-616.2K0.2810.449,2092,551468,565157,794
2008-09-26$9.70$12.5062.5%17.9%74.6%54.8%62.9%-16.6%-3.9%861.7K70.9M-479.9K1.515.3417,64026,556472,082158,960
2008-09-29$8.63$12.5088.0%25.2%81.7%96.0%86.2%2.4%-11.5%466.0K80.3M-434.7K1.6117.838,94714,379479,633175,541
2008-09-30$9.30$12.5073.6%21.1%88.5%72.8%73.2%-3.2%-8.4%537.1K77.5M-491.4K1.429.5412,35017,482483,483182,266