MRVL Options History — November 2008

In November 2008, MRVL traded between $4.78 and $7.36. ATM implied volatility averaged 96.3%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 12.1% (HV 20d: 84.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2008-11-04: Highest Volume — 28,690 contracts
  • 2008-11-10: Largest IV spike — 62.0% change
  • 2008-11-21: Highest IV Rank — 82.1%
  • 2008-11-21: Largest Expected Move — 33.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.94$4.78$7.36$6.70$5.80
Max Pain$7.24$5.00$10.00$10.00$5.00
ATM IV96.3%61.1%116.7%61.1%100.9%
Expected Move27.6%17.5%33.5%17.5%28.9%
HV 20d84.2%75.6%94.2%79.4%91.3%
HV 60d78.7%72.2%83.8%72.2%83.2%
IV Rank63.2%30.4%82.1%30.4%67.4%
IV Percentile94.0%78.6%99.6%78.6%93.3%
Term Structure-4.6%-13.0%8.0%7.2%-5.1%
VWIV91.3%61.3%118.4%61.3%93.7%
Skew 25d17.0%-8.0%44.8%-2.6%10.6%
Skew 10d26.4%-4.5%76.7%0.6%22.3%
Call IV 25d81.4%55.9%113.9%61.5%88.6%
Put IV 25d98.4%58.9%146.7%58.9%99.1%
Bid-Ask Spread %10.026.2916.439.747.78
Gamma HHI0.410.240.510.510.43
Net GEX-229.0K-331.0K-43.7K-331.0K-328.8K
Net DEX68.2M51.8M77.0M75.2M51.8M
Net VEX-227.3K-325.8K-164.7K-261.0K-201.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.064.180.060.14
Total Volume7,77568328,69015,041767
Total OI667,763.684524,262732,328671,968525,143

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$6.70$10.0061.1%17.5%79.4%30.4%61.3%-2.6%7.2%-331.0K75.2M-261.0K0.069.7414,240801465,036206,932
2008-11-04$7.36$10.0067.8%19.4%84.2%36.6%67.8%6.4%2.3%-244.8K59.5M-316.5K0.096.2926,4242,266474,695206,106
2008-11-05$7.11$10.0066.7%19.1%85.0%35.6%66.7%6.3%8.0%-43.7K57.5M-325.8K0.278.761,049278489,328207,129
2008-11-06$6.62$10.0072.2%20.7%88.0%40.7%72.4%-8.0%4.4%-142.1K67.8M-284.2K0.398.231,008390484,531207,254
2008-11-07$6.49$7.5068.0%20.6%87.1%36.8%75.0%14.6%-1.5%-182.2K73.4M-260.6K4.1811.631,7077,132485,049207,330
2008-11-10$6.17$7.50110.2%28.3%76.7%76.1%98.4%23.5%-7.5%-221.6K75.1M-246.9K0.1411.763,815538485,248211,876
2008-11-11$6.10$7.5087.7%29.1%76.7%55.2%92.4%26.3%-9.9%-227.7K76.5M-227.8K0.9015.737,7296,986488,200211,143
2008-11-12$5.73$7.50107.8%29.2%75.6%73.8%104.1%36.6%0.3%-241.9K77.0M-203.6K2.3411.303,7088,673492,936213,223
2008-11-13$6.16$7.50102.2%29.3%79.8%68.7%100.8%24.6%-10.8%-231.9K74.7M-241.5K1.2516.435,7737,215496,200217,945
2008-11-14$5.81$7.50102.9%29.5%81.6%69.3%95.5%16.5%-5.6%-246.5K75.9M-221.6K0.4811.671,807861499,108221,839
2008-11-17$5.68$7.50108.9%31.2%81.7%74.9%81.0%19.7%-10.6%-245.9K76.7M-208.5K0.9211.92578529500,430221,747
2008-11-18$5.55$7.50111.3%31.9%78.3%77.1%86.7%21.5%-13.0%-247.3K76.9M-195.6K0.327.57519164500,279218,892
2008-11-19$5.04$7.50116.1%33.3%84.1%81.6%115.2%-3.5%-8.9%-187.4K74.1M-176.7K0.757.796,0074,505500,487218,837
2008-11-20$4.78$5.00115.9%33.2%84.7%81.4%118.4%30.9%-11.5%-158.6K72.5M-164.7K2.438.834,34810,587505,870216,609
2008-11-21$5.11$5.00116.7%33.5%88.9%82.1%109.5%42.0%-6.0%-200.2K72.5M-189.3K0.708.544,2713,004508,628223,700
2008-11-24$5.53$5.00110.7%31.7%94.2%76.6%110.3%12.0%-7.8%-278.9K52.3M-201.1K1.458.802,1553,124339,161185,101
2008-11-25$5.34$5.00100.8%28.9%90.7%67.3%99.7%0.8%-3.7%-272.6K53.6M-189.7K0.456.602,6201,184339,695186,268
2008-11-26$5.80$5.00101.9%29.2%92.6%68.4%86.5%44.8%-7.9%-318.5K52.6M-202.8K0.5010.93642321340,156185,399
2008-11-28$5.80$5.00100.9%28.9%91.3%67.4%93.7%10.6%-5.1%-328.8K51.8M-201.2K0.147.7867592339,548185,595