MRVL Options History — December 2008

In December 2008, MRVL traded between $5.09 and $7.29. ATM implied volatility averaged 83.8%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 28.1% (HV 20d: 111.9%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.13.

Notable Days

  • 2008-12-03: Highest Volume — 50,820 contracts
  • 2008-12-10: Largest IV spike — 33.9% change
  • 2008-12-01: Highest IV Rank — 77.1%
  • 2008-12-01: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.38$5.09$7.29$5.21$6.67
Max Pain$9.09$5.00$10.00$5.00$10.00
ATM IV83.8%69.3%111.3%111.3%90.1%
Expected Move24.1%19.9%31.9%31.9%25.8%
HV 20d111.9%97.0%120.1%97.3%100.0%
HV 60d94.8%84.8%99.1%84.8%93.0%
IV Rank51.5%38.0%77.1%77.1%57.4%
IV Percentile86.8%80.2%97.2%97.2%89.7%
Term Structure-6.3%-17.8%34.4%-12.3%-17.8%
VWIV87.6%73.4%112.9%112.9%90.1%
Skew 25d6.5%-8.6%27.0%-5.8%18.6%
Skew 10d14.1%-13.5%53.8%-8.9%39.4%
Call IV 25d84.0%57.7%116.0%116.0%84.5%
Put IV 25d90.5%80.4%110.2%110.2%103.1%
Bid-Ask Spread %6.993.1212.009.393.12
Gamma HHI0.470.220.780.410.35
Net GEX-116.7K-305.0K365.8K-270.4K24.9K
Net DEX27.9M-4.8M57.3M56.4M18.7M
Net VEX-263.9K-332.7K-156.5K-163.9K-273.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.004.720.253.97
Total Volume18,664.6822,33650,82015,58316,823
Total OI585,852.682525,313637,213525,313574,175

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$5.21$5.00111.3%31.9%97.3%77.1%112.9%-5.8%-12.3%-270.4K56.4M-163.9K0.259.3912,5043,079339,666185,647
2008-12-02$5.09$5.0097.5%27.9%97.0%64.2%97.6%27.0%-6.9%-246.0K57.3M-156.5K0.237.7620,9244,753347,894186,395
2008-12-03$6.13$5.0069.3%19.9%114.5%38.0%80.3%11.0%34.4%-265.0K37.1M-235.9K1.676.8519,05631,764360,008186,972
2008-12-04$5.70$5.0085.6%24.5%116.4%53.2%85.0%26.1%-0.8%-305.0K51.0M-207.9K0.2912.0012,8653,750369,609203,159
2008-12-05$5.76$10.0075.3%24.3%114.4%43.7%84.4%0.7%-3.1%-255.9K47.2M-207.4K1.415.172,0872,945376,337196,766
2008-12-08$5.73$10.0079.0%22.9%114.3%47.0%85.9%-4.7%-3.0%-251.8K49.1M-188.2K0.055.2317,572792377,434196,461
2008-12-09$6.40$10.0073.1%24.4%120.1%41.6%86.5%-4.5%-9.1%-142.8K24.8M-269.7K0.5510.5928,06315,415390,000195,101
2008-12-10$6.50$10.0097.9%24.7%120.1%64.7%86.7%-1.7%-8.9%-62.6K17.9M-306.5K0.067.1028,7881,660405,117199,247
2008-12-11$6.19$10.0083.4%23.9%119.2%51.1%91.9%-8.6%-2.6%-28.7K24.5M-292.0K0.316.195,6181,768413,536199,521
2008-12-12$6.57$10.0089.5%25.7%118.3%56.8%90.1%-7.0%-12.2%-122.3K17.4M-304.4K2.199.742,5885,677413,547199,598
2008-12-15$6.64$10.0088.7%25.4%116.1%56.1%88.8%4.6%-8.9%-170.9K18.2M-294.6K0.008.577,43212413,614199,412
2008-12-16$7.29$10.0085.4%24.5%119.4%53.0%87.1%-0.8%-8.4%264.1K-4.8M-328.0K0.307.5024,0507,159414,178199,032
2008-12-17$7.18$10.0083.6%24.0%119.2%51.3%89.2%-0.4%-9.1%365.8K-1.7M-332.7K1.356.718,66211,690423,765202,010
2008-12-18$6.84$10.0079.3%22.7%114.4%47.3%98.3%-0.5%-1.9%-210.7K17.9M-311.3K0.103.765,516536424,509210,109
2008-12-19$7.13$10.0078.5%22.5%111.9%46.6%82.8%3.9%-4.1%-260.6K10.8M-315.5K2.589.512,2245,747427,087210,126
2008-12-22$6.89$10.0076.5%21.9%112.0%44.7%80.4%23.6%-4.6%-279.8K24.9M-291.9K1.124.651,1001,236384,183182,247
2008-12-23$6.59$10.0075.6%21.7%111.2%43.9%76.3%14.2%-10.6%-218.8K32.8M-261.2K0.034.3022,776595384,196180,023
2008-12-24$6.56$10.0073.0%20.9%110.1%41.5%73.4%10.9%-6.5%-114.9K29.4M-270.2K0.024.657,206160400,620180,089
2008-12-26$6.45$10.0082.6%23.7%107.1%50.4%84.4%3.2%-12.9%-65.3K30.3M-271.4K3.214.747,51824,107403,222180,184
2008-12-29$6.27$10.0086.0%24.6%107.8%53.5%89.8%11.7%-16.2%61.6K31.6M-250.9K0.456.534,3601,964406,959169,667
2008-12-30$6.64$10.0081.5%23.4%100.9%49.4%84.7%21.7%-12.5%-12.3K22.3M-272.8K4.729.614,91123,171408,926168,411
2008-12-31$6.67$10.0090.1%25.8%100.0%57.4%90.1%18.6%-17.8%24.9K18.7M-273.6K3.973.123,38513,438409,470164,705