MRVL Options History — January 2009

In January 2009, MRVL traded between $5.80 and $7.64. ATM implied volatility averaged 76.7%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 2.1% (HV 20d: 74.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-01-06: Highest Volume — 42,004 contracts
  • 2009-01-13: Largest IV drop — 39.6% change
  • 2009-01-12: Highest IV Rank — 79.1%
  • 2009-01-22: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.81$5.80$7.64$7.11$7.29
Max Pain$7.63$7.50$10.00$10.00$7.50
ATM IV76.7%61.9%113.4%68.1%63.1%
Expected Move21.0%17.7%26.9%19.5%18.1%
HV 20d74.6%65.3%81.0%79.4%77.7%
HV 60d92.4%90.5%94.5%93.0%92.3%
IV Rank44.9%31.1%79.1%36.9%32.2%
IV Percentile76.1%58.3%98.0%71.4%59.9%
Term Structure3.8%-4.5%14.2%-3.7%13.0%
VWIV72.9%61.9%98.0%67.8%63.1%
Skew 25d12.8%3.0%53.2%53.2%5.2%
Skew 10d20.6%3.2%74.5%74.5%9.4%
Call IV 25d68.9%48.5%83.8%67.2%52.6%
Put IV 25d81.7%56.3%120.4%120.4%57.8%
Bid-Ask Spread %8.704.0914.474.096.21
Gamma HHI0.600.330.880.510.88
Net GEX449.1K-141.5K867.8K-141.5K801.6K
Net DEX-3.4M-47.1M38.4M9.7M-38.9M
Net VEX-241.2K-291.8K-192.4K-276.5K-245.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.051.570.610.55
Total Volume12,522.299642,00424,0461,932
Total OI443,532.6229,196619,233574,189256,255

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$7.11$10.0068.1%19.5%79.4%36.9%67.8%53.2%-3.7%-141.5K9.7M-276.5K0.614.0914,9169,130410,856163,333
2009-01-05$7.02$7.5076.3%19.0%74.0%44.6%66.2%6.7%4.7%-13.8K13.9M-271.1K0.6512.5810,3786,785417,941167,638
2009-01-06$7.64$7.5080.5%20.4%78.6%48.5%72.0%4.9%0.2%-80.2K-11.7M-291.8K1.285.9518,43923,565421,444165,866
2009-01-07$7.31$7.5074.9%20.3%81.0%43.2%64.9%5.9%0.8%-73.8K6.3M-286.8K0.4614.472,8511,318427,663176,130
2009-01-08$7.28$7.5079.0%20.9%72.3%47.1%78.6%3.5%-2.5%-88.5K5.6M-284.5K0.287.86781215428,248176,651
2009-01-09$6.86$7.5084.9%21.5%75.9%52.6%98.0%11.3%-4.5%58.8K22.6M-256.8K0.059.288,510447428,244176,634
2009-01-12$6.52$7.50113.4%21.4%76.1%79.1%79.1%7.5%-1.2%545.8K38.4M-216.0K0.138.7910,4951,410434,687176,574
2009-01-13$6.38$7.5068.5%22.9%73.4%37.2%80.7%10.7%-1.2%520.4K36.9M-220.5K1.248.089,41611,692438,327176,938
2009-01-14$6.31$7.5079.1%22.3%73.3%47.2%81.3%10.8%2.8%534.8K35.0M-219.4K0.298.958,1722,380441,618174,831
2009-01-15$6.50$7.5075.3%21.6%65.3%43.6%79.2%9.2%2.7%576.8K34.4M-221.7K0.687.791,393951442,531176,651
2009-01-16$6.31$7.5072.9%20.9%65.8%41.3%74.6%16.4%5.2%557.5K36.2M-214.3K1.4910.519171,364442,622176,611
2009-01-20$5.80$7.5092.4%26.5%69.9%59.5%84.7%5.2%-4.2%487.5K-16.1M-192.4K0.1910.358,8151,652174,91454,282
2009-01-21$6.16$7.5091.3%26.2%72.0%58.5%72.3%16.1%-2.0%574.4K-22.8M-203.8K0.138.9611,6961,575179,90254,494
2009-01-22$6.21$7.5093.8%26.9%71.5%60.8%70.5%20.3%2.1%655.6K-26.1M-211.7K0.479.3415,9837,584189,00754,840
2009-01-23$6.75$7.5065.5%18.8%76.4%34.5%69.9%23.9%12.6%744.1K-31.5M-224.9K0.9213.5310,2169,447181,08858,737
2009-01-26$6.84$7.5066.8%19.2%76.5%35.7%67.5%25.1%10.9%788.8K-34.1M-235.9K1.578.164,0186,295187,29765,508
2009-01-27$7.20$7.5061.9%17.7%78.0%31.1%61.9%7.7%13.6%854.8K-41.6M-250.6K0.306.6610,5763,170186,96170,708
2009-01-28$7.52$7.5063.5%18.2%78.1%32.6%63.5%10.4%11.7%867.8K-47.1M-252.5K1.115.203,3243,684183,14473,398
2009-01-29$7.23$7.5062.9%18.0%77.7%32.1%62.9%3.0%14.2%810.2K-38.0M-247.0K0.067.294,650302182,07876,001
2009-01-30$7.29$7.5063.1%18.1%77.7%32.2%63.1%5.2%13.0%801.6K-38.9M-245.0K0.556.211,249683180,13776,118