MRVL Options History — February 2009

In February 2009, MRVL traded between $6.61 and $8.28. ATM implied volatility averaged 70.1%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 1.3% (HV 20d: 68.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2009-02-12: Highest Volume — 36,490 contracts
  • 2009-02-12: Largest IV spike — 20.0% change
  • 2009-02-25: Highest IV Rank — 51.4%
  • 2009-02-25: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.61$6.61$8.28$7.34$7.51
Max Pain$6.84$5.00$7.50$7.50$7.50
ATM IV70.1%58.7%83.7%66.0%83.5%
Expected Move20.9%17.0%24.0%18.9%23.9%
HV 20d68.9%62.5%77.9%74.5%73.5%
HV 60d87.4%83.7%90.3%90.3%83.7%
IV Rank38.8%28.2%51.4%35.0%51.2%
IV Percentile68.5%51.6%84.1%62.7%83.3%
Term Structure-0.8%-11.8%15.2%11.7%-9.9%
VWIV73.3%59.3%85.9%66.0%83.6%
Skew 25d12.0%-10.7%27.7%6.2%-10.7%
Skew 10d25.7%-19.3%82.5%10.7%-17.7%
Call IV 25d68.9%43.8%85.7%55.4%85.7%
Put IV 25d80.9%60.4%100.9%61.6%75.1%
Bid-Ask Spread %7.944.5812.515.076.92
Gamma HHI0.750.580.880.880.58
Net GEX1.1M536.3K2.2M822.2K629.1K
Net DEX-49.7M-76.6M-23.6M-39.3M-33.8M
Net VEX-238.4K-264.7K-195.1K-241.3K-216.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.011.440.060.58
Total Volume13,168.2633,09036,49013,61223,494
Total OI259,901.789199,219298,293256,490199,219

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$7.34$7.5066.0%18.9%74.5%35.0%66.0%6.2%11.7%822.2K-39.3M-241.3K0.065.0712,898714180,27776,213
2009-02-03$7.49$7.5062.1%17.8%74.5%31.4%64.2%7.1%10.9%967.7K-47.0M-258.4K0.495.582,6541,292192,10776,551
2009-02-04$7.68$7.5059.9%17.2%68.7%29.3%59.9%13.5%15.2%975.5K-50.6M-252.9K0.249.528,6652,088187,59277,753
2009-02-05$8.08$7.5059.4%17.0%68.8%28.8%59.3%17.4%12.0%960.4K-62.4M-256.0K0.628.278,4535,238187,72777,918
2009-02-06$8.28$7.5058.7%21.6%69.1%28.2%72.0%8.9%-4.7%536.3K-73.7M-240.5K0.108.7816,5581,596188,71381,624
2009-02-09$8.16$7.5064.7%22.0%65.1%33.8%75.1%-3.1%-4.5%1.0M-67.5M-264.7K0.218.142,561529201,18881,659
2009-02-10$7.84$7.5065.2%21.9%63.9%34.2%76.1%11.1%-4.6%1.1M-55.8M-256.8K1.029.912,7092,771196,99181,933
2009-02-11$7.83$7.5061.3%20.7%63.0%30.5%71.9%8.6%-2.8%1.1M-54.6M-252.5K0.019.5612,301154197,84083,700
2009-02-12$7.93$7.5073.5%21.1%62.5%41.9%73.3%15.3%-3.0%1.4M-60.1M-251.1K1.4411.1514,96121,529197,96983,758
2009-02-13$8.19$7.5072.6%20.8%62.6%41.1%72.4%10.3%-1.8%1.2M-76.6M-247.5K0.059.488,254424208,04874,461
2009-02-17$7.44$7.5072.3%20.7%72.1%40.8%73.3%14.1%-0.8%1.9M-50.5M-234.3K0.256.1510,1062,574213,75874,267
2009-02-18$7.49$5.0069.0%19.8%63.3%37.7%69.0%13.5%0.1%2.2M-55.0M-236.1K0.067.116,312388221,52374,733
2009-02-19$7.00$5.0070.2%20.1%66.8%38.9%70.3%9.6%-1.4%1.6M-38.7M-219.9K0.406.673,3671,336224,89173,315
2009-02-20$7.02$5.0071.4%20.5%66.8%39.9%71.8%27.7%-1.6%785.5K-30.5M-212.1K0.727.961,9911,429225,22973,064
2009-02-23$6.61$5.0074.1%21.3%64.2%42.5%83.3%25.3%-0.5%675.2K-23.6M-195.1K0.1812.513,637659154,93546,310
2009-02-24$7.48$5.0081.6%23.4%77.9%49.5%81.6%16.8%-7.8%819.1K-42.7M-227.9K1.056.178,3638,764156,32746,860
2009-02-25$7.64$7.5083.7%24.0%76.2%51.4%83.7%21.0%-9.7%821.2K-44.4M-236.9K0.964.5814,79114,246159,23953,663
2009-02-26$7.51$7.5083.3%23.9%75.0%51.0%85.9%16.0%-11.8%698.4K-37.9M-229.2K0.047.4121,567824153,66353,116
2009-02-27$7.51$7.5083.5%23.9%73.5%51.2%83.6%-10.7%-9.9%629.1K-33.8M-216.3K0.586.9214,8568,638146,40552,814