MRVL Options History — March 2009

In March 2009, MRVL traded between $7.13 and $9.65. ATM implied volatility averaged 71.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 8.9% (HV 20d: 80.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2009-03-05: Highest Volume — 45,232 contracts
  • 2009-03-06: Largest IV drop — 19.3% change
  • 2009-03-05: Highest IV Rank — 57.0%
  • 2009-03-05: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.59$7.13$9.65$7.13$9.16
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV71.3%62.0%89.7%87.7%67.6%
Expected Move20.2%17.8%25.7%25.1%19.4%
HV 20d80.2%72.9%89.0%75.9%73.4%
HV 60d74.9%72.9%84.4%84.4%73.9%
IV Rank39.9%31.3%57.0%55.1%36.5%
IV Percentile66.4%50.8%88.1%85.7%60.7%
Term Structure0.4%-14.8%8.1%-12.2%1.2%
VWIV70.1%62.2%89.8%88.0%66.5%
Skew 25d4.9%-17.8%36.9%10.5%5.9%
Skew 10d14.3%-29.3%58.9%13.3%14.3%
Call IV 25d68.2%57.6%96.3%96.3%65.5%
Put IV 25d73.1%62.3%108.6%106.7%71.4%
Bid-Ask Spread %10.014.6818.524.6810.37
Gamma HHI0.470.160.780.580.57
Net GEX245.0K30.0K668.8K468.5K266.5K
Net DEX-36.6M-62.5M-16.9M-19.7M-36.2M
Net VEX-217.5K-235.5K-196.1K-196.1K-223.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0410.850.500.04
Total Volume11,136.3181,06045,23223,22810,607
Total OI209,881.409190,877240,254194,881202,634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$7.13$7.5087.7%25.1%75.9%55.1%88.0%10.5%-12.2%468.5K-19.7M-196.1K0.504.6815,4997,729136,88857,993
2009-03-03$7.18$7.5086.5%24.8%75.9%54.1%86.5%36.9%-10.2%407.3K-16.9M-197.4K10.855.815255,695133,55063,201
2009-03-04$7.58$7.5082.7%23.7%78.1%50.5%82.7%11.2%-10.1%392.5K-23.4M-211.9K0.526.4618,2329,405133,88368,241
2009-03-05$7.52$7.5089.7%25.7%77.6%57.0%89.8%-17.8%-14.8%316.2K-20.9M-219.6K1.546.9417,80927,423135,64275,499
2009-03-06$8.06$7.5072.4%19.6%79.5%40.9%66.8%11.4%1.3%250.8K-32.7M-231.5K0.198.9823,2284,354136,94784,644
2009-03-09$7.67$7.5074.1%20.3%80.8%42.5%70.1%-7.5%-0.3%262.5K-21.2M-215.6K0.2510.0314,5313,692135,27681,005
2009-03-10$8.30$7.5072.1%19.3%85.8%40.7%67.7%-2.1%5.1%126.9K-41.6M-207.4K0.368.125,7142,043137,67782,239
2009-03-11$8.64$7.5078.1%19.6%85.5%46.2%65.8%6.3%1.9%273.2K-41.5M-217.1K0.347.864,2191,449129,96484,048
2009-03-12$8.86$7.5064.3%18.4%85.7%33.4%65.0%1.5%2.7%221.8K-46.9M-206.1K0.228.022,277506131,38084,298
2009-03-13$8.98$7.5063.6%18.2%85.8%32.7%63.9%-1.0%1.5%395.2K-49.6M-217.5K0.6310.801,7661,109132,83084,728
2009-03-16$8.39$7.5065.8%18.9%89.0%34.8%65.6%1.1%2.4%104.2K-35.5M-206.4K0.468.912,055936132,46085,158
2009-03-17$8.88$7.5064.5%18.5%83.2%33.5%64.6%4.3%2.5%80.8K-47.8M-201.5K0.319.97950294133,56585,426
2009-03-18$9.46$7.5064.3%18.4%85.4%33.4%65.1%3.8%4.5%668.8K-62.5M-208.0K2.1211.226,01412,742133,78685,429
2009-03-19$8.87$7.5069.5%19.9%85.0%38.2%69.7%-1.4%-0.7%30.0K-43.7M-228.7K0.108.526,342613137,65197,299
2009-03-20$8.75$7.5067.8%19.4%85.5%36.6%66.9%1.5%6.4%80.2K-42.7M-227.3K0.9312.581,9601,820142,81297,442
2009-03-23$9.28$7.5066.9%19.2%82.7%35.8%66.3%10.5%5.3%136.4K-37.2M-225.1K0.2618.255,0971,304109,20181,676
2009-03-24$9.18$7.5067.4%19.3%72.9%36.3%67.5%13.0%2.7%111.4K-34.3M-225.1K0.4411.522,7761,235109,06282,681
2009-03-25$9.18$7.5062.0%17.8%72.9%31.3%62.2%3.5%8.1%128.6K-35.0M-224.0K0.1118.5211,8901,362109,97583,401
2009-03-26$9.65$7.5065.7%18.8%73.5%34.7%65.4%6.3%4.1%219.9K-44.7M-230.0K0.5010.033,0141,512112,34683,417
2009-03-27$9.27$7.5067.3%19.3%75.8%36.2%68.4%1.8%3.6%224.2K-38.5M-235.5K0.1311.083,715496115,68684,202
2009-03-30$9.04$7.5068.5%19.6%73.4%37.3%68.5%8.2%3.3%224.2K-33.3M-228.8K1.2011.60481579117,75584,394
2009-03-31$9.16$7.5067.6%19.4%73.4%36.5%66.5%5.9%1.2%266.5K-36.2M-223.7K0.0410.3710,193414117,94484,690