MRVL Options History — April 2009

In April 2009, MRVL traded between $9.47 and $10.98. ATM implied volatility averaged 63.4%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 4.5% (HV 20d: 58.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-04-15: Highest Volume — 30,975 contracts
  • 2009-04-03: Largest IV drop — 13.6% change
  • 2009-04-15: Highest IV Rank — 39.8%
  • 2009-04-15: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.16$9.47$10.98$9.47$10.98
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV63.4%56.9%71.2%66.7%57.2%
Expected Move18.5%16.4%20.4%19.1%16.4%
HV 20d58.9%47.9%72.6%72.2%51.7%
HV 60d69.5%66.0%74.1%74.1%67.5%
IV Rank32.6%26.5%39.8%35.6%26.7%
IV Percentile50.4%36.5%66.7%58.7%36.5%
Term Structure1.4%-4.3%6.9%2.2%3.3%
VWIV65.4%56.6%81.1%64.1%58.5%
Skew 25d4.1%-1.1%8.7%8.7%-1.1%
Skew 10d8.5%-10.3%31.2%21.1%-5.5%
Call IV 25d63.1%56.2%70.7%60.7%60.6%
Put IV 25d67.3%59.6%73.4%69.3%59.6%
Bid-Ask Spread %12.627.9917.7710.1910.41
Gamma HHI0.300.160.510.510.29
Net GEX534.6K351.5K827.5K351.5K505.2K
Net DEX-59.9M-80.2M-42.8M-42.8M-76.7M
Net VEX-201.9K-228.8K-173.3K-227.6K-182.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.041.690.120.45
Total Volume7,615.4761,65030,9755,86721,452
Total OI205,140.857188,319223,511205,767199,099

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$9.47$7.5066.7%19.1%72.2%35.6%64.1%8.7%2.2%351.5K-42.8M-227.6K0.1210.195,245622120,90184,866
2009-04-02$9.87$7.5065.9%18.9%72.6%34.8%65.2%6.8%1.1%418.6K-53.6M-228.8K1.0512.762,5062,638121,83685,100
2009-04-03$10.06$7.5056.9%18.8%69.6%26.5%66.1%3.0%0.8%528.3K-57.4M-222.7K0.1711.936,7171,157122,43686,938
2009-04-06$9.73$7.5063.0%19.4%67.9%32.2%68.7%4.8%-2.1%561.1K-51.8M-222.5K0.109.593,489363126,33987,005
2009-04-07$9.47$7.5067.4%19.8%64.4%36.3%70.6%3.4%-0.5%593.0K-47.7M-213.6K0.6010.022,7111,638128,23787,244
2009-04-08$10.05$7.5060.3%19.2%66.1%29.6%66.4%4.5%-1.4%693.6K-62.2M-220.3K0.289.324,0771,121130,18687,319
2009-04-09$10.47$7.5063.9%18.3%66.8%33.0%64.9%2.8%1.2%652.3K-73.4M-220.6K0.387.993,4991,339130,02888,159
2009-04-13$10.23$7.5067.6%19.4%67.7%36.4%81.1%7.4%-2.4%731.8K-66.8M-214.0K1.6912.132,4034,065129,17387,594
2009-04-14$10.30$7.5066.1%18.9%61.8%35.0%69.2%4.0%-0.5%719.1K-68.1M-209.6K0.5515.615,3962,956129,13887,156
2009-04-15$10.31$7.5071.2%20.4%59.3%39.8%70.8%2.6%-4.3%827.5K-69.4M-209.3K0.0417.7729,6821,293130,30787,219
2009-04-16$10.62$7.5066.5%19.1%56.2%35.4%67.8%2.3%-2.1%760.7K-80.2M-206.4K0.2616.106,9901,788135,88385,696
2009-04-17$10.42$7.5066.0%18.9%50.8%35.0%65.4%3.4%-1.4%575.9K-74.3M-205.2K0.049.518,248354136,58586,926
2009-04-20$9.79$7.5063.7%18.3%56.2%32.8%65.3%5.3%4.5%415.5K-46.5M-190.6K0.3913.663,4371,340121,44266,877
2009-04-21$9.88$7.5064.8%18.6%52.6%33.9%63.8%4.3%1.9%418.1K-47.5M-188.6K0.3311.211,244406121,92667,743
2009-04-22$10.12$7.5064.3%18.4%52.8%33.4%63.8%3.8%2.5%414.5K-54.4M-184.0K0.4316.632,276975122,44367,927
2009-04-23$10.17$7.5060.3%17.3%52.8%29.6%60.8%3.0%5.5%396.2K-54.9M-182.0K0.2511.191,329337121,75067,184
2009-04-24$10.41$7.5057.8%16.6%50.6%27.3%60.1%3.6%6.9%408.4K-59.3M-182.7K0.8713.632,7412,384121,82667,429
2009-04-27$10.48$7.5060.6%17.4%47.9%30.0%60.4%3.2%5.2%393.1K-59.3M-178.2K0.0917.592,528239122,14269,265
2009-04-28$10.15$7.5064.1%18.4%48.5%33.2%63.0%7.5%4.4%377.8K-52.6M-173.3K0.0714.186,252432122,32669,366
2009-04-29$10.32$7.5057.9%16.6%48.6%27.4%56.6%3.6%5.4%485.2K-58.7M-177.2K0.1213.6810,9101,346127,37869,564
2009-04-30$10.98$7.5057.2%16.4%51.7%26.7%58.5%-1.1%3.3%505.2K-76.7M-182.2K0.4510.4114,7926,660129,03370,066