MRVL Options History — May 2009

In May 2009, MRVL traded between $10.19 and $11.69. ATM implied volatility averaged 58.7%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 6.7% (HV 20d: 52.1%). Max pain ranged from $7.50 to $11.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2009-05-28: Highest Volume — 38,399 contracts
  • 2009-05-29: Largest IV drop — 27.9% change
  • 2009-05-28: Highest IV Rank — 33.6%
  • 2009-05-07: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.11$10.19$11.69$11.25$11.43
Max Pain$10.03$7.50$11.00$7.50$11.00
ATM IV58.7%46.5%64.5%55.6%46.5%
Expected Move17.2%13.3%18.9%15.9%13.3%
HV 20d52.1%49.1%55.5%50.6%50.7%
HV 60d64.0%58.3%68.7%67.5%58.3%
IV Rank28.2%16.8%33.6%25.3%16.8%
IV Percentile37.7%16.3%51.2%35.7%16.3%
Term Structure-3.8%-8.1%6.7%6.7%-0.4%
VWIV60.6%45.9%70.8%54.5%45.9%
Skew 25d4.2%-1.5%6.9%-1.5%1.3%
Skew 10d9.9%3.9%28.3%7.5%5.7%
Call IV 25d58.8%44.7%65.4%57.9%44.7%
Put IV 25d63.0%45.9%69.3%56.4%45.9%
Bid-Ask Spread %13.337.0718.2517.847.07
Gamma HHI0.190.100.380.290.25
Net GEX186.4K-147.7K481.7K481.7K-28.2K
Net DEX-44.4M-89.7M-15.9M-81.8M-19.2M
Net VEX-199.1K-239.1K-181.0K-194.5K-239.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.244.680.371.73
Total Volume10,124.252,94638,3996,63623,273
Total OI181,673.4111,072241,312206,702162,564

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$11.25$7.5055.6%15.9%50.6%25.3%54.5%-1.5%6.7%481.7K-81.8M-194.5K0.3717.844,8431,793130,95875,744
2009-05-04$11.59$10.0064.2%17.9%51.1%33.3%64.1%6.7%-2.6%417.6K-89.7M-191.9K1.1715.794,5045,286130,93776,557
2009-05-05$11.29$10.0056.2%17.8%50.4%25.9%61.7%5.3%-5.3%297.9K-75.8M-186.1K2.1615.002,6435,697129,27981,041
2009-05-06$11.61$10.0054.5%17.6%49.1%24.3%61.9%3.6%-3.0%136.2K-81.4M-190.1K0.7311.341,8021,319129,86586,034
2009-05-07$10.91$10.0058.1%18.9%51.9%27.6%70.8%3.9%-6.0%249.6K-62.6M-183.5K0.2417.086,3461,513130,11486,774
2009-05-08$10.57$9.0054.3%18.2%51.4%24.1%64.6%5.9%-5.8%353.6K-55.7M-184.2K1.0812.803,4203,704134,83187,796
2009-05-11$10.72$10.0062.7%17.9%50.9%31.9%63.4%5.5%-4.9%325.7K-59.3M-181.0K2.0610.953,9848,195135,16390,449
2009-05-12$10.36$10.0064.1%18.4%52.4%33.2%63.7%5.5%-5.1%310.9K-47.5M-185.2K3.6812.912,74610,112136,44595,003
2009-05-13$10.19$10.0064.5%18.7%52.8%33.5%66.5%5.5%-5.8%165.0K-38.4M-195.6K0.479.992,5611,191138,055102,294
2009-05-14$10.68$10.0062.0%17.8%54.4%31.2%61.7%6.9%-4.2%351.2K-55.5M-195.3K0.4618.252,021925137,816102,761
2009-05-15$10.69$10.0060.1%17.2%53.9%29.5%60.2%4.2%-3.0%390.7K-56.6M-192.7K0.6314.732,9241,835138,312103,000
2009-05-18$11.28$10.0059.4%17.0%51.5%28.8%58.5%4.4%-0.9%90.1K-20.5M-192.6K0.4312.075,1772,24564,39246,680
2009-05-19$11.39$10.0058.3%16.7%51.5%27.8%58.0%5.4%-2.7%170.8K-24.5M-196.6K0.3415.423,3741,13468,80347,430
2009-05-20$11.28$10.0057.3%16.4%51.4%26.9%57.7%4.4%-2.6%166.1K-22.1M-199.0K1.3612.423,6965,01169,50648,279
2009-05-21$11.09$10.0058.3%16.7%52.0%27.8%58.8%3.4%-3.8%118.9K-18.4M-202.8K1.5810.961,3242,08670,31851,846
2009-05-22$10.96$10.0056.7%16.3%51.8%26.3%56.1%2.5%-6.6%92.9K-15.9M-202.2K4.6817.082,66512,48270,78553,741
2009-05-26$11.62$11.0056.4%16.2%55.5%26.1%57.3%5.0%-4.9%-100.4K-22.0M-218.7K1.7313.973,1425,42472,23264,506
2009-05-27$11.50$11.0060.9%17.4%54.1%30.2%59.6%2.5%-7.7%-114.1K-20.0M-218.3K1.7310.715,0098,68072,53665,019
2009-05-28$11.69$11.0064.5%18.5%54.0%33.6%65.9%4.4%-8.1%-147.7K-22.0M-231.9K0.7510.1521,97616,42374,70470,899
2009-05-29$11.43$11.0046.5%13.3%50.7%16.8%45.9%1.3%-0.4%-28.2K-19.2M-239.1K1.737.078,52214,75186,86075,704