MRVL Options History — June 2009

In June 2009, MRVL traded between $10.78 and $12.92. ATM implied volatility averaged 47.5%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 23.5% (HV 20d: 71.0%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2009-06-09: Highest Volume — 49,893 contracts
  • 2009-06-04: Largest IV drop — 7.8% change
  • 2009-06-22: Highest IV Rank — 21.5%
  • 2009-06-22: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.81$10.78$12.92$12.13$11.64
Max Pain$11.82$11.00$12.00$11.00$12.00
ATM IV47.5%41.7%51.6%46.4%41.7%
Expected Move13.6%12.0%14.8%13.3%12.0%
HV 20d71.0%54.2%79.9%54.2%67.8%
HV 60d60.4%58.5%64.4%59.2%59.7%
IV Rank17.7%12.3%21.5%16.8%12.3%
IV Percentile15.2%1.6%24.6%15.9%1.6%
Term Structure2.3%-0.7%7.1%-0.7%7.1%
VWIV47.7%42.2%51.3%46.2%42.2%
Skew 25d2.3%-0.1%6.7%3.2%2.5%
Skew 10d4.8%-8.8%23.2%10.0%-5.9%
Call IV 25d47.0%41.7%52.7%43.8%42.7%
Put IV 25d49.3%44.5%55.2%47.0%45.2%
Bid-Ask Spread %11.227.8517.0511.879.40
Gamma HHI0.290.160.790.250.31
Net GEX-846.3K-7.7M140.7K31.4K-1.2M
Net DEX-12.6M-56.3M26.1M-36.1M6.9M
Net VEX-270.0K-293.0K-230.7K-238.0K-278.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.294.430.930.96
Total Volume13,791.36498649,89311,795986
Total OI197,926.136167,040245,536168,840197,741

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$12.13$11.0046.4%13.3%54.2%16.8%46.2%3.2%-0.7%31.4K-36.1M-238.0K0.9311.876,1075,68886,87781,963
2009-06-02$11.16$11.0049.0%14.1%61.4%19.2%50.9%0.3%1.0%-278.6K-8.1M-240.9K1.0410.885,9766,22084,64182,399
2009-06-03$10.78$11.0048.4%13.9%61.9%18.6%49.9%-0.1%1.0%-340.1K1.9M-230.7K2.0111.462,4634,95186,38582,807
2009-06-04$11.34$11.0044.7%12.8%63.8%15.1%44.4%6.3%0.7%-302.3K-11.2M-239.6K1.789.129,43916,83187,45585,531
2009-06-05$11.37$12.0044.0%12.8%59.6%14.5%44.1%3.0%3.1%-528.9K-5.7M-260.1K2.5612.741,1022,82087,96497,233
2009-06-08$11.21$12.0046.9%13.1%58.6%17.1%45.5%2.6%2.4%-415.0K-2.3M-253.1K0.5212.933,9292,04493,08697,950
2009-06-09$12.84$12.0048.2%13.8%75.3%18.4%48.4%1.4%0.4%140.7K-55.1M-245.6K0.7610.3228,27121,62293,29498,273
2009-06-10$12.92$12.0047.7%13.9%73.5%17.9%49.2%1.9%1.4%68.6K-56.3M-278.9K0.7911.0111,7049,26999,919110,106
2009-06-11$12.51$12.0048.6%13.9%74.5%18.8%49.2%1.8%0.6%139.5K-44.7M-289.3K0.2910.291,994571103,555111,063
2009-06-12$12.33$12.0048.5%13.9%73.7%18.7%48.7%2.7%1.6%-21.4K-34.7M-284.1K0.4411.433,1391,38099,312110,804
2009-06-15$12.47$12.0048.4%13.9%73.7%18.6%48.1%1.2%1.1%68.9K-42.2M-273.2K3.6014.903,34912,060100,204110,503
2009-06-16$11.95$12.0048.6%13.9%73.6%18.7%48.5%2.6%0.7%-122.5K-16.9M-290.5K1.8817.052,5024,716100,942118,739
2009-06-17$11.66$12.0048.1%13.8%74.2%18.3%49.2%4.6%4.1%-577.3K-2.4M-283.5K3.7714.337,08626,722101,316120,889
2009-06-18$11.27$12.0051.2%14.7%75.2%21.2%51.1%6.7%1.3%-1.8M26.1M-272.2K3.639.534,69417,059102,730135,615
2009-06-19$12.01$12.0050.0%14.3%78.1%20.1%49.5%1.8%1.4%-7.7M-13.6M-287.0K1.5610.1312,17318,971104,229141,307
2009-06-22$11.48$12.0051.6%14.8%79.9%21.5%51.3%0.4%3.2%-863.9K7.4M-271.8K1.5511.044,6927,26377,381101,476
2009-06-23$11.52$12.0049.6%14.2%77.1%19.7%49.8%1.2%5.6%-951.0K7.6M-281.7K1.5510.854,0866,33080,506106,341
2009-06-24$11.77$12.0048.8%14.0%77.4%19.0%48.8%3.5%2.3%-965.5K675.9K-287.6K1.309.053,2384,20481,638108,110
2009-06-25$12.00$12.0046.8%13.4%77.5%17.1%46.7%-0.1%2.9%-928.8K-6.0M-293.0K1.069.312,7602,92483,305110,592
2009-06-26$11.80$12.0044.4%12.7%77.3%14.9%44.2%1.3%4.1%-1.0M1.4M-286.1K0.2911.431,39340484,077110,853
2009-06-29$11.67$12.0043.4%12.5%74.3%14.0%42.6%2.4%5.0%-1.1M6.1M-274.1K4.437.851,8938,38584,127111,137
2009-06-30$11.64$12.0041.7%12.0%67.8%12.3%42.2%2.5%7.1%-1.2M6.9M-278.2K0.969.4050448285,136112,605