MRVL Options History — July 2009

In July 2009, MRVL traded between $11.28 and $14.11. ATM implied volatility averaged 44.6%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 3.2% (HV 20d: 41.3%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.40.

Notable Days

  • 2009-07-21: Highest Volume — 32,869 contracts
  • 2009-07-06: Largest IV spike — 17.9% change
  • 2009-07-07: Highest IV Rank — 19.7%
  • 2009-07-07: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.78$11.28$14.11$11.74$13.34
Max Pain$12.11$11.00$12.50$12.00$12.50
ATM IV44.6%39.4%49.6%42.8%39.4%
Expected Move13.0%11.3%14.9%12.3%11.3%
HV 20d41.3%28.5%66.4%66.4%34.4%
HV 60d56.9%55.2%59.3%59.3%55.2%
IV Rank15.0%10.2%19.7%13.4%10.2%
IV Percentile8.2%1.2%19.4%3.2%1.2%
Term Structure5.2%1.9%9.8%5.0%9.8%
VWIV46.1%40.0%51.8%42.8%42.6%
Skew 25d4.8%-3.1%8.2%0.4%4.9%
Skew 10d12.5%-11.8%31.3%-4.4%1.3%
Call IV 25d43.8%39.1%48.6%42.4%39.1%
Put IV 25d48.5%39.7%54.6%42.8%43.9%
Bid-Ask Spread %10.207.3115.2610.837.31
Gamma HHI0.220.120.360.310.16
Net GEX-545.7K-1.6M188.0K-1.2M53.1K
Net DEX-23.5M-51.4M19.8M3.5M-36.0M
Net VEX-234.1K-274.7K-208.8K-274.7K-215.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.126.501.100.50
Total Volume7,388.77336332,8691,76210,660
Total OI180,386.136147,869205,023197,903159,895

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$11.74$12.0042.8%12.3%66.4%13.4%42.8%0.4%5.0%-1.2M3.5M-274.7K1.1010.8384192185,113112,790
2009-07-02$11.67$12.0041.1%11.8%64.2%11.8%40.0%-3.1%9.3%-1.2M5.2M-273.5K0.129.907088385,468113,585
2009-07-06$11.40$12.5048.5%14.7%64.8%18.6%50.8%5.9%2.4%-1.3M15.1M-255.9K0.6615.263,1482,07585,877113,583
2009-07-07$11.50$12.5049.6%14.9%64.6%19.7%51.1%6.3%1.9%-1.3M11.2M-258.5K0.8412.022,6992,26986,419113,843
2009-07-08$11.28$12.5048.9%14.8%40.9%19.1%50.9%5.5%3.5%-1.4M19.8M-250.9K3.0214.592,5067,55686,497114,203
2009-07-09$11.64$12.5043.2%14.3%42.8%13.8%49.3%3.4%4.6%-1.6M6.9M-255.1K6.5011.498965,82386,789118,234
2009-07-10$11.68$12.5043.0%14.3%41.7%13.5%49.0%4.9%3.7%-1.5M5.6M-252.8K0.6410.4722214187,062117,165
2009-07-13$11.89$12.5048.7%13.3%42.2%18.8%47.5%6.3%4.6%-1.3M-1.6M-240.3K0.489.592,3881,14587,018113,946
2009-07-14$12.23$12.5046.3%13.4%43.3%16.6%47.0%5.2%4.3%-928.5K-15.1M-237.9K0.9210.305,8005,35187,790114,153
2009-07-15$12.74$12.5044.6%12.9%42.8%15.0%45.2%3.7%6.2%-539.5K-35.8M-229.9K0.219.589,8002,05088,714114,689
2009-07-16$13.11$12.5047.0%13.5%42.3%17.3%45.8%3.0%3.4%-202.6K-48.5M-220.4K1.1410.205,9956,81888,069114,594
2009-07-17$13.17$12.5044.6%12.8%39.7%15.1%43.9%3.4%5.7%-371.3K-48.8M-220.8K0.259.904,5951,16787,203115,847
2009-07-20$13.44$12.5042.5%12.2%34.2%13.1%43.2%3.8%7.2%-167.0K-37.9M-208.8K0.467.594,8762,25672,16580,952
2009-07-21$13.61$12.5044.9%12.9%28.5%15.3%51.8%7.8%3.8%-153.8K-38.5M-224.3K4.078.586,48726,38274,06382,580
2009-07-22$13.98$11.0045.4%13.0%29.1%15.7%45.6%4.6%3.9%187.4K-50.3M-209.9K1.468.713,7455,46676,25771,612
2009-07-23$13.98$11.0043.7%12.5%29.0%14.2%44.1%6.3%6.5%158.5K-49.3M-218.6K0.6612.862,1941,43876,78674,646
2009-07-24$13.58$11.0042.9%12.3%31.6%13.5%47.4%7.4%6.0%120.5K-41.9M-218.9K1.158.052,4782,85077,47775,371
2009-07-27$13.71$11.0044.3%12.7%30.4%14.7%44.8%5.1%5.5%131.8K-44.3M-220.7K0.338.141,59752578,18376,110
2009-07-28$14.11$11.0045.0%12.9%30.4%15.4%45.2%6.6%4.6%188.0K-51.4M-219.4K2.2212.631,7703,93578,78676,420
2009-07-29$13.75$12.5042.6%12.2%32.7%13.2%42.5%8.2%5.5%109.3K-43.3M-226.4K3.827.521,5315,85279,19279,324
2009-07-30$13.59$12.5041.3%11.9%33.5%12.0%43.3%5.3%7.5%108.5K-41.0M-217.1K0.348.932,61390179,98880,037
2009-07-31$13.34$12.5039.4%11.3%34.4%10.2%42.6%4.9%9.8%53.1K-36.0M-215.9K0.507.317,1123,54879,69280,203