MRVL Options History — August 2009

In August 2009, MRVL traded between $13.27 and $15.36. ATM implied volatility averaged 47.5%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 10.1% (HV 20d: 37.4%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2009-08-28: Highest Volume — 35,068 contracts
  • 2009-08-13: Largest IV spike — 23.4% change
  • 2009-08-24: Highest IV Rank — 23.0%
  • 2009-08-24: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.01$13.27$15.36$13.80$15.25
Max Pain$13.71$12.50$14.00$12.50$14.00
ATM IV47.5%38.6%58.9%41.0%43.0%
Expected Move14.3%11.5%16.9%11.7%12.3%
HV 20d37.4%32.9%40.8%33.8%39.4%
HV 60d51.9%47.4%53.9%53.9%47.5%
IV Rank14.4%4.2%23.0%11.7%7.1%
IV Percentile15.0%1.2%34.5%2.0%7.5%
Term Structure-0.6%-6.4%10.6%6.9%4.2%
VWIV49.9%41.5%59.0%41.5%43.5%
Skew 25d4.9%-0.0%6.6%2.5%5.1%
Skew 10d12.0%1.3%20.0%9.4%15.6%
Call IV 25d47.8%37.8%57.1%41.9%39.7%
Put IV 25d52.7%42.7%62.6%44.4%44.8%
Bid-Ask Spread %13.406.5220.9010.788.43
Gamma HHI0.220.180.280.190.25
Net GEX137.6K-112.3K900.9K172.4K716.0K
Net DEX-40.3M-55.4M-14.1M-46.2M-49.3M
Net VEX-228.1K-256.3K-214.0K-224.7K-256.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.105.522.330.46
Total Volume8,799.7141,85135,0685,9553,684
Total OI159,219.714104,107182,815164,777138,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$13.80$12.5041.0%11.7%33.8%11.7%41.5%2.5%6.9%172.4K-46.2M-224.7K2.3310.781,7894,16682,90481,873
2009-08-04$14.13$12.5042.0%12.0%34.1%12.6%44.0%-0.0%7.8%177.1K-52.7M-228.4K1.116.523,7224,14683,37084,620
2009-08-05$14.04$12.5042.4%12.2%32.9%13.0%42.4%1.9%8.6%130.1K-49.7M-234.8K3.018.531,8985,70983,63287,530
2009-08-06$13.59$12.5041.1%11.8%35.4%11.8%41.6%4.0%10.6%45.1K-39.4M-238.6K5.529.031,1946,59584,54888,598
2009-08-07$13.54$14.0040.8%14.4%35.6%11.5%50.5%6.3%-2.3%-27.7K-36.6M-242.9K0.6017.002,0021,19284,83991,183
2009-08-10$13.32$14.0042.5%15.1%36.3%13.0%54.0%5.5%-4.3%-86.9K-31.5M-233.3K1.0114.2898098884,90891,334
2009-08-11$13.31$14.0038.6%15.3%35.4%9.5%53.2%5.7%-5.3%-107.2K-31.4M-231.6K0.3713.751,56958284,70291,519
2009-08-12$13.78$14.0041.0%15.0%34.6%11.7%51.1%5.2%-3.9%5.1K-42.1M-233.0K0.8618.483,4803,00285,14291,498
2009-08-13$14.25$14.0050.6%14.5%35.1%20.7%49.3%3.6%-1.6%12.6K-53.4M-233.1K0.1016.152,30924286,26192,842
2009-08-14$13.69$14.0051.4%14.7%38.5%15.5%50.3%6.0%-2.7%-106.3K-40.1M-226.8K2.5212.371,0112,55186,18493,059
2009-08-17$13.27$14.0054.3%15.6%39.5%18.4%54.0%5.5%-3.8%-106.8K-30.7M-216.5K0.4610.203,1991,47986,37992,346
2009-08-18$13.68$14.0052.9%15.2%40.8%17.0%52.9%5.4%-3.2%-40.3K-40.1M-218.5K0.6412.151,13072186,57692,441
2009-08-19$13.92$14.0053.1%15.2%40.1%17.2%51.7%5.8%-4.0%18.7K-46.6M-219.6K0.2915.932,55074886,60092,193
2009-08-20$14.01$14.0053.9%15.4%40.2%18.0%53.7%6.1%-3.9%130.6K-50.2M-214.0K1.5120.903,6255,47187,56190,850
2009-08-21$14.23$14.0054.0%15.5%39.0%18.2%53.4%5.3%-4.3%-112.3K-54.4M-220.2K0.9111.923,4343,11787,21495,601
2009-08-24$13.91$14.0058.9%16.9%39.9%23.0%59.0%5.5%-6.4%16.8K-14.1M-216.0K0.6119.882,7461,68156,43447,673
2009-08-25$14.09$14.0052.8%15.1%38.8%16.9%52.6%5.9%-2.9%55.1K-16.9M-218.1K0.7610.8110,2187,76058,26148,817
2009-08-26$14.40$14.0053.8%15.4%38.3%17.9%54.2%6.3%-3.6%453.1K-28.5M-223.2K0.4814.3113,1476,35364,70846,244
2009-08-27$14.63$14.0050.4%14.5%38.2%14.5%52.3%6.6%-1.6%643.7K-36.1M-228.9K0.5114.9019,6139,92369,96947,046
2009-08-28$15.36$14.0040.1%11.5%40.4%4.2%41.7%4.9%3.7%900.9K-55.4M-231.7K0.7214.9620,34214,72675,88352,077
2009-08-31$15.25$14.0043.0%12.3%39.4%7.1%43.5%5.1%4.2%716.0K-49.3M-256.3K0.468.432,5181,16679,44558,750