MRVL Options History — September 2009

In September 2009, MRVL traded between $14.90 and $16.43. ATM implied volatility averaged 42.4%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 7.0% (HV 20d: 35.3%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2009-09-17: Highest Volume — 17,588 contracts
  • 2009-09-10: Largest IV spike — 13.0% change
  • 2009-09-25: Highest IV Rank — 9.5%
  • 2009-09-25: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.92$14.90$16.43$15.02$16.19
Max Pain$15.71$14.00$16.00$14.00$16.00
ATM IV42.4%35.8%45.3%43.2%44.8%
Expected Move12.4%11.4%13.0%12.4%12.8%
HV 20d35.3%30.2%40.0%39.4%32.8%
HV 60d36.9%33.6%47.5%47.5%35.3%
IV Rank6.3%0.0%9.5%6.3%9.0%
IV Percentile9.1%0.0%18.7%7.9%18.7%
Term Structure1.1%-1.1%5.6%3.9%-0.7%
VWIV43.1%40.2%45.7%45.7%44.5%
Skew 25d5.2%3.2%7.6%3.2%5.9%
Skew 10d13.4%-1.3%24.6%6.8%13.2%
Call IV 25d40.7%37.3%43.2%43.2%41.7%
Put IV 25d45.9%43.6%48.0%46.4%47.6%
Bid-Ask Spread %11.768.1217.508.359.20
Gamma HHI0.200.130.780.230.15
Net GEX460.1K-5.4M901.2K757.1K891.4K
Net DEX-55.1M-74.0M-35.7M-43.5M-49.4M
Net VEX-219.5K-253.6K-201.9K-251.9K-210.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.102.860.430.35
Total Volume5,2591,18717,5887,2801,833
Total OI127,470.095103,483147,248135,384116,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$15.02$14.0043.2%12.4%39.4%6.3%45.7%3.2%3.9%757.1K-43.5M-251.9K0.438.355,0922,18878,61256,772
2009-09-02$14.90$14.0042.6%12.2%39.4%4.1%40.2%3.4%4.4%780.6K-41.1M-253.6K0.589.911,07462179,36657,484
2009-09-03$14.97$14.0039.9%11.4%37.1%1.3%42.7%7.6%5.6%765.0K-40.9M-249.8K0.1012.253,34633878,14757,442
2009-09-04$15.70$16.0035.8%12.1%39.9%0.0%44.0%6.2%2.3%828.0K-60.3M-239.5K0.6210.765,0503,13379,91357,467
2009-09-08$16.25$16.0039.3%12.5%40.0%3.5%44.3%4.8%1.7%728.8K-73.8M-219.7K0.1417.509,2321,31579,74856,491
2009-09-09$16.32$16.0038.1%12.5%39.8%2.3%42.3%5.4%0.4%792.0K-73.2M-221.4K0.2917.182,16163179,63857,058
2009-09-10$16.41$16.0043.0%12.3%38.8%7.3%41.4%5.2%1.1%731.8K-74.0M-216.9K0.1312.205,58074079,25457,489
2009-09-11$16.32$16.0043.4%12.4%37.9%7.6%41.9%5.9%-0.0%828.6K-72.4M-219.7K0.3615.722,57093380,44457,692
2009-09-14$16.17$16.0043.2%12.4%34.3%7.5%42.2%4.3%0.7%868.3K-69.4M-216.4K0.208.1299219580,22757,587
2009-09-15$16.21$16.0042.5%12.2%31.1%6.8%42.2%5.6%1.4%810.6K-69.4M-211.0K0.149.721,91027779,35357,559
2009-09-16$16.43$16.0044.3%12.7%30.2%8.5%45.5%6.9%-1.1%742.5K-72.8M-207.8K0.2211.843,68779379,15857,680
2009-09-17$15.93$16.0043.8%12.5%33.1%8.0%43.2%4.5%-0.2%901.2K-61.5M-206.9K2.8611.144,56113,02778,07457,390
2009-09-18$16.07$16.0042.2%12.1%33.1%6.4%41.2%4.9%0.3%-5.4M-61.8M-206.9K1.5912.313,8156,08479,23968,009
2009-09-21$15.76$16.0042.5%12.2%34.2%6.7%43.1%3.4%1.0%451.7K-35.7M-201.9K0.329.555,7921,84661,17342,310
2009-09-22$15.98$16.0041.2%11.8%32.7%5.4%40.6%6.5%1.6%582.0K-40.6M-211.6K0.459.161,89685164,39643,471
2009-09-23$16.22$16.0042.9%12.3%32.8%7.1%42.8%4.2%0.8%643.8K-45.9M-209.0K0.2411.512,30154365,24343,849
2009-09-24$15.70$16.0043.4%12.5%35.1%7.7%44.6%5.1%1.0%540.1K-36.7M-210.6K0.139.286,19381464,99243,779
2009-09-25$15.72$16.0045.3%13.0%34.9%9.5%44.9%4.9%-0.1%730.8K-40.5M-217.1K0.3112.092,78586968,99144,155
2009-09-28$16.22$16.0044.8%12.8%32.4%9.0%43.2%6.6%-0.9%872.4K-50.0M-212.0K0.5014.561,79989270,23944,684
2009-09-29$15.92$16.0044.1%12.6%33.1%8.3%44.1%4.9%0.3%849.3K-44.7M-214.3K0.4014.571,92076070,76145,032
2009-09-30$16.19$16.0044.8%12.8%32.8%9.0%44.5%5.9%-0.7%891.4K-49.4M-210.5K0.359.201,35647771,13245,372