MRVL Options History — October 2009

In October 2009, MRVL traded between $13.73 and $16.41. ATM implied volatility averaged 45.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 2.0% (HV 20d: 43.8%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2009-10-15: Highest Volume — 25,552 contracts
  • 2009-10-12: Largest IV spike — 18.0% change
  • 2009-10-13: Highest IV Rank — 18.2%
  • 2009-10-01: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.12$13.73$16.41$14.96$13.73
Max Pain$14.95$14.00$16.00$16.00$14.00
ATM IV45.9%38.5%52.9%52.9%48.1%
Expected Move12.8%11.0%15.2%15.2%13.8%
HV 20d43.8%38.9%47.6%44.0%43.6%
HV 60d39.4%38.1%41.5%39.0%41.5%
IV Rank11.3%3.4%18.2%17.1%15.3%
IV Percentile19.5%0.8%33.7%32.1%29.8%
Term Structure2.6%-2.8%6.3%-2.8%2.0%
VWIV44.6%39.2%51.6%51.6%47.4%
Skew 25d4.4%1.0%6.3%1.7%5.7%
Skew 10d10.7%-9.2%22.9%11.1%-9.2%
Call IV 25d42.9%38.2%52.2%52.2%45.9%
Put IV 25d47.3%40.9%53.9%53.9%51.5%
Bid-Ask Spread %10.707.0816.4416.0310.20
Gamma HHI0.240.160.320.160.25
Net GEX1.3M588.4K2.1M663.4K1.3M
Net DEX-35.1M-74.1M-7.9M-27.4M-11.9M
Net VEX-235.9K-254.7K-209.1K-209.1K-226.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.073.182.220.44
Total Volume11,460.0911,77525,55223,4452,638
Total OI149,292.136116,798165,870116,798165,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$14.96$16.0052.9%15.2%44.0%17.1%51.6%1.7%-2.8%663.4K-27.4M-209.1K2.2216.037,27216,17371,23745,561
2009-10-02$15.09$16.0049.1%14.1%44.0%13.4%49.2%1.0%-1.7%588.4K-22.7M-236.7K0.2616.4416,6594,27175,61455,776
2009-10-05$15.25$15.0051.7%13.7%40.6%15.9%48.8%6.3%1.1%1.0M-34.6M-253.2K1.3211.757661,00987,36757,448
2009-10-06$15.48$15.0051.6%13.9%38.9%15.8%48.2%5.8%0.9%1.1M-39.8M-254.5K0.778.532,8052,17287,68357,924
2009-10-07$15.12$15.0047.5%13.1%39.5%11.8%45.9%5.4%1.4%1.1M-28.7M-247.9K0.128.058,8251,03388,89659,036
2009-10-08$14.90$15.0047.9%13.1%39.5%12.1%46.3%6.3%1.9%1.2M-26.9M-251.6K1.937.892,0203,90094,55059,328
2009-10-09$15.62$15.0043.9%12.7%43.6%8.1%44.6%6.2%1.7%1.6M-47.0M-254.7K0.9512.052,5082,37393,79259,434
2009-10-12$15.97$15.0051.8%13.1%44.3%16.0%45.8%4.8%1.4%1.6M-58.0M-246.5K0.3012.722,49874294,15461,475
2009-10-13$16.00$15.0050.4%12.7%44.3%18.2%44.1%5.8%1.7%1.7M-58.2M-243.1K3.1812.443,43010,89693,75361,635
2009-10-14$16.41$15.0044.5%12.2%45.0%10.8%42.1%5.0%3.4%1.8M-74.1M-238.1K0.3510.117,0162,48994,09062,432
2009-10-15$15.84$14.0045.6%13.1%45.5%12.2%46.4%5.9%1.9%2.1M-56.5M-228.2K1.1615.1211,85113,70194,66555,574
2009-10-16$15.50$15.0046.0%13.2%45.9%12.6%44.4%4.0%1.0%1.0M-38.3M-237.8K1.0511.2612,06412,67999,91464,079
2009-10-19$15.57$15.0042.7%12.2%45.5%8.6%43.0%6.2%3.9%895.0K-41.3M-243.6K0.417.083,1821,29785,10057,548
2009-10-20$15.24$15.0042.4%12.1%45.7%8.2%42.1%3.3%5.1%1.0M-35.0M-236.5K0.158.776,31693986,42456,508
2009-10-21$14.99$15.0040.2%11.5%45.5%5.4%39.4%4.1%5.5%1.1M-29.9M-222.2K0.508.832,8821,44285,03053,983
2009-10-22$14.88$15.0040.1%11.5%44.3%5.4%40.4%2.9%5.2%1.1M-27.6M-224.2K0.077.5212,62087586,30955,009
2009-10-23$14.58$15.0038.5%11.0%44.7%3.4%39.2%2.7%6.3%1.3M-23.3M-223.2K0.107.808,64685593,20755,037
2009-10-26$14.99$14.0040.7%11.7%44.3%6.1%40.6%2.9%5.7%1.7M-38.2M-234.8K0.249.159,3482,28397,45855,121
2009-10-27$14.44$15.0042.9%12.3%45.6%8.8%41.2%4.8%3.2%1.4M-21.4M-222.8K0.1214.0212,8781,57097,41656,044
2009-10-28$13.73$15.0045.3%13.0%47.6%11.7%44.6%1.7%3.9%1.0M-7.9M-214.4K0.579.5714,8478,423102,99056,299
2009-10-29$14.24$15.0045.4%13.0%42.2%11.9%45.2%3.6%3.4%1.5M-22.6M-239.3K0.289.999,3222,607106,17157,486
2009-10-30$13.73$14.0048.1%13.8%43.6%15.3%47.4%5.7%2.0%1.3M-11.9M-226.4K0.4410.201,829809110,01455,856