MRVL Options History — November 2009

In November 2009, MRVL traded between $13.83 and $16.41. ATM implied volatility averaged 45.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 3.9% (HV 20d: 42.0%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2009-11-19: Highest Volume — 13,231 contracts
  • 2009-11-12: Largest IV spike — 10.4% change
  • 2009-11-03: Highest IV Rank — 18.1%
  • 2009-11-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.32$13.83$16.41$13.83$15.42
Max Pain$14.35$14.00$15.00$14.00$15.00
ATM IV45.9%42.0%50.4%49.1%49.7%
Expected Move13.4%12.5%14.5%14.1%14.3%
HV 20d42.0%34.4%46.3%43.5%34.4%
HV 60d40.8%39.7%41.7%41.5%40.8%
IV Rank12.6%7.7%18.1%16.4%18.0%
IV Percentile26.0%7.9%42.9%34.5%42.9%
Term Structure-0.5%-4.2%4.3%0.9%-4.2%
VWIV46.6%43.6%50.4%48.8%49.8%
Skew 25d4.6%0.7%6.7%5.0%5.8%
Skew 10d8.7%-6.3%18.6%-6.3%7.0%
Call IV 25d44.7%40.5%49.8%46.8%47.0%
Put IV 25d49.3%44.6%52.8%51.7%52.8%
Bid-Ask Spread %14.719.0923.6010.4510.51
Gamma HHI0.300.170.570.260.20
Net GEX1.8M688.9K3.1M1.4M747.6K
Net DEX-49.1M-103.0M-12.9M-12.9M-24.1M
Net VEX-203.8K-233.4K-174.7K-219.1K-179.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.061.930.200.24
Total Volume5,091.188813,2311,9654,223
Total OI152,502.4595,618176,626165,497106,855

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$13.83$14.0049.1%14.1%43.5%16.4%48.8%5.0%0.9%1.4M-12.9M-219.1K0.2010.451,642323109,40556,092
2009-11-03$13.94$14.0050.4%14.5%43.1%18.1%50.4%2.6%-0.1%1.5M-16.4M-220.6K0.9411.042,0101,887109,70656,130
2009-11-04$14.23$14.0047.7%13.7%43.5%14.8%46.7%3.6%4.3%1.7M-23.8M-228.8K0.2220.352,237487110,37357,228
2009-11-05$14.70$14.0046.2%13.2%45.0%12.9%46.8%0.7%2.5%2.0M-37.0M-233.4K0.169.092,945483110,14157,447
2009-11-06$14.73$14.0042.5%13.8%41.3%8.3%47.6%5.0%-0.8%2.2M-38.6M-227.9K0.7113.77689489110,73057,304
2009-11-09$15.24$14.0045.0%13.9%42.5%11.4%47.2%6.7%-2.5%2.5M-55.7M-224.3K0.1913.143,131592110,70057,711
2009-11-10$15.46$14.0045.2%13.6%42.9%11.7%46.6%5.0%-0.7%2.5M-64.4M-225.6K0.2223.602,274503111,13057,997
2009-11-11$15.54$14.0042.0%13.2%41.8%7.7%47.8%5.8%-1.0%2.5M-67.6M-221.1K0.079.473,025226111,47958,352
2009-11-12$15.28$14.0046.4%13.3%40.3%13.1%46.6%4.6%0.5%2.7M-57.1M-215.1K0.4217.041,968831111,74658,419
2009-11-13$15.84$14.0044.4%12.7%41.7%10.6%45.5%3.8%-0.7%2.5M-81.4M-209.7K0.2516.935,3451,338112,36858,732
2009-11-16$16.24$14.0045.7%13.1%42.6%12.3%45.4%4.0%-0.8%1.9M-97.8M-194.1K0.0818.878,427693111,25758,925
2009-11-17$16.41$14.0045.5%13.1%41.7%12.1%45.9%4.7%-0.8%1.7M-103.0M-189.3K0.0613.156,381411109,47759,003
2009-11-18$16.09$14.0045.5%13.0%42.0%12.0%44.6%3.0%-0.8%1.6M-90.8M-187.9K1.9316.711,9593,782108,90559,217
2009-11-19$15.27$15.0049.4%14.2%46.3%16.9%47.4%6.0%-3.5%3.1M-47.8M-186.4K0.4316.199,2793,952108,81262,144
2009-11-20$15.28$15.0046.4%13.3%45.6%13.2%46.7%4.8%-0.3%2.9M-49.6M-183.6K0.4118.988,2463,353112,08664,540
2009-11-23$15.61$15.0043.5%12.5%45.2%9.6%44.1%6.5%0.4%688.9K-27.0M-174.7K0.2116.702,57452861,97733,641
2009-11-24$15.66$15.0044.5%12.8%42.7%11.3%44.5%4.6%-1.6%759.1K-28.6M-177.0K0.8312.156,2345,15863,41533,914
2009-11-25$15.90$15.0043.6%12.5%37.7%10.1%43.6%6.7%-1.3%718.2K-31.0M-192.1K0.3916.222,38192867,22838,878
2009-11-27$15.63$15.0045.1%12.9%37.0%12.0%46.8%4.2%0.2%772.1K-27.7M-187.0K0.559.8657431468,30838,277
2009-11-30$15.42$15.0049.7%14.3%34.4%18.0%49.8%5.8%-4.2%747.6K-24.1M-179.1K0.2410.513,40182268,44838,407