MRVL Options History — December 2009

In December 2009, MRVL traded between $16.03 and $20.83. ATM implied volatility averaged 37.3%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 6.1% (HV 20d: 43.5%). Max pain ranged from $12.50 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 0.66.

Notable Days

  • 2009-12-04: Highest Volume — 39,558 contracts
  • 2009-12-04: Largest IV drop — 31.1% change
  • 2009-12-03: Highest IV Rank — 16.2%
  • 2009-12-03: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.00$16.03$20.83$16.03$20.75
Max Pain$15.48$12.50$16.00$15.00$16.00
ATM IV37.3%33.3%48.3%47.5%33.9%
Expected Move10.9%9.6%13.8%13.6%9.7%
HV 20d43.5%36.4%47.7%36.4%41.4%
HV 60d43.4%40.3%45.0%40.4%41.6%
IV Rank4.7%0.0%16.2%15.2%0.8%
IV Percentile5.8%0.0%37.7%34.1%0.8%
Term Structure2.8%-2.6%6.1%-2.6%6.1%
VWIV38.4%33.6%49.9%46.4%36.2%
Skew 25d4.6%2.8%6.8%5.8%3.5%
Skew 10d10.2%-5.4%26.5%10.9%6.0%
Call IV 25d36.3%32.4%48.0%44.7%33.5%
Put IV 25d40.9%35.7%51.9%50.5%36.9%
Bid-Ask Spread %9.325.2018.3118.3110.21
Gamma HHI0.240.160.600.190.26
Net GEX1.5M880.5K2.0M880.5K2.0M
Net DEX-88.1M-112.0M-35.3M-35.3M-110.4M
Net VEX-240.2K-309.8K-184.0K-184.0K-305.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.173.120.330.20
Total Volume12,065.53,75339,55811,1486,646
Total OI145,326.727108,335167,079108,335167,079

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$16.03$15.0047.5%13.6%36.4%15.2%46.4%5.8%-2.6%880.5K-35.3M-184.0K0.3318.318,4072,74169,78738,548
2009-12-02$16.53$15.0043.9%12.6%37.3%10.5%46.6%6.7%0.4%1.2M-47.9M-200.2K0.2813.986,5891,83374,68840,804
2009-12-03$16.53$15.0048.3%13.8%37.1%16.2%49.9%4.0%-1.4%1.3M-50.7M-202.4K1.2212.2011,93814,60477,45741,795
2009-12-04$18.06$12.5033.3%10.9%46.3%0.0%37.5%6.7%1.9%1.2M-89.0M-195.7K0.617.7224,55015,00882,32251,858
2009-12-07$17.91$15.0036.4%11.3%46.7%3.9%38.7%6.8%2.0%1.6M-84.0M-209.7K1.409.943,1274,36786,07551,798
2009-12-08$17.86$15.0036.0%11.2%46.0%3.3%38.6%6.2%1.9%1.6M-82.0M-211.6K1.3710.642,2783,11885,78453,313
2009-12-09$18.27$15.0034.4%10.6%46.2%1.4%38.1%5.8%2.1%1.5M-88.6M-206.3K0.938.225,5755,17884,61255,591
2009-12-10$18.67$15.0036.7%10.5%46.5%4.2%36.5%5.0%2.4%1.3M-95.5M-207.3K0.3510.455,1731,79885,18158,573
2009-12-11$18.43$15.0036.7%10.5%46.2%4.2%37.6%5.4%2.5%1.4M-88.3M-209.5K0.498.854,5392,20984,77259,287
2009-12-14$18.99$16.0037.3%10.7%45.8%5.0%37.7%4.3%3.2%1.3M-100.0M-204.7K0.299.145,7031,63585,14260,421
2009-12-15$18.73$16.0037.9%10.9%46.1%5.7%37.9%4.8%2.3%1.4M-92.0M-211.0K0.209.835,0801,00885,19961,512
2009-12-16$19.54$16.0037.2%10.7%47.7%4.9%38.4%5.2%2.1%1.3M-112.0M-201.7K0.636.498,6185,45987,16161,903
2009-12-17$19.25$16.0038.6%11.1%47.4%6.6%38.4%3.2%2.5%1.4M-98.5M-217.0K3.127.073,79811,86685,94965,253
2009-12-18$19.99$16.0038.9%11.2%42.4%7.0%39.5%4.9%3.8%2.0M-108.9M-239.9K0.417.4724,68910,09486,70875,012
2009-12-21$19.96$16.0036.4%10.4%42.5%3.8%36.3%3.0%4.9%1.1M-78.6M-287.7K0.1810.959,8111,79380,62564,671
2009-12-22$20.02$16.0034.1%9.8%42.6%1.0%34.1%2.8%5.0%1.4M-83.3M-291.3K0.795.205,4104,26384,95565,525
2009-12-23$20.07$16.0033.5%9.6%42.6%0.2%33.8%2.9%5.7%1.4M-83.8M-294.9K0.175.953,21453986,00666,611
2009-12-24$20.68$16.0034.2%9.8%43.1%1.1%33.6%3.5%4.2%1.6M-102.5M-287.2K0.386.7910,2763,92788,42765,543
2009-12-28$20.56$16.0035.1%10.1%42.2%2.3%35.6%4.8%4.0%1.8M-103.6M-305.8K0.4811.024,3872,11894,97468,110
2009-12-29$20.26$16.0036.6%10.5%42.3%4.2%38.1%3.7%3.7%1.8M-93.4M-309.8K0.385.392,8031,07695,00668,879
2009-12-30$20.83$16.0034.5%9.9%41.6%1.5%35.3%2.9%4.9%1.9M-110.6M-300.5K0.389.225,9512,24594,95469,318
2009-12-31$20.75$16.0033.9%9.7%41.4%0.8%36.2%3.5%6.1%2.0M-110.4M-305.6K0.2010.215,5521,09497,39369,686