MRVL Options History — February 2010

In February 2010, MRVL traded between $17.98 and $20.06. ATM implied volatility averaged 43.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 6.7% (HV 20d: 50.0%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.41.

Notable Days

  • 2010-02-24: Highest Volume — 26,236 contracts
  • 2010-02-11: Largest IV spike — 29.4% change
  • 2010-02-16: Highest IV Rank — 26.1%
  • 2010-02-08: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.08$17.98$20.06$18.55$19.32
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV43.4%36.2%47.0%39.5%44.1%
Expected Move12.9%10.7%14.4%11.3%12.7%
HV 20d50.0%44.7%53.7%50.2%44.7%
HV 60d44.4%43.5%45.3%44.2%43.6%
IV Rank19.8%7.4%26.1%13.1%21.1%
IV Percentile36.1%7.1%53.6%16.3%39.3%
Term Structure-0.7%-4.8%6.9%4.5%-1.6%
VWIV44.9%38.8%49.7%41.2%43.7%
Skew 25d5.7%2.3%7.5%4.8%4.8%
Skew 10d10.1%0.4%14.7%6.8%10.6%
Call IV 25d42.6%36.7%47.5%38.2%41.4%
Put IV 25d48.2%39.8%54.0%43.0%46.2%
Bid-Ask Spread %15.336.6820.577.4320.11
Gamma HHI0.270.140.900.140.16
Net GEX1.5M61.8K12.1M87.2K946.4K
Net DEX-31.0M-78.5M4.0M-5.0M-32.5M
Net VEX-295.4K-320.5K-256.4K-256.4K-320.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.091.330.220.25
Total Volume9,064.4741,47526,23616,8066,425
Total OI134,460.52688,531161,174118,335114,407

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$18.55$19.0039.5%11.3%50.2%13.1%41.2%4.8%4.5%87.2K-5.0M-256.4K0.227.4313,8082,99864,66053,675
2010-02-02$18.64$19.0037.4%10.7%49.9%9.3%39.0%3.8%6.0%501.2K-15.4M-282.0K0.136.685,41067773,80655,340
2010-02-03$18.96$19.0039.0%11.2%49.8%12.1%38.8%2.3%6.9%718.5K-26.4M-286.2K1.339.727,2179,60074,82455,529
2010-02-04$17.98$19.0045.3%13.0%52.1%23.1%44.5%5.4%4.8%81.5K4.0M-311.4K0.5912.885,8393,42679,42564,970
2010-02-05$18.17$19.0045.6%14.3%52.3%23.6%49.5%7.5%-3.5%177.1K-2.0M-314.1K0.4314.853,9211,67281,31064,508
2010-02-08$18.07$19.0045.9%14.4%51.8%24.1%49.7%6.2%-4.8%61.8K656.8K-301.6K0.2719.062,95179581,60065,349
2010-02-09$18.24$19.0039.4%13.6%52.2%12.8%46.4%6.6%-2.4%66.5K-2.6M-298.0K0.6414.525,9503,78383,23965,553
2010-02-10$18.26$19.0036.2%13.8%50.8%7.4%47.1%6.0%-3.5%211.9K-3.6M-294.5K0.3515.861,09238386,08865,937
2010-02-11$19.12$19.0046.9%13.4%53.5%25.9%47.4%5.4%-3.0%899.7K-31.8M-305.8K0.8013.8011,8339,46386,04265,948
2010-02-12$19.39$19.0046.8%13.4%53.7%25.8%45.6%6.5%-2.1%1.6M-45.4M-306.2K0.2220.395,2201,16789,54064,221
2010-02-16$20.06$19.0047.0%13.5%53.2%26.1%48.1%6.6%-3.1%2.6M-72.6M-297.2K0.2014.169,5601,92092,29764,373
2010-02-17$19.99$19.0046.8%13.4%51.3%25.7%46.1%6.9%-3.1%2.8M-72.4M-303.1K0.1817.272,51144095,19865,500
2010-02-18$19.97$19.0045.4%13.0%50.9%23.3%46.8%6.6%-1.7%3.4M-72.5M-293.9K0.3016.022,75781495,52565,649
2010-02-19$20.04$19.0045.5%13.0%50.9%23.5%44.9%5.3%-3.3%12.1M-78.5M-289.2K0.0920.576,61161295,35165,443
2010-02-22$19.96$19.0042.9%12.3%45.0%18.9%43.4%7.2%-1.4%902.7K-41.8M-281.9K0.4117.532,7361,13553,80734,724
2010-02-23$19.42$19.0045.3%13.0%46.3%23.1%43.7%4.7%-2.1%861.3K-33.8M-282.1K0.2619.382,60268855,35735,178
2010-02-24$19.28$19.0041.8%12.0%46.3%17.0%42.9%5.3%0.3%811.0K-30.2M-275.4K0.9715.3213,30312,93355,40435,519
2010-02-25$19.19$19.0043.6%12.5%46.1%20.2%43.6%5.9%-1.2%655.1K-26.5M-312.9K0.1615.798,5991,37462,51146,943
2010-02-26$19.32$19.0044.1%12.7%44.7%21.1%43.7%4.8%-1.6%946.4K-32.5M-320.5K0.2520.115,1521,27367,24247,165