MRVL Options History — May 2010

In May 2010, MRVL traded between $17.84 and $20.79. ATM implied volatility averaged 53.6%, placing in the 72.0% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 5.9% (HV 20d: 47.8%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2010-05-20: Highest Volume — 51,149 contracts
  • 2010-05-04: Largest IV spike — 26.6% change
  • 2010-05-07: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.03$17.84$20.79$20.79$18.98
Max Pain$18.75$17.00$21.00$21.00$18.00
ATM IV53.6%39.8%64.9%39.8%43.4%
Expected Move14.9%11.4%17.7%11.4%12.4%
HV 20d47.8%38.5%59.6%38.5%56.9%
HV 60d37.3%31.8%42.3%31.8%42.3%
IV Rank72.0%37.6%100.0%37.6%46.2%
IV Percentile85.8%33.7%100.0%33.7%51.6%
Term Structure-1.4%-7.0%6.2%6.2%2.7%
VWIV52.1%39.9%64.0%39.9%44.3%
Skew 25d6.1%4.0%7.9%5.4%5.1%
Skew 10d12.8%10.2%16.8%10.5%10.7%
Call IV 25d50.3%38.8%59.9%38.8%42.2%
Put IV 25d56.4%44.2%67.4%44.2%47.4%
Bid-Ask Spread %6.574.0318.436.437.00
Gamma HHI0.210.160.320.160.20
Net GEX2.1M1.3M2.8M1.4M2.5M
Net DEX-22.3M-65.9M16.4M-44.9M-48.6M
Net VEX-475.5K-513.1K-427.4K-455.5K-492.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.091.100.090.13
Total Volume16,923.255,85451,1499,3228,873
Total OI188,531139,250239,536166,900151,331

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$20.79$21.0039.8%11.4%38.5%37.6%39.9%5.4%6.2%1.4M-44.9M-455.5K0.096.438,515807100,03666,864
2010-05-04$19.63$21.0050.4%14.5%43.5%64.4%51.7%4.0%-3.9%1.3M-15.5M-472.5K0.415.2232,44013,331104,61366,136
2010-05-05$19.42$20.0053.8%15.4%43.5%73.1%53.7%5.3%-4.8%1.8M-20.2M-498.7K0.267.314,6471,207120,12671,748
2010-05-06$18.86$20.0059.6%17.1%44.5%87.6%60.1%7.9%-7.0%1.6M-3.7M-471.0K0.9218.437,1416,580120,05171,527
2010-05-07$18.86$19.0064.9%16.2%43.9%100.0%56.6%7.5%-2.7%1.5M-4.6M-473.7K1.109.444,0874,505119,96673,107
2010-05-10$19.89$19.0058.4%14.4%48.4%83.8%49.7%6.6%-1.6%2.0M-35.0M-486.0K0.446.515,3682,338119,96673,107
2010-05-11$19.51$19.0056.1%14.1%48.7%78.1%49.2%6.0%-1.0%2.1M-20.6M-463.4K0.465.864,3762,024121,54971,094
2010-05-12$19.94$19.0057.7%13.9%40.5%82.1%48.5%6.3%-1.6%2.5M-41.3M-474.3K0.535.647,3523,927123,25171,238
2010-05-13$19.28$19.0050.2%14.4%41.5%63.2%48.7%5.7%-1.8%2.2M-12.9M-445.1K0.776.098,2586,369123,92772,179
2010-05-14$18.49$19.0054.3%15.6%43.0%73.6%54.2%6.4%-2.7%1.6M15.1M-427.4K0.315.6025,5477,990125,78475,648
2010-05-17$18.58$18.0054.9%15.7%43.0%75.0%56.2%6.0%-3.2%2.3M-2.3M-483.4K0.424.599,0503,798145,29980,597
2010-05-18$18.02$18.0057.8%16.6%43.2%82.2%57.0%6.6%-4.1%2.0M16.4M-445.2K0.104.0313,5431,388144,75279,370
2010-05-19$18.51$18.0056.4%16.2%45.0%78.8%56.6%6.7%-2.9%2.8M-9.6M-513.1K0.125.6018,9712,221152,48578,310
2010-05-20$17.84$18.0061.8%17.7%46.0%92.2%64.0%7.5%-4.2%2.2M15.1M-467.1K0.516.8733,80117,348147,85277,997
2010-05-21$19.32$17.0053.7%15.4%55.3%72.0%53.0%5.7%1.0%2.8M-65.9M-500.9K0.565.1223,89613,296160,10379,433
2010-05-24$18.47$18.0054.8%15.7%56.9%74.8%53.3%6.7%-0.5%1.8M-37.1M-471.2K0.875.084,7154,11596,67042,580
2010-05-25$18.55$18.0051.3%14.7%56.9%66.1%51.4%6.1%0.8%1.9M-38.6M-486.7K0.256.0210,6102,64899,41344,222
2010-05-26$18.37$18.0050.1%14.4%56.6%63.1%48.6%5.4%0.8%2.0M-34.8M-484.6K0.296.555,7591,672102,62446,015
2010-05-27$19.25$18.0043.0%12.3%59.6%45.3%44.1%5.8%2.1%2.7M-56.6M-497.3K0.164.085,147805103,95545,695
2010-05-28$18.98$18.0043.4%12.4%56.9%46.2%44.3%5.1%2.7%2.5M-48.6M-492.0K0.137.007,8591,014105,02346,308