MRVL Options History — June 2010

In June 2010, MRVL traded between $15.76 and $19.52. ATM implied volatility averaged 44.2%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 11.4% (HV 20d: 55.6%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2010-06-16: Highest Volume — 37,349 contracts
  • 2010-06-29: Largest IV spike — 16.2% change
  • 2010-06-08: Highest IV Rank — 71.0%
  • 2010-06-08: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.07$15.76$19.52$18.65$15.76
Max Pain$17.95$16.00$19.00$18.00$18.00
ATM IV44.2%39.4%53.3%47.9%45.5%
Expected Move12.7%11.3%15.1%13.7%13.1%
HV 20d55.6%49.5%62.8%57.0%49.5%
HV 60d46.8%42.4%49.7%42.4%49.7%
IV Rank48.2%36.2%71.0%57.4%51.6%
IV Percentile56.9%32.9%92.9%77.0%70.6%
Term Structure1.7%0.0%3.2%0.8%1.7%
VWIV44.4%40.1%52.2%47.7%45.3%
Skew 25d6.3%4.3%8.2%5.7%8.2%
Skew 10d12.4%9.0%16.9%10.5%15.4%
Call IV 25d41.9%37.1%48.9%47.1%43.7%
Put IV 25d48.2%42.5%57.1%52.8%52.0%
Bid-Ask Spread %5.514.127.306.044.37
Gamma HHI0.210.130.590.200.13
Net GEX1.8M-47.6K4.5M2.5M815.2K
Net DEX-25.1M-85.3M30.1M-44.7M30.1M
Net VEX-461.2K-510.8K-400.7K-485.1K-458.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.102.510.311.46
Total Volume18,634.2732,26737,3497,2407,518
Total OI181,107.136139,781216,639157,170211,353

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$18.65$18.0047.9%13.7%57.0%57.4%47.7%5.7%0.8%2.5M-44.7M-485.1K0.316.045,5371,703110,68046,490
2010-06-02$19.52$18.0042.9%12.3%56.2%44.8%45.0%5.0%1.5%3.3M-69.0M-508.6K2.514.902,9507,397112,99347,604
2010-06-03$19.52$18.0040.8%11.7%56.1%39.7%42.4%4.3%2.5%3.3M-69.7M-510.8K0.634.124,7482,982114,45350,472
2010-06-04$18.81$16.0045.6%13.7%56.7%51.8%47.1%7.3%0.7%2.9M-47.1M-492.7K0.356.973,7321,311116,40050,124
2010-06-07$18.06$16.0050.1%14.6%58.5%63.1%50.6%8.0%0.0%2.2M-22.5M-451.1K0.266.943,734981118,48451,021
2010-06-08$17.21$17.0053.3%15.1%56.8%71.0%52.2%8.2%0.0%1.5M21.7K-402.4K0.475.6516,7697,929121,09251,149
2010-06-09$17.04$17.0047.3%14.4%56.7%55.9%50.2%7.8%1.2%1.2M5.6M-400.7K1.366.5611,34415,471125,16356,371
2010-06-10$17.45$17.0047.2%13.5%56.8%55.7%45.8%7.1%1.2%1.9M-6.6M-424.1K0.985.3115,11314,880131,45359,604
2010-06-11$17.88$18.0044.9%12.9%56.9%49.9%44.8%6.5%1.5%2.1M-19.9M-451.4K0.335.5323,9037,791133,83768,051
2010-06-14$17.49$18.0046.3%13.3%55.5%53.5%44.4%6.6%1.2%3.0M-8.2M-432.2K0.104.3223,9412,454146,92969,710
2010-06-15$18.94$18.0042.0%12.0%62.8%42.8%42.3%5.8%2.4%3.6M-79.1M-470.7K0.506.2915,6867,917142,43170,004
2010-06-16$19.25$18.0042.1%12.1%61.8%42.9%42.9%5.8%2.0%3.7M-85.3M-470.8K0.875.1019,93617,413138,61972,133
2010-06-17$19.09$19.0041.4%11.9%61.3%41.1%42.4%5.5%2.5%2.2M-67.3M-478.8K0.157.3015,1062,341135,01080,549
2010-06-18$19.04$19.0039.6%11.4%59.7%36.7%40.1%5.4%3.1%4.5M-64.7M-461.7K0.324.618,5372,718132,88974,986
2010-06-21$18.53$19.0039.4%11.3%53.2%36.2%40.1%6.4%3.2%13.2K-11.6M-434.3K0.277.1410,7512,90378,23161,550
2010-06-22$18.37$19.0042.2%12.1%50.8%43.2%41.7%5.7%2.8%64.9K-14.1M-485.5K0.344.727,8662,64286,21363,211
2010-06-23$18.48$19.0041.9%12.0%50.9%42.5%41.0%5.4%3.1%226.4K-17.8M-478.4K0.544.961,46879987,80364,625
2010-06-24$17.67$19.0042.4%12.2%53.2%43.8%43.1%5.8%1.4%-47.6K4.5M-439.5K0.285.2522,8056,49388,02464,683
2010-06-25$17.37$18.0043.1%12.4%50.2%45.5%41.5%6.2%1.8%114.7K6.3M-464.5K0.465.1317,5248,071100,61867,978
2010-06-28$17.13$18.0040.1%11.5%50.2%37.9%40.2%5.2%1.6%227.4K14.0M-473.7K0.174.1528,4884,827109,78072,975
2010-06-29$16.28$18.0046.6%13.3%52.6%54.2%45.3%7.0%0.5%894.2K15.2M-470.9K0.855.8812,68510,790126,84271,770
2010-06-30$15.76$18.0045.5%13.1%49.5%51.6%45.3%8.2%1.7%815.2K30.1M-458.8K1.464.373,0594,459133,46377,890