MRVL Options History — July 2010

In July 2010, MRVL traded between $14.87 and $17.47. ATM implied volatility averaged 37.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 7.1% (HV 20d: 44.5%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2010-07-06: Highest Volume — 87,675 contracts
  • 2010-07-12: Largest IV spike — 12.0% change
  • 2010-07-01: Highest IV Rank — 53.5%
  • 2010-07-01: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.41$14.87$17.47$16.30$14.92
Max Pain$15.76$15.00$18.00$18.00$16.00
ATM IV37.4%34.0%46.3%46.3%36.8%
Expected Move11.0%9.7%13.3%13.3%10.5%
HV 20d44.5%37.4%51.9%51.9%37.4%
HV 60d49.7%48.6%51.1%50.3%48.7%
IV Rank31.2%22.6%53.5%53.5%29.6%
IV Percentile27.4%9.9%75.0%75.0%29.8%
Term Structure3.5%1.7%5.3%1.8%5.3%
VWIV38.5%34.1%45.3%45.3%37.5%
Skew 25d3.9%2.1%6.9%6.8%5.3%
Skew 10d8.4%5.2%13.3%13.2%10.8%
Call IV 25d36.9%33.6%43.6%43.6%35.0%
Put IV 25d40.8%36.3%50.3%50.3%40.3%
Bid-Ask Spread %5.182.9612.373.8010.05
Gamma HHI0.220.130.280.130.19
Net GEX4.5M963.8K6.8M963.8K3.1M
Net DEX-80.6M-239.9M79.6M8.8M59.9M
Net VEX-897.9K-1.2M-463.2K-496.6K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.115.660.450.52
Total Volume38,524.57112,27987,67512,27928,088
Total OI410,229.714209,931575,884209,931575,884

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$16.30$18.0046.3%13.3%51.9%53.5%45.3%6.8%1.8%963.8K8.8M-496.6K0.453.808,4453,834134,08675,845
2010-07-02$16.06$18.0041.4%11.9%50.9%41.2%42.0%6.1%1.7%978.8K19.6M-463.2K0.115.1328,3123,214134,81475,525
2010-07-06$15.84$16.0041.1%12.2%49.4%40.5%43.1%6.9%2.3%1.8M13.3M-468.6K0.124.4978,4449,231157,64377,218
2010-07-07$16.57$15.0037.9%11.2%50.1%32.4%40.8%5.9%3.9%4.0M-73.0M-671.7K0.253.1329,3387,314214,58382,506
2010-07-08$16.47$15.0036.7%11.7%50.0%29.5%40.8%5.4%3.8%4.8M-80.4M-701.6K0.192.9648,7999,489233,06787,657
2010-07-09$16.62$15.0034.0%11.3%49.3%22.7%40.5%4.1%3.3%6.5M-131.1M-799.1K0.483.8937,02017,733273,36794,252
2010-07-12$17.20$15.0038.1%11.4%50.1%32.9%39.9%3.2%3.4%6.8M-202.3M-851.7K0.354.3626,6679,297297,891105,771
2010-07-13$17.35$15.0038.8%11.4%49.7%34.7%39.7%3.2%2.4%6.7M-219.4M-869.0K1.123.9712,46114,011303,471111,118
2010-07-14$17.47$15.0035.6%11.4%39.9%26.7%39.5%2.4%2.6%6.4M-239.9M-893.5K1.606.4220,21032,394312,394121,166
2010-07-15$17.35$15.0038.5%11.0%39.2%33.9%38.6%2.3%2.8%6.2M-217.1M-956.9K5.664.575,39730,525316,136141,373
2010-07-16$16.63$15.0038.0%10.9%41.3%32.7%38.4%2.8%3.1%5.8M-123.6M-980.4K1.834.947,63613,959315,003154,317
2010-07-19$17.05$15.0036.7%10.5%42.8%29.4%37.1%2.3%3.6%5.7M-160.4M-983.0K1.825.0710,39518,930264,068136,749
2010-07-20$16.79$16.0035.0%10.0%42.3%25.2%35.3%2.1%4.0%5.6M-126.4M-1.0M1.904.889,55918,164266,998150,379
2010-07-21$16.31$16.0036.8%10.5%43.1%29.6%36.6%2.8%4.0%5.2M-76.8M-1.0M3.145.1411,13934,954271,923162,550
2010-07-22$16.64$16.0035.4%10.2%43.9%26.2%36.0%2.7%3.9%5.0M-104.1M-1.1M1.524.809,39514,304276,703180,780
2010-07-23$16.47$16.0035.6%10.2%41.4%26.7%35.2%2.6%4.5%4.9M-82.2M-1.1M0.964.0110,92710,509281,286191,329
2010-07-26$16.31$16.0035.4%10.1%41.2%26.1%34.9%2.6%4.3%4.9M-63.1M-1.1M2.724.733,97710,828288,606197,136
2010-07-27$15.94$16.0034.0%9.7%41.6%22.6%34.1%2.7%4.6%4.4M-18.5M-1.1M0.574.6230,59817,434289,563203,353
2010-07-28$15.37$16.0036.0%10.3%39.7%27.6%35.7%4.3%4.2%3.1M45.1M-1.1M0.6412.3727,01117,394310,637213,136
2010-07-29$14.87$16.0037.3%10.7%39.8%30.9%38.0%5.6%5.3%2.5M79.6M-1.1M0.315.4254,55617,124321,730212,811
2010-07-30$14.92$16.0036.8%10.5%37.4%29.6%37.5%5.3%5.3%3.1M59.9M-1.2M0.5210.0518,4999,589355,016220,868