MRVL Options History — August 2010 In August 2010, MRVL traded between $14.51 and $16.57. ATM implied volatility averaged 42.2%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 4.9% (HV 20d: 37.3%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2010-08-20 : Highest Volume — 139,684 contracts2010-08-20 : Largest IV drop — 24.3% change2010-08-11 : Highest IV Rank — 65.5%2010-08-19 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $15.39 $14.51 $16.57 $15.28 $15.91 Max Pain $15.73 $15.00 $16.00 $16.00 $16.00 ATM IV 42.2% 36.0% 51.1% 36.2% 37.9% Expected Move 11.8% 10.3% 13.6% 10.4% 10.9% HV 20d 37.3% 29.5% 44.5% 38.5% 44.5% HV 60d 45.6% 41.8% 48.8% 48.7% 44.2% IV Rank 43.3% 27.8% 65.5% 28.2% 32.5% IV Percentile 55.0% 22.2% 88.9% 22.6% 36.9% Term Structure 0.2% -4.7% 5.5% 5.1% 2.7% VWIV 41.6% 35.6% 47.5% 35.6% 38.9% Skew 25d 2.3% -2.9% 4.5% 4.1% -2.6% Skew 10d 5.4% -6.2% 11.1% 8.4% -6.2% Call IV 25d 41.2% 35.3% 46.9% 35.3% 41.0% Put IV 25d 43.5% 36.6% 50.4% 39.3% 38.4% Bid-Ask Spread % 4.28 2.85 5.90 4.41 4.91 Gamma HHI 0.18 0.13 0.45 0.20 0.24 Net GEX 1.5M -2.2M 4.7M 4.2M -2.2M Net DEX 27.5M -157.3M 110.7M 21.6M 16.2M Net VEX -1.2M -1.3M -1.1M -1.2M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.19 2.54 1.83 2.54 Total Volume 32,794.636 6,271 139,684 18,199 16,562 Total OI 576,100.545 396,689 685,648 592,677 435,227
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2010-08-02 $15.28 $16.00 36.2% 10.4% 38.5% 28.2% 35.6% 4.1% 5.1% 4.2M 21.6M -1.2M 1.83 4.41 6,438 11,761 369,327 223,350 2010-08-03 $14.97 $16.00 36.9% 10.6% 38.9% 29.8% 38.0% 3.6% 5.5% 3.5M 55.7M -1.2M 0.99 4.91 13,059 12,953 370,192 227,607 2010-08-04 $15.26 $16.00 37.2% 10.7% 35.6% 30.6% 36.2% 4.4% 5.3% 3.8M 19.1M -1.3M 0.52 4.51 19,181 9,927 380,069 235,657 2010-08-05 $15.14 $16.00 44.5% 12.8% 35.6% 49.0% 44.4% 4.4% -1.6% 3.5M 29.5M -1.3M 1.34 4.79 21,706 29,114 380,981 238,718 2010-08-06 $15.20 $16.00 43.6% 12.1% 35.4% 46.8% 42.2% 4.0% -1.4% 3.5M 20.5M -1.3M 0.80 4.15 4,305 3,427 388,828 248,257 2010-08-09 $15.40 $16.00 47.9% 11.9% 33.0% 57.4% 41.2% 3.9% -1.8% 3.9M 2.7M -1.3M 0.76 3.27 20,364 15,389 389,977 249,364 2010-08-10 $14.82 $16.00 49.1% 12.2% 34.5% 60.6% 42.2% 4.2% -2.2% 1.6M 87.9M -1.2M 0.79 3.53 20,256 15,917 380,712 257,107 2010-08-11 $14.55 $16.00 51.1% 12.3% 34.3% 65.5% 45.0% 4.2% -1.8% 1.4M 106.1M -1.1M 1.42 3.06 12,681 17,967 386,782 263,064 2010-08-12 $14.66 $16.00 44.3% 12.7% 34.8% 48.6% 44.3% 3.9% -2.5% 1.6M 100.8M -1.2M 0.72 3.82 21,398 15,491 390,643 269,067 2010-08-13 $14.51 $15.00 45.5% 13.1% 32.4% 51.6% 46.1% 4.5% -2.8% 1.6M 110.7M -1.2M 0.24 4.02 8,688 2,124 402,423 276,019 2010-08-16 $14.68 $15.00 46.6% 13.3% 31.0% 54.1% 46.2% 3.9% -3.9% 2.1M 89.3M -1.2M 0.19 4.02 46,213 8,758 404,442 276,000 2010-08-17 $14.75 $15.00 47.2% 13.5% 31.1% 55.8% 47.5% 4.2% -4.4% 1.7M 86.2M -1.2M 0.62 4.27 13,189 8,117 395,078 277,524 2010-08-18 $14.98 $15.00 45.9% 13.2% 30.8% 52.5% 45.6% 4.3% -4.1% 2.2M 60.3M -1.2M 0.54 2.85 21,221 11,379 395,995 280,007 2010-08-19 $14.91 $15.00 47.6% 13.6% 29.5% 56.7% 47.4% 3.5% -4.7% 2.2M 66.9M -1.2M 0.62 3.31 21,859 13,452 402,653 282,995 2010-08-20 $16.16 $15.00 36.0% 10.3% 42.3% 27.8% 37.3% -2.3% 3.0% 4.7M -157.3M -1.2M 0.30 3.79 107,480 32,204 399,664 285,130 2010-08-23 $15.72 $16.00 37.6% 10.8% 43.3% 31.8% 38.4% 0.6% 2.0% -834.2K 7.1M -1.1M 1.21 4.93 15,971 19,351 197,462 199,227 2010-08-24 $16.22 $16.00 39.3% 11.3% 44.1% 35.9% 39.7% 0.8% 1.1% -851.9K -19.6M -1.1M 0.38 5.06 35,953 13,612 198,759 209,879 2010-08-25 $16.53 $16.00 38.7% 11.1% 42.2% 34.5% 39.3% -0.1% 1.6% -739.3K -38.4M -1.2M 1.37 5.90 7,664 10,523 200,965 216,551 2010-08-26 $16.00 $16.00 39.1% 11.2% 42.1% 35.6% 40.0% 0.4% 2.7% -1.6M 5.8M -1.1M 0.48 4.82 5,021 2,420 201,474 224,091 2010-08-27 $16.57 $16.00 37.7% 10.8% 43.6% 32.0% 37.9% -0.3% 2.5% -1.1M -40.2M -1.2M 0.91 5.68 11,565 10,551 202,713 224,954 2010-08-30 $16.47 $16.00 39.0% 11.2% 43.2% 35.2% 40.9% -2.9% 3.4% -1.7M -27.0M -1.1M 0.68 4.20 3,741 2,530 203,014 232,264 2010-08-31 $15.91 $16.00 37.9% 10.9% 44.5% 32.5% 38.9% -2.6% 2.7% -2.2M 16.2M -1.1M 2.54 4.91 4,673 11,889 202,803 232,424
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