MRVL Options History — September 2010

In September 2010, MRVL traded between $16.24 and $17.91. ATM implied volatility averaged 39.2%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 0.7% (HV 20d: 38.5%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2010-09-20: Highest Volume — 58,489 contracts
  • 2010-09-07: Largest IV spike — 16.0% change
  • 2010-09-27: Highest IV Rank — 43.1%
  • 2010-09-27: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.34$16.24$17.91$16.24$17.51
Max Pain$16.81$16.00$17.00$16.00$17.00
ATM IV39.2%33.8%42.1%35.6%38.6%
Expected Move11.4%10.2%12.1%10.2%11.1%
HV 20d38.5%26.4%45.7%44.6%26.4%
HV 60d40.1%36.1%43.9%43.3%36.1%
IV Rank35.8%22.2%43.1%26.8%34.1%
IV Percentile43.0%9.5%57.9%19.0%41.7%
Term Structure0.1%-1.4%4.8%4.8%-1.4%
VWIV40.2%36.4%43.2%36.4%41.0%
Skew 25d2.9%-5.2%6.6%-1.4%3.3%
Skew 10d6.5%-7.8%13.9%-0.9%8.0%
Call IV 25d39.1%37.6%40.3%37.7%39.5%
Put IV 25d42.0%34.9%47.0%36.3%42.8%
Bid-Ask Spread %4.983.518.675.424.36
Gamma HHI0.200.130.590.310.13
Net GEX-34.3K-2.8M9.1M-2.8M457.2K
Net DEX-70.3M-139.5M-684.4K-684.4K-58.4M
Net VEX-972.2K-1.1M-851.6K-1.1M-868.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.196.680.590.52
Total Volume15,433.4765,47858,4897,6946,504
Total OI387,000.81292,594451,355442,794307,932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$16.24$16.0035.6%10.2%44.6%26.8%36.4%-1.4%4.8%-2.8M-684.4K-1.1M0.595.424,8252,869203,577239,217
2010-09-02$16.81$16.0036.5%10.5%45.7%29.0%38.0%-5.2%3.0%-1.8M-53.4M-1.1M0.493.9018,4659,080203,594239,917
2010-09-03$17.00$16.0033.8%10.9%45.7%22.2%38.6%2.1%0.9%-1.8M-65.3M-1.1M0.586.245,7883,351200,617245,453
2010-09-07$17.13$16.0039.2%11.7%45.7%35.7%40.5%2.5%0.5%-1.5M-73.8M-1.1M0.385.5410,8084,152199,392246,020
2010-09-08$17.39$17.0037.9%11.7%42.7%32.4%40.2%1.9%-0.1%-534.5K-100.1M-1.0M1.053.724,5514,769201,829245,851
2010-09-09$17.40$17.0040.6%11.6%41.7%39.3%40.4%2.4%-0.0%-613.9K-95.2M-1.0M0.644.654,1622,673201,762248,803
2010-09-10$17.02$17.0040.2%11.5%43.1%38.3%39.9%2.7%-0.2%-1.7M-64.2M-1.0M1.354.463,4224,632200,238247,985
2010-09-13$17.47$17.0040.6%11.7%43.1%39.3%40.1%2.7%-0.5%-161.7K-99.4M-1.0M0.394.028,3143,254201,198250,157
2010-09-14$17.44$17.0040.0%11.5%43.2%37.7%39.6%2.7%-0.3%-225.8K-99.8M-984.3K0.884.753,7803,320201,850247,540
2010-09-15$17.32$17.0039.8%11.4%43.6%37.2%39.6%2.8%-0.3%-395.5K-88.8M-976.3K0.844.564,2373,557202,090247,795
2010-09-16$17.32$17.0039.1%11.2%43.6%35.6%38.6%2.2%-0.1%-84.8K-95.5M-960.5K0.506.595,2932,654203,589246,379
2010-09-17$17.91$17.0037.9%10.9%44.3%32.6%38.2%1.9%0.1%9.1M-139.5M-927.3K0.194.7712,9872,520204,177246,896
2010-09-20$17.68$17.0038.5%11.0%36.0%33.9%39.1%4.5%0.9%-634.1K-52.4M-926.0K6.688.677,61850,871146,350171,533
2010-09-21$17.54$17.0041.3%11.8%34.3%40.8%43.0%6.6%-0.2%-966.8K-37.4M-987.2K1.145.4119,16421,793149,304185,289
2010-09-22$17.22$17.0041.1%11.8%33.8%40.5%42.8%5.6%-0.0%-28.9K-43.2M-940.6K3.634.677,54227,349160,362150,076
2010-09-23$17.35$17.0041.5%11.9%33.4%41.4%43.2%5.1%-0.2%385.5K-52.1M-868.3K0.924.674,3133,988154,389138,205
2010-09-24$17.72$17.0039.1%11.2%31.3%35.4%39.9%5.1%-0.2%673.4K-69.3M-872.2K0.325.055,6791,810155,025138,776
2010-09-27$17.43$17.0042.1%12.1%30.1%43.1%41.6%4.5%-1.4%502.0K-56.1M-857.8K1.213.512,4832,995156,825138,828
2010-09-28$17.50$17.0041.6%11.9%29.9%41.8%41.7%4.3%-1.4%615.1K-60.8M-851.6K4.504.312,46911,122157,771139,619
2010-09-29$17.70$17.0038.6%11.1%26.5%34.1%41.0%4.2%-1.2%763.3K-70.5M-858.9K2.165.264,73410,206157,996142,811
2010-09-30$17.51$17.0038.6%11.1%26.4%34.1%41.0%3.3%-1.4%457.2K-58.4M-868.6K0.524.364,2672,237159,855148,077