MRVL Options History — October 2010

In October 2010, MRVL traded between $16.42 and $19.28. ATM implied volatility averaged 35.6%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 9.9% (HV 20d: 25.8%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-10-27: Highest Volume — 154,365 contracts
  • 2010-10-25: Largest IV spike — 16.5% change
  • 2010-10-06: Highest IV Rank — 38.3%
  • 2010-10-06: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.36$16.42$19.28$17.50$19.28
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV35.6%31.2%40.2%38.6%39.6%
Expected Move10.4%8.9%11.8%11.1%11.4%
HV 20d25.8%22.7%33.7%23.8%33.7%
HV 60d34.8%32.8%36.3%36.1%35.0%
IV Rank26.7%15.7%38.3%34.2%36.8%
IV Percentile24.0%4.4%55.6%42.9%55.6%
Term Structure3.7%-0.4%6.2%-0.4%3.2%
VWIV38.0%33.0%48.3%37.6%48.3%
Skew 25d6.1%3.7%9.0%3.7%9.0%
Skew 10d13.4%6.8%22.0%6.8%22.0%
Call IV 25d34.6%30.6%37.4%37.0%37.0%
Put IV 25d40.7%35.3%46.0%40.7%46.0%
Bid-Ask Spread %12.984.8727.276.5415.86
Gamma HHI0.160.130.330.140.13
Net GEX130.8K-1.4M1.7M520.5K1.0M
Net DEX-64.8M-154.1M-3.0M-55.2M-147.2M
Net VEX-919.4K-1.1M-850.8K-866.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.253.931.903.93
Total Volume21,324.4292,645154,36521,24424,684
Total OI349,787.857309,502387,137309,502387,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$17.50$17.0038.6%11.1%23.8%34.2%37.6%3.7%-0.4%520.5K-55.2M-866.0K1.906.547,33213,912160,682148,820
2010-10-04$17.23$17.0037.3%10.4%24.3%30.9%36.3%6.3%2.0%-216.7K-32.7M-867.2K0.716.1223,03816,299162,363158,714
2010-10-05$16.90$17.0036.2%10.9%25.2%28.3%38.5%6.8%2.3%-466.0K-19.2M-914.3K0.345.9136,27512,255173,987164,959
2010-10-06$16.42$17.0040.2%11.8%26.3%38.3%39.7%7.1%2.7%-898.0K-3.0M-954.2K0.386.3411,0654,219192,326169,555
2010-10-07$16.58$17.0034.8%10.7%26.7%24.8%40.5%6.6%5.3%-579.1K-18.5M-969.0K1.394.902,9654,110198,686169,749
2010-10-08$16.77$17.0031.9%10.6%26.1%17.3%39.3%6.5%3.2%-694.3K-27.9M-957.1K0.634.875,1453,239195,897170,770
2010-10-11$16.71$17.0035.6%10.7%24.1%26.7%37.5%6.1%5.0%-777.8K-27.6M-959.2K0.815.002,9002,343202,501170,548
2010-10-12$16.98$17.0035.1%10.5%24.9%25.6%37.8%6.4%3.0%-268.8K-47.2M-950.8K0.816.342,8352,297200,820170,129
2010-10-13$17.31$17.0034.6%10.5%25.8%24.3%37.8%5.6%3.1%330.5K-71.0M-949.6K0.6211.515,3583,333200,711170,002
2010-10-14$17.15$17.0036.3%10.4%26.1%28.5%36.7%5.8%3.1%-616.2K-59.7M-926.9K0.6710.722,9862,000200,238169,404
2010-10-15$17.11$17.0035.0%10.0%22.8%25.2%35.6%5.7%3.6%-1.4M-65.3M-913.9K1.2610.473,7894,784201,232169,562
2010-10-18$16.90$17.0034.1%9.8%22.7%22.9%34.5%5.6%5.2%72.4K-45.7M-885.3K0.8813.015,2034,574176,619149,793
2010-10-19$16.71$17.0034.2%9.8%22.9%23.1%34.8%5.8%5.3%-22.2K-32.9M-877.0K0.3516.362,227778179,065150,476
2010-10-20$17.05$17.0034.2%9.8%23.4%23.1%34.9%5.0%5.4%313.7K-55.5M-886.3K0.5817.3211,5586,722180,123150,499
2010-10-21$17.23$17.0033.2%9.5%23.5%20.7%34.0%4.2%6.0%513.3K-69.0M-886.2K0.6620.741,5971,048182,545151,591
2010-10-22$17.70$17.0031.2%8.9%24.3%15.7%33.0%4.7%6.2%958.7K-98.0M-882.0K0.2520.928,8172,194183,220151,901
2010-10-25$17.57$17.0036.3%10.4%23.7%28.5%40.8%7.8%3.7%899.5K-86.8M-885.7K3.5220.215,15618,153184,501151,322
2010-10-26$17.51$17.0035.3%10.1%23.7%25.9%39.5%6.9%3.7%1.1M-89.9M-850.8K0.7327.273,2082,332184,511144,999
2010-10-27$18.70$17.0037.3%10.7%33.1%31.0%42.4%7.8%3.1%1.7M-153.6M-863.2K3.0324.1838,301116,064184,992145,721
2010-10-28$19.20$17.0036.9%10.6%33.7%29.8%38.4%5.4%3.7%1.2M-154.1M-1.0M0.6718.0413,6129,106184,613200,262
2010-10-29$19.28$17.0039.6%11.4%33.7%36.8%48.3%9.0%3.2%1.0M-147.2M-1.1M3.9315.865,00319,681185,958201,179