MRVL Options History — November 2010

In November 2010, MRVL traded between $18.74 and $20.80. ATM implied volatility averaged 41.5%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 8.2% (HV 20d: 33.3%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2010-11-18: Highest Volume — 71,375 contracts
  • 2010-11-19: Largest IV drop — 20.3% change
  • 2010-11-09: Highest IV Rank — 70.2%
  • 2010-11-03: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.79$18.74$20.80$19.51$19.28
Max Pain$18.14$17.00$19.00$17.00$18.00
ATM IV41.5%33.1%53.0%39.9%36.0%
Expected Move11.4%9.5%13.7%11.4%10.3%
HV 20d33.3%28.5%39.6%32.9%31.8%
HV 60d32.6%29.8%35.1%35.1%29.8%
IV Rank41.6%20.4%70.2%37.4%27.8%
IV Percentile55.7%7.5%94.4%56.7%30.2%
Term Structure-0.3%-6.6%3.8%3.8%1.1%
VWIV41.2%33.3%53.4%42.6%35.9%
Skew 25d4.3%1.8%7.6%6.4%1.9%
Skew 10d9.7%4.2%17.6%15.3%4.3%
Call IV 25d39.1%32.0%47.3%39.8%35.8%
Put IV 25d43.4%34.0%54.9%46.2%37.7%
Bid-Ask Spread %10.502.8625.7725.776.23
Gamma HHI0.170.120.580.130.18
Net GEX3.1M1.2M15.4M1.2M3.2M
Net DEX-181.3M-344.3M-118.0M-163.6M-118.0M
Net VEX-948.1K-1.0M-882.9K-1.0M-911.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.095.020.352.56
Total Volume25,079.7141,42971,37543,3028,623
Total OI402,602.905327,218544,409381,735348,537

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$19.51$17.0039.9%11.4%32.9%37.4%42.6%6.4%3.8%1.2M-163.6M-1.0M0.3525.7732,10011,202185,739195,996
2010-11-02$19.63$17.0041.0%11.8%31.5%40.2%47.7%7.2%3.2%1.4M-170.6M-1.0M0.6015.2214,5808,796189,987199,069
2010-11-03$19.69$17.0047.9%13.7%28.5%57.4%53.4%7.6%-5.7%1.4M-176.8M-1.0M1.4211.658,25111,754193,454201,517
2010-11-04$20.52$17.0046.7%13.4%30.7%54.4%49.0%6.2%-6.6%1.7M-225.6M-949.1K0.4111.9217,0066,958194,195202,809
2010-11-05$20.80$19.0046.9%11.6%30.7%55.1%42.9%4.8%-0.9%1.7M-240.2M-917.9K0.606.047,2684,332194,376203,000
2010-11-08$20.77$19.0049.9%11.8%30.6%62.5%42.8%5.0%-1.3%1.8M-231.7M-938.2K0.577.239,8505,660196,112203,331
2010-11-09$20.45$19.0053.0%12.3%31.9%70.2%42.5%4.8%-1.8%1.9M-213.1M-941.2K0.248.459,2992,196196,850205,094
2010-11-10$20.26$19.0052.8%12.1%32.3%69.8%43.1%5.3%-1.2%2.2M-214.4M-938.1K2.087.564,5609,484202,134205,666
2010-11-11$20.02$19.0043.4%12.4%32.5%46.2%44.2%5.8%-2.0%1.5M-185.4M-941.8K0.9810.257,6137,453202,237215,973
2010-11-12$19.83$19.0044.5%12.8%32.9%48.9%45.1%5.9%-2.4%1.6M-173.0M-959.7K0.408.787,5843,053204,229216,432
2010-11-15$19.43$19.0043.1%12.4%33.7%45.6%43.2%5.1%-1.0%1.9M-152.1M-932.1K0.0913.2537,9353,376206,360217,031
2010-11-16$18.94$18.0041.7%12.0%35.1%42.0%43.6%4.3%-0.9%3.3M-139.5M-951.9K0.6410.4339,49325,236229,514216,842
2010-11-17$18.74$18.0040.0%11.5%35.1%37.7%40.6%4.8%-0.4%3.9M-133.0M-1.0M0.659.2130,39119,805254,401232,372
2010-11-18$18.94$18.0041.8%12.0%35.1%42.2%42.4%2.6%-0.9%4.3M-171.2M-1.0M0.5713.9145,49125,884270,512238,921
2010-11-19$20.09$18.0033.3%9.6%39.4%21.0%33.7%1.8%2.5%15.4M-344.3M-915.0K0.3413.4235,72712,281291,767252,642
2010-11-22$20.00$18.0033.7%9.7%39.3%21.9%33.5%2.0%2.0%3.8M-175.9M-884.4K1.162.869,80811,368179,869147,349
2010-11-23$19.80$18.0034.3%9.8%39.6%23.4%34.8%2.3%1.7%3.2M-152.7M-944.3K1.039.402,4982,582183,344155,471
2010-11-24$19.81$18.0033.1%9.5%32.7%20.4%33.3%2.7%2.1%3.4M-153.7M-931.9K0.498.264,1372,028183,981155,574
2010-11-26$19.58$18.0034.2%9.8%31.9%23.1%34.5%2.5%1.6%3.4M-142.8M-926.3K0.5410.57927502185,056155,947
2010-11-29$19.40$18.0035.3%10.1%32.1%26.0%35.5%2.1%0.9%3.5M-130.0M-882.9K5.0210.033,25116,332185,004155,967
2010-11-30$19.28$18.0036.0%10.3%31.8%27.8%35.9%1.9%1.1%3.2M-118.0M-911.2K2.566.232,4246,199185,588162,949