MRVL Options History — December 2010

In December 2010, MRVL traded between $18.37 and $20.46. ATM implied volatility averaged 32.2%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.1% (HV 20d: 29.1%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2010-12-21: Highest Volume — 30,549 contracts
  • 2010-12-13: Largest IV spike — 12.9% change
  • 2010-12-13: Highest IV Rank — 27.9%
  • 2010-12-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.27$18.37$20.46$20.20$18.55
Max Pain$16.34$16.00$18.00$18.00$17.50
ATM IV32.2%29.3%36.1%35.3%29.9%
Expected Move9.2%8.4%10.1%10.1%8.6%
HV 20d29.1%16.4%36.2%35.9%16.4%
HV 60d30.4%29.2%31.1%31.1%29.2%
IV Rank18.1%11.0%27.9%25.8%12.5%
IV Percentile9.0%0.8%32.5%23.0%2.8%
Term Structure2.1%0.7%2.7%0.7%2.3%
VWIV32.7%30.3%35.9%35.2%30.8%
Skew 25d2.3%0.6%4.7%1.6%1.3%
Skew 10d5.3%1.3%10.7%3.7%3.2%
Call IV 25d32.2%30.1%34.9%34.9%30.7%
Put IV 25d34.5%31.2%37.3%36.5%32.0%
Bid-Ask Spread %9.154.4715.5915.594.47
Gamma HHI0.230.140.320.140.29
Net GEX1.6M-2.1M5.2M3.1M-2.0M
Net DEX-94.3M-208.2M8.2M-182.3M-2.4M
Net VEX-804.9K-879.4K-715.0K-865.7K-800.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.086.810.371.03
Total Volume10,595.6362,38530,54914,8323,007
Total OI343,699.182273,159377,488352,557327,896

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$20.20$18.0035.3%10.1%35.9%25.8%35.2%1.6%0.7%3.1M-182.3M-865.7K0.3715.5910,8084,024186,035166,522
2010-12-02$20.46$18.0033.0%9.5%36.2%20.3%33.3%0.8%1.8%3.3M-206.8M-879.4K0.3313.819,7133,249190,788167,983
2010-12-03$20.44$18.0032.2%9.2%33.0%18.2%32.4%0.6%2.7%3.6M-208.2M-870.6K0.6114.414,6222,812193,123167,510
2010-12-06$20.24$16.0034.1%9.9%32.8%23.0%34.6%3.4%1.9%3.7M-196.3M-863.9K0.169.975,195842194,996168,085
2010-12-07$20.19$16.0033.2%9.8%32.8%20.7%34.5%3.7%2.2%3.6M-195.0M-842.3K0.369.824,2011,502194,351168,275
2010-12-08$20.10$16.0032.1%9.6%32.4%17.9%32.6%4.4%2.3%3.6M-189.8M-833.4K0.0910.059,844886195,759168,232
2010-12-09$19.75$16.0032.1%9.3%32.8%18.0%31.6%4.7%2.0%4.7M-164.8M-814.7K0.3913.399,0723,531199,784167,773
2010-12-10$19.56$16.0032.0%9.3%32.7%17.6%33.1%4.3%2.1%4.9M-147.1M-829.8K0.4712.034,5662,129204,654169,055
2010-12-13$19.15$16.0036.1%9.7%33.4%27.9%33.7%4.4%2.0%5.0M-109.4M-803.4K0.4014.223,7461,507205,683170,375
2010-12-14$19.13$16.0033.9%9.6%32.6%22.5%33.4%4.2%1.9%5.2M-106.9M-789.0K0.449.725,3532,378206,404170,640
2010-12-15$18.62$16.0034.0%9.7%32.8%22.6%34.7%3.8%1.8%4.9M-59.7M-758.6K0.296.7415,2644,458206,881170,607
2010-12-16$18.57$16.0033.9%9.7%32.6%22.3%35.9%2.9%2.0%4.6M-56.1M-755.1K0.085.2818,0061,373204,567168,572
2010-12-17$18.86$16.0033.4%9.6%32.9%21.1%33.8%1.9%2.1%-349.7K-71.7M-740.7K0.285.526,5611,863203,957168,743
2010-12-20$19.05$16.0031.3%9.0%24.8%16.0%31.5%1.6%2.4%-166.5K-65.1M-715.1K0.875.5011,4029,972131,785141,374
2010-12-21$19.07$16.0029.8%8.5%24.8%12.1%30.5%1.2%2.3%-394.4K-61.0M-715.0K6.815.903,91226,637133,488148,560
2010-12-22$18.88$16.0029.3%8.4%24.8%11.0%30.4%1.1%2.3%-1.5M-27.7M-806.7K2.906.723,64110,554134,809172,221
2010-12-23$18.93$16.0029.6%8.5%24.8%11.7%30.3%1.0%2.5%-1.8M-23.6M-829.9K0.737.892,5581,873136,038179,812
2010-12-27$18.72$16.0030.6%8.8%24.8%14.2%31.5%0.9%2.0%-1.9M-11.1M-816.0K1.208.952,1672,590136,386179,775
2010-12-28$18.55$16.0030.6%8.8%24.8%14.2%32.4%1.6%1.7%-2.1M-1.0M-798.2K0.537.312,9401,550137,229181,470
2010-12-29$18.44$16.0030.7%8.8%24.8%14.3%31.5%0.7%2.6%-2.1M4.0M-797.1K0.387.501,731654138,396181,846
2010-12-30$18.37$16.0030.3%8.7%16.8%13.5%31.0%0.6%2.7%-2.1M8.2M-783.9K1.106.564,9535,458138,895182,048
2010-12-31$18.55$17.5029.9%8.6%16.4%12.5%30.8%1.3%2.3%-2.0M-2.4M-800.6K1.034.471,4831,524141,619186,277