MRVL Options History — January 2011

In January 2011, MRVL traded between $18.12 and $21.89. ATM implied volatility averaged 32.6%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.7% (HV 20d: 29.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2011-01-07: Highest Volume — 49,215 contracts
  • 2011-01-13: Largest IV spike — 12.5% change
  • 2011-01-20: Highest IV Rank — 26.0%
  • 2011-01-20: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$18.12$21.89$18.54$19.01
Max Pain$19.50$17.50$20.00$17.50$20.00
ATM IV32.6%29.5%35.3%30.3%35.3%
Expected Move9.4%8.6%10.1%8.7%10.1%
HV 20d29.9%16.4%40.5%16.4%40.5%
HV 60d31.4%29.2%33.4%29.2%32.6%
IV Rank19.2%11.5%26.0%13.5%25.8%
IV Percentile15.9%1.6%34.1%4.4%33.3%
Term Structure3.8%0.4%5.5%2.0%4.3%
VWIV33.2%30.5%35.4%31.1%35.4%
Skew 25d2.1%-0.7%2.9%1.0%2.3%
Skew 10d4.8%-1.7%7.6%2.4%3.7%
Call IV 25d32.8%31.2%35.2%31.2%35.2%
Put IV 25d34.9%31.8%37.5%32.2%37.5%
Bid-Ask Spread %10.134.8453.689.2911.02
Gamma HHI0.230.140.450.280.30
Net GEX-377.8K-2.8M6.6M-2.0M-2.8M
Net DEX-82.9M-223.1M25.1M-1.7M25.0M
Net VEX-808.8K-872.3K-768.7K-798.5K-768.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.101.300.151.30
Total Volume17,942.956,71149,2157,14811,676
Total OI346,527.8290,929398,749329,508315,465

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$18.54$17.5030.3%8.7%16.4%13.5%31.1%1.0%2.0%-2.0M-1.7M-798.5K0.159.296,190958142,189187,319
2011-01-04$18.12$17.5033.2%9.5%17.6%20.6%33.0%1.8%0.4%-2.4M25.1M-771.4K0.275.6312,1063,284142,807187,428
2011-01-05$18.56$17.5030.1%8.6%20.5%12.9%30.5%-0.1%1.8%-1.9M-3.9M-791.9K0.694.845,3523,666146,510188,450
2011-01-06$19.56$17.5030.8%8.8%28.7%14.7%30.8%-0.7%2.1%-1.2M-66.7M-815.8K0.617.6922,76113,869146,275190,319
2011-01-07$20.04$20.0030.7%9.5%29.4%14.5%33.1%2.2%3.9%-652.0K-104.6M-812.4K0.8253.6827,01622,199151,401196,854
2011-01-10$20.28$20.0033.3%9.8%29.4%20.9%34.6%2.9%3.5%-575.8K-109.2M-872.3K0.788.566,8425,365160,334211,428
2011-01-11$20.52$20.0032.3%9.4%28.3%18.5%33.7%2.4%4.0%-385.7K-123.4M-868.6K0.207.419,7721,968160,516211,933
2011-01-12$20.99$20.0029.5%9.3%29.0%11.5%32.7%2.1%4.3%238.9K-158.7M-825.5K0.348.2811,1303,797162,247212,049
2011-01-13$21.43$20.0033.3%9.5%27.0%20.8%32.8%2.7%4.1%630.9K-194.1M-797.9K0.366.6723,5378,459163,806212,917
2011-01-14$21.87$20.0031.9%9.2%27.1%17.5%32.9%2.5%4.5%1.4M-221.8M-813.5K0.256.959,3242,296173,662211,344
2011-01-18$21.89$20.0032.4%9.3%27.1%18.8%33.5%2.6%4.5%1.7M-223.1M-795.1K0.216.106,2271,281174,471211,851
2011-01-19$21.23$20.0033.8%9.7%30.2%22.2%33.7%2.9%3.3%886.7K-181.1M-806.3K0.857.5911,7629,997173,278212,247
2011-01-20$20.43$20.0035.3%10.1%34.0%26.0%34.4%2.9%3.0%237.2K-126.9M-814.1K0.268.7521,6065,677173,429215,982
2011-01-21$20.08$20.0034.2%9.8%34.5%23.2%34.4%2.8%3.6%6.6M-110.6M-821.4K0.337.0114,6574,805183,827214,922
2011-01-24$19.97$20.0033.3%9.6%34.6%21.0%33.8%2.7%4.8%-1.6M-18.1M-799.8K0.918.933,5193,192116,244174,685
2011-01-25$19.79$20.0032.5%9.3%34.5%18.9%32.8%2.6%5.5%-1.9M-10.5M-791.6K0.159.6112,5011,882118,027175,953
2011-01-26$20.01$20.0032.2%9.2%34.3%18.3%32.7%2.1%5.4%-1.2M-25.9M-811.8K0.687.735,4033,660122,851176,822
2011-01-27$20.27$20.0032.3%9.3%34.3%18.5%32.2%2.0%5.5%-343.0K-44.3M-806.3K0.108.3914,6501,468125,466177,229
2011-01-28$19.16$20.0035.3%10.1%40.5%25.9%35.4%1.9%4.9%-2.4M15.6M-792.7K0.518.4016,5468,459130,588177,431
2011-01-31$19.01$20.0035.3%10.1%40.5%25.8%35.4%2.3%4.3%-2.8M25.0M-768.7K1.3011.025,0846,592135,794179,671