MRVL Options History — February 2011

In February 2011, MRVL traded between $17.97 and $20.24. ATM implied volatility averaged 36.2%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.5% (HV 20d: 35.7%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-02-04: Highest Volume — 88,460 contracts
  • 2011-02-10: Largest IV spike — 11.6% change
  • 2011-02-28: Highest IV Rank — 45.4%
  • 2011-02-28: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.19$17.97$20.24$19.57$18.28
Max Pain$20.47$20.00$21.00$20.00$20.00
ATM IV36.2%29.8%43.1%33.7%43.1%
Expected Move10.6%9.0%12.3%9.7%12.3%
HV 20d35.7%32.0%41.7%41.7%35.7%
HV 60d31.8%30.7%33.2%32.0%32.4%
IV Rank28.2%12.3%45.4%21.9%45.4%
IV Percentile41.6%3.2%78.6%22.2%78.6%
Term Structure-1.8%-5.2%4.7%4.3%-5.2%
VWIV37.6%31.5%42.9%34.5%42.9%
Skew 25d1.9%-0.3%3.5%1.7%2.2%
Skew 10d3.9%-1.7%7.0%4.1%4.7%
Call IV 25d37.4%31.3%43.2%34.5%43.2%
Put IV 25d39.3%32.8%45.4%36.2%45.4%
Bid-Ask Spread %5.934.029.258.615.59
Gamma HHI0.210.150.380.240.16
Net GEX-3.8M-8.2M-1.6M-1.6M-2.0M
Net DEX104.3M-5.9M191.2M-5.9M179.6M
Net VEX-1.1M-1.2M-788.8K-806.6K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.098.421.251.03
Total Volume35,828.36810,02088,46012,23536,586
Total OI457,316.158323,499592,752323,499465,428

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$19.57$20.0033.7%9.7%41.7%21.9%34.5%1.7%4.3%-1.6M-5.9M-806.6K1.258.615,4426,793138,515184,984
2011-02-02$19.50$20.0032.6%9.4%40.7%19.3%32.9%1.3%4.7%-1.9M-1.7M-788.8K8.428.522,80423,616139,043187,914
2011-02-03$19.48$20.0031.5%9.0%40.0%16.3%31.5%1.5%3.6%-3.0M21.2M-848.6K5.209.257,80440,577139,719210,231
2011-02-04$19.75$21.0029.8%9.9%35.7%12.3%34.0%3.4%-1.4%-3.8M33.8M-980.6K1.214.6239,97948,481143,338246,053
2011-02-07$20.09$21.0032.3%10.1%35.2%18.3%35.1%2.9%-1.6%-2.4M29.9M-1.2M0.605.1029,38817,750173,924284,393
2011-02-08$20.24$21.0031.8%10.2%35.0%17.3%35.3%3.0%-2.1%-2.3M21.4M-1.2M0.565.126,4393,581180,544298,732
2011-02-09$19.87$21.0032.0%10.3%35.3%17.8%35.5%3.5%-2.4%-3.5M62.6M-1.2M0.695.669,3376,416179,118300,410
2011-02-10$19.66$21.0035.8%10.3%34.2%27.1%35.9%3.0%-2.0%-4.3M87.3M-1.2M1.745.684,8808,504185,183303,590
2011-02-11$19.75$21.0034.3%9.8%33.2%23.5%34.7%3.0%-1.8%-4.1M84.9M-1.2M1.295.2910,33413,309187,106308,051
2011-02-14$19.77$21.0036.3%10.4%32.0%28.4%36.4%2.5%-3.3%-3.4M86.4M-1.2M0.095.5532,7312,950191,184316,698
2011-02-15$18.78$21.0038.5%11.0%35.8%33.9%39.9%0.9%-3.1%-7.7M172.8M-1.1M0.296.5547,01513,491207,376317,112
2011-02-16$18.83$21.0037.4%10.7%34.9%31.1%38.2%1.8%-3.4%-8.2M175.6M-1.1M1.885.5327,28351,166227,873324,424
2011-02-17$19.02$20.0037.8%10.8%33.2%32.3%39.8%-0.3%-3.8%-6.1M152.6M-1.2M0.326.5432,33910,389246,027335,644
2011-02-18$18.89$20.0037.1%10.6%32.8%30.5%38.7%0.4%-2.9%-7.2M181.7M-1.2M0.564.0214,3157,969249,303343,449
2011-02-22$18.23$20.0041.1%11.8%34.8%40.5%42.5%0.9%-3.5%-2.9M183.0M-1.1M0.264.9217,6304,608181,349223,509
2011-02-23$17.97$20.0042.1%12.1%34.9%42.9%42.9%1.3%-3.3%-2.6M191.2M-1.1M0.355.5713,8644,887189,246225,932
2011-02-24$18.01$20.0041.9%12.0%34.5%42.4%42.9%1.5%-3.0%-2.5M189.4M-1.1M0.204.9015,1663,061194,195228,493
2011-02-25$18.91$20.0039.1%11.2%39.1%35.5%40.2%1.6%-3.8%-2.4M135.2M-1.2M0.355.6944,32615,529201,161229,756
2011-02-28$18.28$20.0043.1%12.3%35.7%45.4%42.9%2.2%-5.2%-2.0M179.6M-1.1M1.035.5917,99818,588226,656238,772