MRVL Options History — March 2011

In March 2011, MRVL traded between $15.36 and $18.22. ATM implied volatility averaged 36.0%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 13.6% (HV 20d: 49.6%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-03-04: Highest Volume — 106,034 contracts
  • 2011-03-04: Largest IV drop — 28.7% change
  • 2011-03-03: Highest IV Rank — 53.8%
  • 2011-03-03: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.13$15.36$18.22$18.02$15.55
Max Pain$17.70$16.00$20.00$20.00$16.00
ATM IV36.0%30.7%46.4%44.9%30.7%
Expected Move10.4%8.8%13.3%12.9%8.8%
HV 20d49.6%33.9%54.3%35.9%48.2%
HV 60d40.0%32.4%41.5%32.4%41.5%
IV Rank27.7%14.3%53.8%50.1%14.3%
IV Percentile38.3%7.9%85.7%82.5%7.9%
Term Structure1.5%-7.6%4.6%-6.0%4.4%
VWIV36.6%31.4%46.7%45.5%32.3%
Skew 25d3.8%0.1%6.3%1.8%0.1%
Skew 10d7.9%2.0%12.3%2.8%2.0%
Call IV 25d35.5%30.6%46.0%45.4%32.4%
Put IV 25d39.3%32.5%48.7%47.2%32.5%
Bid-Ask Spread %6.984.5115.914.516.52
Gamma HHI0.130.110.190.140.19
Net GEX-1.1M-3.1M3.1M-2.6M3.1M
Net DEX236.8M139.1M340.2M200.1M160.9M
Net VEX-992.0K-1.2M-707.5K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.141.750.980.51
Total Volume33,827.5656,371106,03421,15114,190
Total OI538,640.87413,396614,599470,694559,604

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$18.02$20.0044.9%12.9%35.9%50.1%45.5%1.8%-6.0%-2.6M200.1M-1.1M0.984.5110,70810,443219,783250,911
2011-03-02$17.99$20.0045.3%13.0%33.9%51.1%45.2%3.2%-6.4%-2.6M207.1M-1.1M0.315.1218,4825,721224,942255,299
2011-03-03$18.22$20.0046.4%13.3%34.4%53.8%46.7%2.8%-7.6%-2.4M187.6M-1.2M0.869.0547,20340,755230,973257,908
2011-03-04$16.13$19.0033.1%10.2%54.3%20.4%35.0%3.6%2.0%-3.1M340.2M-707.5K1.077.4051,23254,802253,351282,046
2011-03-07$15.81$18.0035.0%10.5%53.7%25.3%36.6%4.5%1.6%-2.2M337.2M-749.8K1.216.4618,15521,901274,262296,184
2011-03-08$16.19$18.0033.1%10.2%54.2%20.5%35.7%4.2%1.9%-2.8M311.2M-848.5K0.145.1732,4924,572282,374296,539
2011-03-09$16.16$18.0032.6%10.2%53.9%19.1%35.0%3.1%1.9%-2.2M280.0M-1.0M0.855.737,1176,072308,411290,028
2011-03-10$15.84$18.0036.6%10.5%54.0%29.2%37.7%4.4%2.1%-1.9M291.2M-956.0K0.755.6411,7898,841312,083292,008
2011-03-11$15.67$18.0035.8%10.2%53.9%27.1%36.5%4.2%2.5%-1.7M300.6M-935.5K0.464.567,4703,425318,945294,846
2011-03-14$15.63$18.0036.2%10.4%53.7%28.2%38.0%4.3%2.2%-1.6M295.5M-893.9K1.565.8810,22815,959317,768290,208
2011-03-15$15.59$18.0037.1%10.6%53.6%30.4%37.2%5.7%2.0%-1.7M298.4M-914.1K1.506.324,0416,058318,347295,487
2011-03-16$15.36$18.0041.7%12.0%51.6%42.0%40.2%5.8%1.0%-1.7M291.6M-893.4K1.755.584,7698,350317,384290,376
2011-03-17$15.42$18.0039.4%11.3%51.6%36.3%37.9%6.3%1.5%-1.9M302.6M-887.9K0.507.867,8043,934318,683295,916
2011-03-18$15.62$18.0035.0%10.0%51.8%25.2%37.0%5.8%3.0%-1.7M290.8M-889.5K1.406.872,6583,713320,978290,885
2011-03-21$15.51$18.0032.2%9.2%51.8%18.3%33.8%5.2%4.0%-1.8M233.4M-830.8K0.339.0212,0944,014169,889243,507
2011-03-22$15.63$18.0037.9%10.9%51.2%32.4%37.6%4.3%1.3%-1.7M205.4M-903.9K0.1415.9176,49010,947177,278237,095
2011-03-23$15.96$16.0033.8%9.7%52.1%22.1%33.9%3.0%3.4%94.8K170.6M-1.0M0.248.6727,8946,756221,960244,749
2011-03-24$16.31$16.0032.8%9.4%53.0%19.6%32.2%2.1%2.9%303.1K148.1M-1.1M0.196.1835,5126,753232,185249,065
2011-03-25$16.07$16.0032.7%9.4%49.1%19.4%32.5%2.8%3.5%617.0K157.0M-1.1M0.715.648,9506,324245,860250,137
2011-03-28$16.15$16.0032.6%9.4%48.3%19.3%32.2%3.7%4.4%809.0K153.1M-1.1M0.709.2534,36124,176249,780252,991
2011-03-29$16.12$16.0031.9%9.2%48.3%17.5%32.3%3.2%4.6%1.9M139.1M-1.2M0.436.7526,87211,562272,076246,623
2011-03-30$15.97$16.0031.6%9.0%48.2%16.6%31.4%3.1%4.3%2.3M145.7M-1.2M0.236.4134,4388,007286,979252,037
2011-03-31$15.55$16.0030.7%8.8%48.2%14.3%32.3%0.1%4.4%3.1M160.9M-1.2M0.516.529,3734,817311,492248,112