MRVL Options History — June 2011

In June 2011, MRVL traded between $13.21 and $15.73. ATM implied volatility averaged 33.2%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 13.3% (HV 20d: 46.5%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2011-06-17: Highest Volume — 29,205 contracts
  • 2011-06-30: Largest IV drop — 13.5% change
  • 2011-06-17: Highest IV Rank — 46.8%
  • 2011-06-17: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.41$13.21$15.73$15.72$14.77
Max Pain$14.59$14.00$15.00$15.00$14.00
ATM IV33.2%27.6%39.1%28.7%27.6%
Expected Move9.6%7.9%11.2%8.2%7.9%
HV 20d46.5%36.0%54.1%46.1%38.1%
HV 60d36.2%34.1%38.5%34.5%37.9%
IV Rank24.4%3.0%46.8%6.8%3.0%
IV Percentile27.8%0.8%69.0%1.2%0.8%
Term Structure2.6%0.4%6.2%0.4%6.2%
VWIV33.3%28.7%38.5%29.6%28.7%
Skew 25d4.1%2.0%6.0%2.0%2.7%
Skew 10d8.7%6.5%12.0%8.3%6.5%
Call IV 25d32.0%28.4%36.4%28.8%28.4%
Put IV 25d36.1%30.8%42.4%30.8%31.1%
Bid-Ask Spread %5.564.327.975.695.82
Gamma HHI0.170.130.220.220.18
Net GEX5.9M1.7M12.4M12.4M6.9M
Net DEX-25.6M-180.9M89.8M-180.9M-64.7M
Net VEX-1.2M-1.6M-837.1K-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.141.300.680.16
Total Volume15,196.3186,17629,20522,17517,426
Total OI623,561.136550,450665,059635,836611,474

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$15.72$15.0028.7%8.2%46.1%6.8%29.6%2.0%0.4%12.4M-180.9M-1.6M0.685.6913,2118,964479,008156,828
2011-06-02$15.73$15.0028.8%8.2%46.1%7.2%30.5%2.9%0.7%12.1M-175.3M-1.6M1.215.293,2393,914476,850158,703
2011-06-03$15.15$15.0030.3%9.1%47.0%12.9%30.1%4.4%1.7%9.9M-95.7M-1.4M1.116.837,4538,283477,743160,179
2011-06-06$14.96$15.0032.7%9.4%47.2%22.0%32.9%4.6%1.2%9.0M-69.7M-1.4M0.675.754,6393,119479,741160,639
2011-06-07$15.00$15.0031.8%9.3%47.1%18.5%31.5%3.5%1.7%9.3M-75.2M-1.4M1.094.6012,47213,538479,137162,167
2011-06-08$14.71$15.0031.6%9.4%47.3%18.0%35.2%3.9%1.9%7.8M-37.3M-1.3M0.554.584,9782,717482,912163,630
2011-06-09$14.82$15.0032.0%9.2%47.1%19.6%31.9%3.7%2.5%8.5M-47.5M-1.3M0.335.517,7032,508483,580165,376
2011-06-10$14.40$15.0033.8%9.7%48.1%26.4%33.6%4.2%2.6%5.8M3.1M-1.2M1.305.176,7718,784486,590167,088
2011-06-13$14.11$15.0034.4%9.9%47.9%29.0%32.8%4.0%2.0%3.9M37.0M-1.1M0.234.8115,7853,570488,206168,314
2011-06-14$14.22$15.0033.9%9.7%46.9%26.9%32.5%4.1%2.6%4.5M26.2M-1.1M0.334.9113,8934,626491,541168,731
2011-06-15$14.05$15.0034.8%10.0%47.0%30.2%34.5%4.3%2.7%3.5M38.0M-1.1M0.314.3211,4253,536494,510168,611
2011-06-16$13.79$15.0035.8%10.3%47.0%34.2%36.0%5.1%2.8%2.4M54.5M-993.7K0.665.346,8274,510492,612167,635
2011-06-17$13.21$15.0039.1%11.2%49.1%46.8%38.5%6.0%1.9%1.7M89.8M-837.1K0.695.6417,25711,948496,132168,927
2011-06-20$13.40$14.0038.0%10.9%49.5%42.5%36.9%5.4%2.2%2.4M40.6M-871.0K0.175.7019,4013,222416,086134,364
2011-06-21$13.97$14.0033.7%9.7%52.0%26.2%33.4%4.2%3.3%3.8M4.3M-1.0M0.946.458,2237,725429,288135,114
2011-06-22$13.89$14.0033.5%9.6%52.0%25.5%33.5%4.3%3.4%3.7M6.9M-1.0M0.305.8219,9676,040432,229140,102
2011-06-23$14.46$14.0034.1%9.8%54.0%27.6%33.6%4.3%3.9%5.5M-44.3M-1.3M0.264.806,0871,610445,834144,836
2011-06-24$14.06$14.0035.6%10.2%54.1%33.4%36.3%2.8%3.1%4.3M-17.5M-1.2M0.607.974,1162,470446,436144,962
2011-06-27$14.14$14.0035.2%10.1%36.9%32.0%35.4%4.8%2.9%4.4M-17.5M-1.2M0.775.993,4972,679447,262145,360
2011-06-28$14.15$14.0034.5%9.9%36.7%29.3%34.3%4.5%3.1%4.2M-11.9M-1.2M0.145.999,5511,298448,207147,225
2011-06-29$14.33$14.0031.9%9.2%36.0%19.5%30.7%4.5%4.2%4.8M-25.7M-1.2M0.315.3011,7013,636456,140148,036
2011-06-30$14.77$14.0027.6%7.9%38.1%3.0%28.7%2.7%6.2%6.9M-64.7M-1.4M0.165.8214,9812,445462,148149,326