MRVL Options History — July 2011

In July 2011, MRVL traded between $14.63 and $15.52. ATM implied volatility averaged 36.4%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.3% (HV 20d: 33.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2011-07-18: Highest Volume — 51,989 contracts
  • 2011-07-14: Largest IV spike — 31.5% change
  • 2011-07-29: Highest IV Rank — 71.3%
  • 2011-07-29: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.06$14.63$15.52$15.11$14.82
Max Pain$15.90$14.00$16.00$14.00$16.00
ATM IV36.4%28.2%45.5%28.2%45.5%
Expected Move11.1%8.1%13.0%8.1%13.0%
HV 20d33.1%26.1%37.5%36.9%27.6%
HV 60d37.7%36.6%38.6%38.2%37.6%
IV Rank36.5%5.3%71.3%5.3%71.3%
IV Percentile50.8%1.6%93.7%1.6%93.7%
Term Structure0.5%-2.4%6.1%6.1%-2.4%
VWIV38.3%28.4%45.3%28.4%45.3%
Skew 25d4.1%3.3%5.1%3.3%4.9%
Skew 10d8.4%6.6%10.6%10.3%9.1%
Call IV 25d37.2%27.7%44.4%27.7%44.4%
Put IV 25d41.3%31.0%49.3%31.0%49.3%
Bid-Ask Spread %8.075.4619.436.266.65
Gamma HHI0.200.160.250.200.20
Net GEX8.1M5.4M11.8M8.8M6.6M
Net DEX-99.6M-147.1M-62.2M-103.3M-74.7M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.081.590.150.13
Total Volume18,851.92,38651,98927,35222,424
Total OI633,630.7587,544661,378618,814640,781

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$15.11$14.0028.2%8.1%36.9%5.3%28.4%3.3%6.1%8.8M-103.3M-1.4M0.156.2623,7973,555468,327150,487
2011-07-05$15.19$16.0031.1%10.5%36.6%16.3%34.9%4.9%0.3%9.6M-112.2M-1.4M0.0913.3019,1941,734474,899151,571
2011-07-06$15.08$16.0030.5%10.5%36.7%14.1%36.0%4.8%0.3%9.1M-100.0M-1.4M0.2019.4311,1152,247479,937152,086
2011-07-07$15.39$16.0029.9%10.5%36.6%11.6%35.6%4.1%-0.1%11.2M-142.6M-1.5M0.2511.7122,4615,544483,439152,638
2011-07-08$15.41$16.0029.3%10.4%36.5%9.5%35.3%4.2%0.4%11.8M-145.7M-1.5M0.2113.066,0001,269490,825154,958
2011-07-11$14.86$16.0033.3%10.9%37.5%24.5%37.4%4.6%-0.2%7.8M-77.5M-1.4M0.268.5110,0662,623492,328154,683
2011-07-12$14.81$16.0032.5%10.9%36.6%21.6%38.4%3.9%-0.0%7.6M-73.5M-1.3M0.266.936,8121,799496,256154,516
2011-07-13$14.72$16.0029.6%10.8%36.7%10.5%37.8%4.3%0.5%7.0M-63.0M-1.3M0.246.0410,2312,500498,775155,239
2011-07-14$14.68$16.0038.9%11.2%36.4%46.3%38.7%5.1%0.2%6.8M-62.2M-1.3M1.597.1013,48821,466504,735156,643
2011-07-15$14.87$16.0037.8%10.8%35.7%42.1%37.9%4.6%1.4%7.6M-81.0M-1.3M0.295.725,3901,544506,777149,694
2011-07-18$14.63$16.0042.5%12.2%32.1%60.0%43.0%4.1%1.3%5.4M-65.0M-1.3M0.365.8838,26913,720446,530141,014
2011-07-19$15.18$16.0039.8%11.4%33.9%49.5%38.6%4.3%0.9%7.3M-111.1M-1.4M0.167.2821,2503,472464,642148,016
2011-07-20$15.08$16.0040.1%11.5%31.5%50.7%39.3%3.7%0.9%7.2M-102.2M-1.4M0.086.6415,5271,276471,430149,484
2011-07-21$15.15$16.0039.7%11.4%31.3%49.2%39.7%3.3%0.5%7.6M-107.8M-1.4M0.766.754,4213,348474,052150,057
2011-07-22$15.33$16.0039.0%11.2%28.5%46.3%38.1%3.4%0.6%8.2M-124.7M-1.4M0.245.877,7841,855474,988151,305
2011-07-25$15.29$16.0040.1%11.5%26.1%50.6%39.8%3.8%0.2%8.2M-121.7M-1.4M0.307.221,829557477,652151,357
2011-07-26$15.52$16.0037.6%10.8%26.4%41.1%38.5%3.7%0.2%9.2M-147.1M-1.4M0.186.0841,4617,522478,285151,382
2011-07-27$15.04$16.0040.9%11.7%29.3%54.0%42.0%3.9%-0.4%7.4M-93.3M-1.4M0.805.535,8664,670485,882152,194
2011-07-28$14.98$16.0041.3%11.8%29.2%55.2%42.2%3.9%-0.6%7.0M-82.8M-1.3M0.455.466,1562,796479,955154,795
2011-07-29$14.82$16.0045.5%13.0%27.6%71.3%45.3%4.9%-2.4%6.6M-74.7M-1.3M0.136.6519,8752,549483,692157,089