MRVL Options History — August 2011

In August 2011, MRVL traded between $11.94 and $14.86. ATM implied volatility averaged 61.7%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 12.8% (HV 20d: 48.9%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.66.

Notable Days

2011-08-10: Highest Volume — 134,318 contracts
2011-08-11: Largest IV drop — 36.7% change
2011-08-02: Highest IV Rank — 100.0%
2011-08-18: Largest Expected Move — 24.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.96	$11.94	$14.86	$14.86	$13.15
Max Pain	$13.96	$13.00	$15.00	$15.00	$13.00
ATM IV	61.7%	41.8%	109.8%	45.8%	41.8%
Expected Move	16.5%	12.0%	24.3%	13.1%	12.0%
HV 20d	48.9%	26.3%	61.7%	26.3%	60.5%
HV 60d	43.2%	37.1%	48.6%	37.1%	43.6%
IV Rank	56.7%	18.1%	100.0%	72.4%	18.1%
IV Percentile	95.2%	81.0%	100.0%	94.4%	81.0%
Term Structure	-6.6%	-19.3%	1.4%	-3.0%	1.4%
VWIV	57.8%	41.9%	84.0%	46.0%	44.9%
Skew 25d	4.8%	0.2%	9.3%	3.4%	5.2%
Skew 10d	11.2%	-1.7%	21.2%	7.2%	13.0%
Call IV 25d	57.0%	41.1%	83.2%	45.4%	41.7%
Put IV 25d	61.8%	46.4%	89.7%	48.8%	46.9%
Bid-Ask Spread %	9.88	5.47	25.97	6.87	6.90
Gamma HHI	0.13	0.08	0.21	0.21	0.13
Net GEX	3.0M	1.8M	7.2M	7.2M	3.3M
Net DEX	13.5M	-82.0M	78.9M	-82.0M	-20.8M
Net VEX	-1.0M	-1.3M	-813.0K	-1.3M	-933.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.18	1.75	1.23	0.26
Total Volume	36,620.391	7,397	134,318	13,088	7,397
Total OI	648,829.087	481,846	772,661	663,569	537,974

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$14.86	$15.00	45.8%	13.1%	26.3%	72.4%	46.0%	3.4%	-3.0%	7.2M	-82.0M	-1.3M	1.23	6.87	5,882	7,206	504,716	158,853
2011-08-02	$14.27	$15.00	53.5%	15.3%	29.7%	100.0%	53.5%	1.7%	-6.5%	5.4M	-34.0M	-1.2M	0.33	9.84	25,902	8,650	507,402	163,095
2011-08-03	$14.25	$15.00	53.6%	15.4%	29.6%	100.0%	53.3%	2.6%	-7.4%	5.4M	-29.8M	-1.2M	0.59	6.32	11,588	6,818	513,679	165,648
2011-08-04	$13.46	$15.00	65.5%	18.8%	34.0%	100.0%	64.3%	4.9%	-11.7%	3.5M	19.4M	-1.1M	0.52	8.38	15,941	8,291	516,409	168,859
2011-08-05	$13.02	$15.00	68.0%	16.1%	35.1%	100.0%	54.7%	6.2%	-5.5%	2.7M	43.3M	-1.0M	0.82	9.11	25,333	20,732	525,033	169,697
2011-08-08	$11.96	$15.00	89.7%	19.6%	43.5%	100.0%	67.2%	7.9%	-9.5%	1.8M	71.8M	-859.8K	0.46	10.64	19,554	9,032	529,350	174,685
2011-08-09	$11.98	$15.00	85.5%	16.7%	43.6%	93.3%	58.9%	4.4%	-4.6%	1.8M	78.9M	-813.0K	0.47	17.75	52,232	24,506	532,258	174,540
2011-08-10	$11.94	$14.00	109.8%	20.5%	43.7%	100.0%	73.4%	0.2%	-13.7%	2.3M	47.2M	-997.1K	0.26	13.40	106,423	27,895	536,087	191,096
2011-08-11	$12.63	$14.00	69.5%	19.9%	49.7%	51.4%	70.2%	1.9%	-13.9%	2.5M	39.5M	-1.1M	0.39	8.84	59,398	23,453	516,947	210,215
2011-08-12	$12.58	$14.00	64.4%	18.5%	49.1%	45.3%	64.7%	2.4%	-11.4%	2.2M	55.4M	-1.1M	0.19	9.25	20,057	3,829	528,851	226,967
2011-08-15	$13.00	$14.00	61.5%	17.6%	51.1%	41.8%	62.3%	0.7%	-10.8%	2.6M	35.2M	-1.1M	0.25	7.02	18,525	4,633	526,144	228,255
2011-08-16	$12.94	$14.00	63.8%	18.3%	48.6%	44.6%	64.9%	1.7%	-11.3%	2.9M	28.4M	-1.1M	0.63	10.55	14,760	9,242	531,985	229,144
2011-08-17	$12.85	$14.00	66.8%	19.1%	48.6%	48.2%	67.5%	3.6%	-12.0%	2.7M	32.9M	-1.1M	1.62	9.49	19,047	30,780	534,182	229,945
2011-08-18	$11.97	$14.00	84.6%	24.3%	53.1%	69.7%	84.0%	6.6%	-19.3%	1.8M	65.2M	-932.2K	0.43	20.80	41,857	17,984	535,880	218,261
2011-08-19	$12.68	$14.00	58.2%	16.7%	58.1%	37.8%	58.7%	5.7%	-3.6%	1.9M	68.4M	-956.3K	0.64	25.97	34,579	22,111	548,773	223,888
2011-08-22	$12.56	$13.00	58.8%	16.9%	58.0%	38.6%	59.4%	8.3%	-5.1%	1.8M	-891.2K	-918.7K	0.49	6.36	17,776	8,658	341,835	140,011
2011-08-23	$13.05	$13.00	49.8%	14.3%	59.9%	27.6%	50.0%	7.7%	-1.6%	2.2M	-16.3M	-947.2K	0.29	6.82	22,202	6,448	342,385	141,907
2011-08-24	$13.07	$13.00	47.7%	13.7%	59.4%	25.2%	48.4%	7.1%	-1.3%	2.6M	-22.5M	-959.2K	0.18	7.18	15,976	2,866	358,454	143,975
2011-08-25	$12.63	$13.00	50.9%	14.6%	60.2%	29.0%	51.6%	9.3%	-2.9%	2.4M	-5.6M	-910.6K	1.36	7.47	6,928	9,440	370,007	144,592
2011-08-26	$12.89	$13.00	46.2%	13.2%	61.0%	23.3%	48.0%	8.4%	-0.2%	2.7M	-13.7M	-935.1K	0.61	6.58	6,153	3,744	374,493	148,736
2011-08-29	$13.16	$13.00	42.2%	12.1%	61.7%	18.5%	41.9%	5.9%	0.7%	3.1M	-24.0M	-924.0K	1.36	5.47	11,383	15,489	373,713	149,034
2011-08-30	$13.22	$13.00	42.1%	12.1%	60.5%	18.4%	42.3%	5.3%	1.1%	3.4M	-26.1M	-946.1K	1.75	6.12	4,211	7,358	380,557	154,552
2011-08-31	$13.15	$13.00	41.8%	12.0%	60.5%	18.1%	44.9%	5.2%	1.4%	3.3M	-20.8M	-933.7K	0.26	6.90	5,856	1,541	381,719	156,255