MRVL Options History — September 2011

In September 2011, MRVL traded between $12.83 and $15.35. ATM implied volatility averaged 44.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 2.1% (HV 20d: 42.1%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-09-14: Highest Volume — 90,126 contracts
  • 2011-09-13: Largest IV drop — 17.3% change
  • 2011-09-12: Highest IV Rank — 33.9%
  • 2011-09-12: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$12.83$15.35$13.02$14.52
Max Pain$12.81$12.00$13.00$13.00$13.00
ATM IV44.3%39.1%55.0%41.3%46.9%
Expected Move12.6%11.8%14.2%11.9%12.3%
HV 20d42.1%33.3%57.2%57.2%37.7%
HV 60d43.9%43.0%45.4%43.5%44.1%
IV Rank21.0%14.8%33.9%17.5%24.2%
IV Percentile83.4%65.9%94.8%78.6%90.5%
Term Structure3.6%1.4%5.9%1.4%4.7%
VWIV43.8%40.9%49.1%40.9%44.2%
Skew 25d6.5%4.0%8.9%5.3%8.9%
Skew 10d14.3%9.6%21.3%11.4%18.6%
Call IV 25d41.9%39.6%46.0%40.7%41.8%
Put IV 25d48.4%44.6%54.0%46.1%50.7%
Bid-Ask Spread %6.064.278.166.445.90
Gamma HHI0.120.100.190.130.12
Net GEX4.1M2.8M6.5M3.3M3.5M
Net DEX-92.0M-194.0M-3.2M-17.1M-52.3M
Net VEX-1.1M-1.3M-888.8K-929.3K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.083.360.133.36
Total Volume27,356.4297,99290,1267,99214,707
Total OI545,070.619500,106586,397540,401565,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$13.02$13.0041.3%11.9%57.2%17.5%40.9%5.3%1.4%3.3M-17.1M-929.3K0.136.447,093899384,037156,364
2011-09-02$12.89$13.0041.1%11.8%56.1%17.2%42.5%5.1%2.6%3.0M-7.3M-906.2K0.606.0213,2097,900382,917156,440
2011-09-06$12.83$12.0045.2%13.0%46.5%22.1%44.6%8.7%3.5%2.9M-3.2M-888.8K1.766.352,9245,157386,535161,552
2011-09-07$13.50$12.0044.8%12.6%49.4%21.6%41.9%7.9%3.9%4.0M-45.0M-960.3K0.085.6415,9431,330383,624161,579
2011-09-08$13.43$12.0045.2%12.8%49.5%22.1%42.8%8.0%3.5%4.1M-43.6M-954.0K0.277.1116,3444,338389,597161,603
2011-09-09$13.69$12.0048.8%13.6%46.1%26.5%47.3%8.3%3.3%4.4M-73.3M-1.0M0.335.4429,3169,768390,969164,083
2011-09-12$14.39$13.0055.0%14.2%48.7%33.9%49.1%7.2%2.4%5.4M-130.8M-1.1M0.265.4316,0974,200395,298168,687
2011-09-13$14.58$13.0045.5%12.9%47.8%22.5%46.6%8.0%4.5%5.7M-145.9M-1.1M0.324.2718,1775,765395,307169,806
2011-09-14$14.80$13.0039.1%12.5%47.8%14.8%42.9%6.3%4.5%6.0M-162.5M-1.1M0.235.5373,11317,013391,643170,816
2011-09-15$15.20$13.0044.0%12.6%48.0%20.7%42.8%4.7%4.2%6.5M-194.0M-1.2M0.395.4645,31217,481387,719180,237
2011-09-16$15.17$13.0042.2%12.1%38.1%18.5%42.5%4.5%4.8%5.5M-180.9M-1.2M1.564.718,56113,340393,899192,498
2011-09-19$15.24$13.0042.7%12.2%34.1%19.1%42.9%4.8%3.4%3.9M-122.4M-1.2M3.054.797,28222,245327,444172,662
2011-09-20$15.02$13.0041.7%12.0%34.5%17.9%41.6%4.8%3.3%3.4M-93.1M-1.2M1.065.168,2468,769326,957187,545
2011-09-21$14.86$13.0042.9%12.3%33.3%19.4%42.5%5.8%2.6%3.1M-77.4M-1.2M0.696.535,7233,947328,052193,922
2011-09-22$14.57$13.0044.4%12.7%34.6%21.1%44.3%6.0%4.0%2.8M-60.1M-1.2M0.496.5613,6446,667328,296194,593
2011-09-23$15.30$13.0045.3%13.0%34.5%22.3%45.0%4.0%3.3%3.7M-118.8M-1.3M0.197.4121,0643,989334,670196,257
2011-09-26$15.35$13.0045.6%13.1%34.3%22.6%47.2%6.7%3.1%3.6M-116.7M-1.2M0.386.5016,9226,369327,905195,464
2011-09-27$15.23$13.0043.6%12.5%34.5%20.2%43.9%6.3%3.4%3.7M-105.9M-1.2M0.148.1335,7615,117334,791195,522
2011-09-28$14.89$13.0042.9%12.3%36.1%19.3%43.1%7.5%4.4%3.9M-86.2M-1.2M2.155.7012,16926,190354,164197,452
2011-09-29$14.96$13.0041.3%11.8%35.9%17.4%42.2%7.3%5.9%4.3M-94.9M-1.2M1.548.168,80713,587361,359198,918
2011-09-30$14.52$13.0046.9%12.3%37.7%24.2%44.2%8.9%4.7%3.5M-52.3M-1.2M3.365.903,37611,331364,066201,234