MRVL Options History — October 2011

In October 2011, MRVL traded between $13.14 and $15.67. ATM implied volatility averaged 47.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 7.5% (HV 20d: 40.3%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2011-10-20: Highest Volume — 74,928 contracts
  • 2011-10-12: Largest IV drop — 25.8% change
  • 2011-10-03: Highest IV Rank — 40.6%
  • 2011-10-20: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.41$13.14$15.67$14.15$13.99
Max Pain$14.33$13.00$15.00$13.00$14.00
ATM IV47.7%37.7%60.6%60.6%44.0%
Expected Move13.6%11.8%15.7%13.9%14.4%
HV 20d40.3%34.5%47.2%39.0%45.3%
HV 60d46.2%44.2%48.7%44.4%46.7%
IV Rank25.2%13.1%40.6%40.6%20.7%
IV Percentile84.2%51.6%95.6%95.6%76.2%
Term Structure-3.2%-10.4%6.3%5.0%-6.3%
VWIV47.1%41.0%52.4%44.8%50.7%
Skew 25d10.4%5.0%13.6%9.6%7.3%
Skew 10d21.1%10.3%27.4%18.3%13.7%
Call IV 25d43.7%38.7%49.1%44.6%49.1%
Put IV 25d54.1%44.1%61.3%54.2%56.4%
Bid-Ask Spread %5.774.427.397.395.56
Gamma HHI0.140.110.180.110.14
Net GEX3.8M1.1M6.2M2.9M3.1M
Net DEX-36.8M-163.9M75.2M-16.8M-6.5M
Net VEX-1.0M-1.2M-817.7K-1.1M-968.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.063.290.730.43
Total Volume26,609.0484,47574,92815,8384,475
Total OI601,814.333573,533653,467574,248598,321

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$14.15$13.0060.6%13.9%39.0%40.6%44.8%9.6%5.0%2.9M-16.8M-1.1M0.737.399,1356,703364,418209,830
2011-10-04$14.55$13.0051.3%12.7%39.7%29.4%44.4%8.6%4.8%3.5M-48.6M-1.2M0.337.2923,7157,821364,301209,232
2011-10-05$15.00$13.0049.0%11.8%37.2%26.7%41.3%5.9%5.6%4.4M-89.0M-1.2M0.245.7118,9404,615373,749210,784
2011-10-06$15.43$13.0043.3%11.9%37.8%19.8%41.0%5.0%6.3%5.2M-137.5M-1.2M0.486.0411,1015,331379,087211,114
2011-10-07$15.35$15.0043.6%13.6%37.8%20.2%47.8%8.8%-2.8%5.1M-132.5M-1.2M0.666.154,9833,269381,184213,040
2011-10-10$15.67$15.0047.3%12.7%34.5%24.7%45.2%8.0%-3.1%5.9M-163.9M-1.2M0.155.3011,7381,716383,027215,197
2011-10-11$15.31$15.0050.8%14.2%35.7%28.9%50.2%13.1%-5.0%5.7M-122.0M-1.2M3.296.3914,36447,304390,404215,484
2011-10-12$15.11$15.0037.7%13.5%35.8%13.1%46.0%13.6%-4.8%5.8M-100.1M-1.1M0.265.119,6062,485396,668205,276
2011-10-13$15.13$15.0046.3%13.3%34.5%23.4%46.8%12.5%-5.0%5.8M-105.7M-1.1M0.364.8110,5293,761400,697205,611
2011-10-14$14.98$15.0043.0%12.3%34.6%19.5%44.7%11.7%-3.5%6.2M-85.6M-1.1M0.475.4714,6586,956406,397207,257
2011-10-17$14.30$15.0049.3%14.1%38.2%27.0%47.2%13.0%-6.7%4.3M-15.4M-986.5K0.685.6811,6037,870405,134209,685
2011-10-18$14.56$15.0044.3%12.7%38.6%21.0%44.2%11.8%-4.9%5.1M-43.2M-1.0M0.295.4413,1793,765408,943210,266
2011-10-19$13.70$15.0051.7%14.8%44.0%30.0%50.6%13.0%-7.2%3.0M35.5M-885.6K0.445.9430,56013,297404,169211,318
2011-10-20$13.32$15.0054.8%15.7%44.5%33.7%52.4%12.6%-10.4%1.3M75.2M-817.7K0.635.5645,86629,062412,084217,611
2011-10-21$13.14$15.0053.3%15.3%39.8%31.9%50.7%11.1%-5.5%1.7M73.2M-855.7K0.435.7020,1628,571427,998225,469
2011-10-24$13.80$14.0048.2%13.8%44.5%25.7%48.3%12.2%-4.7%1.2M38.2M-938.0K0.094.4221,7781,961360,594212,941
2011-10-25$13.40$14.0052.8%15.1%45.3%31.3%50.4%10.9%-4.8%1.1M57.8M-887.1K0.245.5917,8074,294371,033213,332
2011-10-26$13.66$14.0046.1%13.2%45.7%23.2%46.9%12.0%-3.7%1.8M34.5M-925.9K0.065.2920,8681,222381,472211,498
2011-10-27$14.07$14.0047.8%13.7%47.2%25.2%48.3%8.5%-4.9%3.0M-7.6M-1.0M0.135.8954,2667,069395,248211,932
2011-10-28$14.09$14.0037.7%13.3%46.2%13.1%46.6%8.9%-4.6%2.8M-12.4M-974.8K0.346.3716,7415,644394,350211,946
2011-10-31$13.99$14.0044.0%14.4%45.3%20.7%50.7%7.3%-6.3%3.1M-6.5M-968.6K0.435.563,1361,339387,799210,522