MRVL Options History — November 2011

In November 2011, MRVL traded between $13.14 and $15.08. ATM implied volatility averaged 44.8%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 1.5% (HV 20d: 46.3%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2011-11-17: Highest Volume — 83,957 contracts
  • 2011-11-09: Largest IV spike — 72.5% change
  • 2011-11-09: Highest IV Rank — 43.0%
  • 2011-11-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.11$13.14$15.08$13.52$14.12
Max Pain$13.95$13.00$14.00$14.00$14.00
ATM IV44.8%36.2%62.5%51.5%41.1%
Expected Move13.0%10.9%15.5%15.5%11.4%
HV 20d46.3%39.5%53.8%45.5%53.8%
HV 60d42.7%39.2%46.3%43.8%46.3%
IV Rank21.7%11.3%43.0%29.8%17.2%
IV Percentile74.5%48.4%96.0%90.9%61.9%
Term Structure-1.4%-7.9%3.5%-7.6%3.2%
VWIV45.3%39.6%55.5%55.0%39.6%
Skew 25d7.1%3.3%11.4%11.4%4.1%
Skew 10d14.7%7.5%22.5%21.0%8.4%
Call IV 25d43.1%37.4%52.8%52.5%38.2%
Put IV 25d50.2%42.2%63.9%63.9%42.2%
Bid-Ask Spread %5.964.5910.425.277.41
Gamma HHI0.180.130.230.130.21
Net GEX3.6M1.5M6.9M2.3M4.0M
Net DEX-32.9M-138.2M29.1M29.1M-43.5M
Net VEX-841.5K-981.4K-586.0K-888.6K-688.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.175.980.190.94
Total Volume24,924.42910,44683,95728,85618,351
Total OI556,278.286408,204666,772600,191414,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$13.52$14.0051.5%15.5%45.5%29.8%55.0%11.4%-7.6%2.3M29.1M-888.6K0.195.2724,2394,617390,698209,493
2011-11-02$13.60$14.0044.8%15.3%43.9%21.6%55.5%10.0%-7.9%2.3M26.7M-891.4K0.294.778,1122,334391,660210,747
2011-11-03$13.90$14.0038.4%14.6%43.3%13.9%53.4%10.4%-7.5%2.9M6.7M-922.5K0.175.7918,4043,179391,428211,683
2011-11-04$14.24$13.0037.2%12.9%44.5%12.4%43.8%9.3%-1.9%3.9M-36.0M-976.1K1.295.786,6868,658401,339212,159
2011-11-07$14.39$14.0040.3%12.7%43.9%16.2%43.0%8.6%-1.3%4.1M-44.6M-945.8K0.465.6810,3584,808400,428216,296
2011-11-08$14.62$14.0036.2%11.6%43.9%11.3%41.0%8.1%-1.0%4.9M-75.9M-968.6K0.174.7023,1013,823405,761214,995
2011-11-09$14.11$14.0062.5%13.4%45.3%43.0%46.9%8.8%-2.5%4.1M-29.5M-934.5K0.455.2410,9654,940409,620215,055
2011-11-10$14.48$14.0045.9%13.2%46.5%22.9%46.9%8.9%-1.6%5.0M-65.9M-961.9K0.406.188,8523,583412,711215,430
2011-11-11$14.92$14.0042.6%12.2%47.7%19.0%42.9%7.8%-1.5%6.0M-115.8M-981.4K0.425.0522,7099,602413,816217,140
2011-11-14$14.84$14.0044.6%12.8%44.6%21.4%45.0%8.2%-2.3%6.2M-111.9M-945.1K0.295.4214,2594,171415,103216,505
2011-11-15$15.08$14.0043.0%12.3%44.5%19.5%42.7%7.3%-1.6%6.9M-138.2M-942.4K0.344.8414,8915,080415,426218,255
2011-11-16$14.68$14.0045.1%12.9%39.5%22.0%46.1%5.9%-3.3%5.8M-85.1M-898.6K0.907.8214,93513,501419,013220,326
2011-11-17$13.76$14.0052.6%15.1%45.1%31.1%53.3%3.3%-5.8%3.2M10.3M-821.9K0.5210.4255,09528,862420,813225,334
2011-11-18$14.65$14.0038.1%10.9%49.6%13.6%39.9%5.4%1.1%3.6M-63.0M-844.1K0.655.6635,17422,732434,194232,578
2011-11-21$14.38$14.0041.1%11.8%47.5%17.2%40.0%5.6%1.3%2.1M-20.9M-802.8K0.705.2110,5497,400270,738161,157
2011-11-22$14.01$14.0042.1%12.1%47.2%18.3%41.7%4.7%3.0%2.1M-2.8M-778.1K5.986.804,90929,332272,334158,832
2011-11-23$13.39$14.0045.8%13.1%49.6%22.8%44.4%4.4%0.8%1.6M18.0M-652.2K2.337.575,22612,155274,667142,649
2011-11-25$13.14$14.0046.4%13.4%48.6%23.5%45.5%5.3%3.1%1.5M22.6M-624.8K2.144.593,6307,782273,601137,420
2011-11-28$13.38$14.0052.6%13.2%49.2%31.1%42.9%6.5%0.3%1.8M11.0M-616.2K0.945.3410,0599,494273,910134,294
2011-11-29$13.20$14.0049.9%12.6%49.3%27.7%42.2%5.5%3.5%1.7M16.5M-586.0K0.735.589,7667,090279,025130,563
2011-11-30$14.12$14.0041.1%11.4%53.8%17.2%39.6%4.1%3.2%4.0M-43.5M-688.2K0.947.419,4668,885284,876129,772