MRVL Options History — December 2011

In December 2011, MRVL traded between $13.22 and $14.58. ATM implied volatility averaged 38.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 9.2% (HV 20d: 48.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-12-08: Highest Volume — 21,379 contracts
  • 2011-12-30: Largest IV drop — 17.3% change
  • 2011-12-14: Highest IV Rank — 21.8%
  • 2011-12-08: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.87$13.22$14.58$13.86$13.85
Max Pain$14.67$14.00$15.00$14.00$14.00
ATM IV38.8%30.8%44.9%38.3%30.8%
Expected Move11.4%10.1%12.9%11.0%10.7%
HV 20d48.1%35.2%54.6%54.2%35.2%
HV 60d45.1%44.1%45.9%45.4%44.5%
IV Rank14.5%4.8%21.8%13.7%4.8%
IV Percentile51.4%8.3%77.4%53.6%8.3%
Term Structure1.9%0.2%3.7%3.4%2.2%
VWIV40.1%36.2%44.6%39.1%38.0%
Skew 25d2.7%1.2%4.6%4.4%1.7%
Skew 10d6.3%2.1%9.3%7.4%4.2%
Call IV 25d39.9%36.1%44.4%37.3%38.6%
Put IV 25d42.5%37.8%47.8%41.7%40.3%
Bid-Ask Spread %5.903.909.554.626.86
Gamma HHI0.200.150.250.210.19
Net GEX2.2M221.5K4.6M3.5M1.3M
Net DEX-12.4M-72.5M28.5M-23.9M-2.0M
Net VEX-576.3K-703.1K-484.1K-661.1K-490.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.082.241.930.41
Total Volume9,656.2862,23021,3798,1859,485
Total OI397,481.524356,225430,076418,645368,422

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$13.86$14.0038.3%11.0%54.2%13.7%39.1%4.4%3.4%3.5M-23.9M-661.1K1.934.622,7975,388286,537132,108
2011-12-02$13.79$14.0039.9%11.1%53.7%15.7%38.1%4.6%3.7%2.9M-17.2M-658.3K0.916.096,1085,559287,277133,797
2011-12-05$13.78$15.0043.3%12.1%52.9%19.8%42.7%3.5%0.5%2.8M-13.3M-633.7K0.334.633,1001,035286,279133,564
2011-12-06$14.10$15.0041.9%12.0%53.5%18.2%41.3%3.7%0.9%3.7M-34.5M-647.4K0.083.9017,7421,348287,109133,829
2011-12-07$14.58$15.0040.4%12.4%54.6%16.3%43.3%4.2%0.2%4.6M-72.5M-703.1K0.354.7413,5534,716289,149133,915
2011-12-08$14.15$15.0042.0%12.9%54.1%18.3%44.2%3.7%0.4%3.9M-41.5M-659.9K0.215.5217,7083,671288,740133,931
2011-12-09$14.29$15.0037.6%12.7%53.4%13.0%43.9%2.2%0.9%4.4M-51.4M-657.9K0.274.5312,8743,481284,586134,774
2011-12-12$14.11$15.0041.9%12.7%52.3%18.2%44.6%2.3%1.1%4.2M-39.7M-632.3K1.374.895,3617,331288,511134,405
2011-12-13$13.77$15.0040.9%12.0%52.9%16.9%42.1%2.5%1.6%3.3M-7.4M-600.9K0.265.884,4951,147288,244137,863
2011-12-14$13.49$15.0044.9%12.0%52.6%21.8%42.5%2.5%3.2%2.0M15.2M-553.2K0.155.324,260651287,765137,848
2011-12-15$13.32$15.0041.0%11.8%52.1%17.1%41.5%2.8%3.1%519.8K26.5M-526.2K0.334.836,4742,132289,114137,874
2011-12-16$13.52$15.0038.8%11.1%47.4%14.4%40.2%1.5%2.5%1.3M19.3M-534.5K1.104.664,2344,642291,789138,287
2011-12-19$13.22$15.0040.0%11.5%41.6%15.8%37.6%3.6%1.3%221.5K28.5M-484.1K0.215.305,7431,194232,689123,536
2011-12-20$13.90$15.0035.7%10.2%45.6%10.7%36.2%2.6%2.9%974.0K-4.5M-538.7K0.457.029,3454,231235,246123,576
2011-12-21$13.79$15.0035.8%10.3%44.7%10.8%36.8%1.3%2.4%984.4K-314.7K-527.6K2.248.201,3102,931239,597123,584
2011-12-22$14.31$15.0036.1%10.3%43.4%11.1%36.4%1.2%2.7%1.8M-31.6M-564.6K0.409.555,4862,176239,471123,018
2011-12-23$14.14$14.0035.2%10.1%43.0%10.1%36.7%1.4%2.7%1.5M-18.5M-535.9K1.298.492,0942,705240,328122,441
2011-12-27$13.91$14.0036.1%10.4%43.2%11.1%38.0%3.1%2.1%1.1M-3.6M-501.5K0.548.446,7013,602239,927122,486
2011-12-28$13.73$14.0037.7%10.8%43.2%13.1%39.3%1.5%1.4%856.7K6.6M-500.0K0.195.391,872358243,741124,758
2011-12-29$13.75$14.0037.3%10.7%35.6%12.5%40.0%1.9%1.6%892.1K4.5M-490.7K0.634.942,3011,441244,237122,760
2011-12-30$13.85$14.0030.8%10.7%35.2%4.8%38.0%1.7%2.2%1.3M-2.0M-490.8K0.416.866,7122,773245,701122,721