MRVL Options History — January 2012

In January 2012, MRVL traded between $13.98 and $16.02. ATM implied volatility averaged 38.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.1% (HV 20d: 40.7%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2012-01-05: Highest Volume — 48,257 contracts
  • 2012-01-11: Largest IV drop — 32.9% change
  • 2012-01-09: Highest IV Rank — 26.8%
  • 2012-01-05: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.35$13.98$16.02$13.98$15.54
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV38.6%32.8%49.1%39.8%39.0%
Expected Move10.4%9.7%11.5%11.0%10.1%
HV 20d40.7%35.2%44.5%35.2%40.0%
HV 60d45.0%43.2%46.9%44.2%43.3%
IV Rank14.1%7.2%26.8%15.7%14.7%
IV Percentile45.5%17.9%87.7%54.8%48.8%
Term Structure4.0%0.9%7.0%2.0%4.9%
VWIV37.0%34.1%40.8%40.8%36.1%
Skew 25d2.3%-1.3%4.6%1.5%0.5%
Skew 10d4.8%-0.1%10.0%2.4%-0.1%
Call IV 25d36.4%32.7%40.7%40.7%36.0%
Put IV 25d38.6%34.9%42.5%42.1%36.5%
Bid-Ask Spread %10.522.4115.728.5015.72
Gamma HHI0.250.200.360.200.20
Net GEX3.5M1.5M5.2M1.5M2.4M
Net DEX-82.8M-140.3M-13.8M-13.8M-58.7M
Net VEX-500.1K-541.9K-455.3K-491.9K-510.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.111.371.370.36
Total Volume18,592.954,45548,2577,4334,629
Total OI319,283.8176,422399,934371,359205,984

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$13.98$14.0039.8%11.0%35.2%15.7%40.8%1.5%2.0%1.5M-13.8M-491.9K1.378.503,1354,298249,287122,072
2012-01-04$14.19$14.0038.9%10.6%35.6%14.6%38.1%3.2%2.7%1.9M-25.1M-495.9K0.439.713,1231,332251,459122,206
2012-01-05$15.23$14.0044.8%11.5%42.7%21.6%40.7%3.0%0.9%3.5M-92.9M-539.2K0.4813.5132,65315,604251,723122,535
2012-01-06$15.72$14.0044.2%11.1%42.6%20.9%39.6%3.8%2.4%4.2M-128.0M-541.9K0.196.8033,4106,204255,301120,797
2012-01-09$15.85$14.0049.1%10.6%40.7%26.8%38.4%4.2%3.4%4.8M-140.3M-536.8K0.157.5120,3593,071260,790119,686
2012-01-10$15.62$14.0048.9%9.8%41.3%26.5%35.2%4.6%4.8%5.0M-120.3M-526.0K0.148.8328,2724,089264,481119,516
2012-01-11$15.27$14.0032.8%10.0%42.0%7.2%34.8%4.3%4.5%4.6M-95.6M-535.0K0.229.5518,1243,988276,672119,761
2012-01-12$15.23$14.0034.1%9.8%40.7%8.7%34.1%4.1%5.1%4.2M-90.4M-518.9K0.938.643,7703,494276,448121,013
2012-01-13$14.78$14.0035.9%10.3%41.6%10.8%35.9%4.2%4.4%3.5M-55.8M-504.5K0.428.378,2353,428278,244121,690
2012-01-17$14.46$14.0038.1%10.9%42.3%13.5%37.8%2.6%2.9%2.9M-32.3M-455.3K0.459.7911,0394,996275,147120,135
2012-01-18$15.12$14.0037.0%10.6%44.5%12.2%37.7%2.4%2.9%4.1M-84.3M-480.5K0.188.5214,3822,649275,850121,122
2012-01-19$15.46$14.0036.0%10.3%43.6%11.1%35.2%2.9%3.9%5.2M-106.6M-483.5K0.4512.3815,9937,240272,264121,348
2012-01-20$15.53$14.0033.9%9.7%40.6%8.5%35.7%2.1%4.3%2.8M-110.5M-460.0K0.438.575,1202,204272,421119,432
2012-01-23$15.97$14.0038.5%11.0%41.1%14.0%39.0%-1.3%2.9%2.7M-87.4M-466.3K0.1215.2838,8064,656128,24848,174
2012-01-24$15.75$14.0036.8%10.5%40.1%12.0%37.6%0.9%5.1%3.2M-83.5M-481.3K0.422.416,1762,574138,44650,571
2012-01-25$16.02$14.0035.5%10.2%39.9%10.5%36.2%1.2%6.0%3.6M-95.0M-491.8K0.1115.447,212799140,56551,573
2012-01-26$15.76$14.0035.1%10.1%39.9%9.9%35.3%0.9%7.0%3.4M-82.7M-485.1K0.4014.595,2232,077141,02151,807
2012-01-27$15.79$14.0033.6%9.8%39.2%8.1%34.5%0.2%5.3%3.0M-83.5M-481.8K1.3413.7113,42717,953141,85053,085
2012-01-30$15.74$14.0039.6%10.5%39.4%15.4%36.8%0.1%4.6%2.6M-69.7M-515.9K1.0312.523,9904,125138,24564,707
2012-01-31$15.54$14.0039.0%10.1%40.0%14.7%36.1%0.5%4.9%2.4M-58.7M-510.9K0.3615.723,3931,236138,40367,581