MRVL Options History — March 2012

In March 2012, MRVL traded between $14.62 and $15.87. ATM implied volatility averaged 29.9%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.3% (HV 20d: 24.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2012-03-12: Highest Volume — 49,372 contracts
  • 2012-03-07: Largest IV drop — 17.8% change
  • 2012-03-06: Highest IV Rank — 12.8%
  • 2012-03-06: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.38$14.62$15.87$15.10$15.73
Max Pain$15.09$15.00$16.00$16.00$15.00
ATM IV29.9%28.2%37.5%31.4%28.3%
Expected Move8.6%8.1%9.5%8.6%8.1%
HV 20d24.6%19.6%29.2%29.2%19.6%
HV 60d33.0%31.0%35.3%35.3%31.0%
IV Rank3.6%1.6%12.8%5.5%1.8%
IV Percentile6.5%1.6%38.5%7.1%2.8%
Term Structure2.4%1.6%3.2%2.4%2.6%
VWIV30.4%28.2%33.4%30.0%29.2%
Skew 25d1.3%0.1%2.8%1.1%1.6%
Skew 10d2.3%-2.1%7.0%0.2%1.9%
Call IV 25d30.1%27.9%32.9%30.6%28.6%
Put IV 25d31.4%29.2%35.7%31.7%30.2%
Bid-Ask Spread %9.324.9916.1811.995.97
Gamma HHI0.160.130.200.150.17
Net GEX2.4M1.1M3.4M1.6M3.2M
Net DEX-47.1M-71.2M-9.9M-26.6M-65.5M
Net VEX-591.8K-631.7K-523.0K-561.8K-609.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.041.260.300.10
Total Volume10,723.6822,65649,3724,4246,886
Total OI231,698.136213,460259,671222,181234,257

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$15.10$16.0031.4%8.6%29.2%5.5%30.0%1.1%2.4%1.6M-26.6M-561.8K0.3011.993,4071,017150,99471,187
2012-03-02$15.07$16.0029.0%8.6%25.6%2.6%30.6%0.6%2.2%1.6M-26.5M-558.1K0.457.582,4771,110151,14471,411
2012-03-05$14.79$15.0033.1%9.1%25.7%7.5%32.9%2.5%2.2%1.2M-15.0M-523.0K1.2610.406,5418,260148,30970,542
2012-03-06$14.62$15.0037.5%9.5%25.3%12.8%33.4%2.8%1.6%1.1M-9.9M-530.3K0.736.137,3315,381151,82974,664
2012-03-07$14.81$15.0030.8%9.4%26.2%4.7%32.6%2.3%1.9%1.2M-16.7M-558.8K0.108.238,186855155,69477,179
2012-03-08$14.96$15.0028.9%9.0%26.2%2.4%31.3%2.3%2.3%1.6M-26.6M-578.8K0.317.035,4211,704160,41174,877
2012-03-09$14.87$15.0029.1%8.9%26.2%2.7%31.6%1.8%2.8%1.4M-20.1M-561.2K0.119.297,436788161,51376,281
2012-03-12$15.04$15.0031.2%9.2%25.8%5.3%32.8%0.7%2.1%2.0M-32.3M-577.8K0.066.7146,5262,846164,64176,101
2012-03-13$15.48$15.0031.3%8.8%28.2%5.3%31.7%0.8%2.2%3.3M-60.9M-629.1K0.4012.6115,8906,403183,16976,502
2012-03-14$15.37$15.0030.2%8.9%28.2%4.0%31.2%0.7%2.2%2.3M-47.5M-603.2K0.729.555,4363,896169,88579,599
2012-03-15$15.63$15.0030.1%8.6%28.7%3.9%30.6%0.1%2.4%3.4M-60.0M-618.9K0.0912.2410,884956172,28578,245
2012-03-16$15.38$15.0028.8%8.3%25.5%2.3%29.0%0.4%3.0%2.0M-47.8M-592.1K0.2513.995,9861,500169,83078,425
2012-03-19$15.44$15.0028.4%8.2%24.7%1.9%28.2%1.3%3.2%2.2M-53.1M-585.7K0.7416.184,4763,303146,28267,178
2012-03-20$15.76$15.0028.2%8.1%24.9%1.6%29.3%1.7%3.1%2.8M-66.5M-604.9K0.1512.2014,3602,143149,20569,364
2012-03-21$15.74$15.0028.5%8.2%24.9%2.0%29.0%1.3%2.6%2.8M-63.2M-611.5K0.435.942,9221,260150,36968,712
2012-03-22$15.78$15.0028.7%8.2%24.9%2.3%29.3%1.3%2.7%3.0M-66.0M-613.7K0.255.537,1561,765151,34068,777
2012-03-23$15.84$15.0028.7%8.2%20.6%2.2%29.0%1.1%2.5%3.0M-68.7M-618.2K0.426.436,4042,717154,27568,968
2012-03-26$15.87$15.0028.2%8.1%20.3%1.6%28.5%1.9%2.5%3.2M-71.2M-631.7K0.1714.122,999516158,70870,878
2012-03-27$15.75$15.0028.3%8.1%20.5%1.8%28.9%0.8%2.5%3.1M-65.6M-616.8K0.204.993,234643158,09871,055
2012-03-28$15.62$15.0029.2%8.4%19.6%2.8%29.5%0.7%2.3%2.9M-59.7M-607.6K0.0411.8211,756488159,88371,361
2012-03-29$15.74$15.0029.2%8.4%19.6%2.8%29.4%0.7%2.5%3.4M-67.7M-628.3K0.396.051,907749162,53671,396
2012-03-30$15.73$15.0028.3%8.1%19.6%1.8%29.2%1.6%2.6%3.2M-65.5M-609.2K0.105.976,281605162,66871,589