MRVL Options History — May 2012

In May 2012, MRVL traded between $12.53 and $14.99. ATM implied volatility averaged 41.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 12.5% (HV 20d: 28.8%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-05-16: Highest Volume — 44,065 contracts
  • 2012-05-09: Largest IV spike — 57.9% change
  • 2012-05-09: Highest IV Rank — 43.4%
  • 2012-05-17: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.51$12.53$14.99$14.99$12.53
Max Pain$13.77$13.00$15.00$15.00$13.00
ATM IV41.3%31.6%62.8%31.6%38.0%
Expected Move12.2%10.2%15.0%13.0%10.7%
HV 20d28.8%25.7%33.7%26.3%30.8%
HV 60d25.1%23.7%26.4%24.1%26.4%
IV Rank17.4%5.7%43.4%5.7%13.0%
IV Percentile55.3%15.5%96.0%15.5%44.0%
Term Structure-2.7%-9.3%2.0%-8.1%1.0%
VWIV43.1%36.3%53.1%45.2%39.7%
Skew 25d3.9%2.1%5.6%2.9%2.2%
Skew 10d7.8%2.5%12.9%5.2%5.1%
Call IV 25d41.9%34.9%50.8%44.4%38.8%
Put IV 25d45.8%38.9%55.6%47.4%41.0%
Bid-Ask Spread %9.083.8226.375.226.28
Gamma HHI0.170.120.280.280.13
Net GEX1.3M612.7K3.9M3.9M710.1K
Net DEX-5.0M-50.9M37.8M-50.9M1.8M
Net VEX-464.6K-574.4K-381.6K-574.4K-381.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.042.490.391.22
Total Volume14,495.2731,77244,0653,27610,780
Total OI242,139.045178,991314,527264,570186,005

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$14.99$15.0031.6%13.0%26.3%5.7%45.2%2.9%-8.1%3.9M-50.9M-574.4K0.395.222,357919187,63876,932
2012-05-02$14.82$15.0032.2%13.5%26.1%6.4%48.2%2.1%-9.2%3.1M-38.6M-551.4K0.634.405,4753,443182,86376,672
2012-05-03$14.28$15.0033.7%14.1%28.0%8.2%49.1%2.3%-9.3%1.6M-12.8M-515.8K0.496.5711,9775,881183,65079,779
2012-05-04$14.02$14.0034.1%11.7%28.4%8.8%41.0%3.5%-1.8%1.3M-5.0M-494.1K0.233.8212,5982,898186,06980,149
2012-05-07$13.97$14.0039.7%12.0%28.2%15.5%41.8%4.0%-2.8%1.3M-3.6M-488.3K0.664.972,8411,884184,39180,767
2012-05-08$13.90$14.0039.8%12.1%28.0%15.6%42.7%3.6%-3.1%1.1M588.1K-484.5K0.264.306,2901,652185,17681,925
2012-05-09$13.66$14.0062.8%12.6%26.8%43.4%44.9%4.1%-3.7%880.6K9.8M-463.8K0.395.4615,3906,039185,33481,919
2012-05-10$13.56$14.0042.8%12.3%25.7%19.3%44.8%4.3%-2.8%867.0K12.9M-454.2K0.354.889,5763,353190,12284,416
2012-05-11$13.81$14.0044.2%12.7%27.0%20.9%43.7%4.6%-3.4%938.9K4.7M-488.6K0.045.3833,9991,281189,56287,835
2012-05-14$13.53$14.0046.7%13.4%27.1%23.9%48.1%4.3%-4.9%1.3M242.9K-470.4K0.426.103,8941,636192,93680,952
2012-05-15$13.38$14.0050.1%14.4%26.4%28.0%49.8%3.9%-5.5%1.1M5.3M-456.8K0.126.167,936927192,21981,367
2012-05-16$13.56$14.0049.6%14.2%26.5%27.4%49.6%5.6%-6.3%1.2M-87.0K-472.2K0.229.3236,2557,810192,29681,760
2012-05-17$13.30$14.0052.5%15.0%26.9%30.9%53.1%4.8%-6.7%1.8M-4.1M-477.1K0.5026.3722,00411,087218,07985,209
2012-05-18$12.76$14.0042.4%12.2%29.3%18.8%42.1%4.9%2.0%612.7K37.8M-413.7K0.4718.5225,84212,065223,78390,744
2012-05-21$13.25$13.0038.4%11.0%33.7%13.9%38.7%5.3%0.2%1.2M-14.7M-444.8K0.408.278,4733,369129,75049,241
2012-05-22$12.99$13.0037.8%10.8%33.3%13.2%37.8%4.3%0.6%1.0M-9.5M-438.9K0.3522.184,3071,493133,89451,222
2012-05-23$13.10$13.0037.9%10.9%32.7%13.3%37.7%3.8%1.1%1.0M-12.9M-444.2K0.2210.681,458314134,27352,000
2012-05-24$12.86$13.0038.4%11.0%30.6%13.9%37.8%5.1%0.5%868.9K-6.9M-425.2K0.379.474,0291,489135,19952,150
2012-05-25$13.07$13.0033.4%10.2%30.7%7.9%36.3%4.1%2.0%1.0M-13.6M-443.4K0.3914.493,8861,516137,96453,439
2012-05-29$13.05$13.0038.8%10.5%30.3%14.4%37.2%4.2%0.5%1.1M-9.0M-431.0K2.498.121,6224,040130,90752,055
2012-05-30$12.78$13.0043.9%10.7%30.6%20.4%39.5%2.4%0.4%652.0K-1.6M-406.2K1.048.717,2677,544130,66453,752
2012-05-31$12.53$13.0038.0%10.7%30.8%13.0%39.7%2.2%1.0%710.1K1.8M-381.6K1.226.284,8615,919133,81452,191