MRVL Options History — June 2012

In June 2012, MRVL traded between $11.03 and $12.67. ATM implied volatility averaged 35.0%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.6% (HV 20d: 37.6%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2012-06-18: Highest Volume — 12,135 contracts
  • 2012-06-06: Largest IV drop — 24.6% change
  • 2012-06-04: Highest IV Rank — 20.6%
  • 2012-06-04: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.76$11.03$12.67$11.97$11.28
Max Pain$12.05$12.00$13.00$13.00$12.00
ATM IV35.0%29.8%44.2%42.2%29.8%
Expected Move10.1%8.6%11.6%11.4%8.6%
HV 20d37.6%32.0%41.5%32.0%39.9%
HV 60d30.1%27.5%33.4%27.6%33.4%
IV Rank9.5%3.1%20.6%18.1%3.1%
IV Percentile29.7%7.9%73.8%66.3%7.9%
Term Structure5.9%0.8%9.6%0.8%9.6%
VWIV35.2%29.0%43.8%40.0%29.0%
Skew 25d3.9%1.0%5.7%4.9%3.5%
Skew 10d7.1%0.7%13.7%5.5%2.2%
Call IV 25d34.5%28.7%39.5%39.5%28.7%
Put IV 25d38.3%32.2%44.8%44.4%32.2%
Bid-Ask Spread %8.734.6927.797.6915.44
Gamma HHI0.140.120.160.130.14
Net GEX813.7K540.9K1.4M737.9K816.1K
Net DEX7.5M-5.8M16.5M8.5M8.9M
Net VEX-298.2K-365.2K-232.4K-330.6K-265.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.031.310.550.82
Total Volume6,497.5243,00512,1356,2776,036
Total OI195,740.714183,876210,312185,016208,027

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$11.97$13.0042.2%11.4%32.0%18.1%40.0%4.9%0.8%737.9K8.5M-330.6K0.557.694,0542,223136,54748,469
2012-06-04$12.02$12.0044.2%11.6%32.1%20.6%43.8%5.6%3.7%688.7K6.6M-323.9K1.3127.792,4373,190137,11446,762
2012-06-05$12.30$12.0044.0%11.3%33.9%20.4%37.7%5.4%4.0%800.8K3.6M-341.4K0.1120.304,319473137,95148,957
2012-06-06$12.67$12.0033.2%10.3%36.3%7.3%35.9%5.7%4.5%1.1M-5.8M-365.2K0.0811.475,642449140,84448,666
2012-06-07$12.23$12.0036.1%10.7%37.6%10.8%36.0%4.9%3.9%843.5K3.9M-333.9K0.435.593,7321,615141,30648,773
2012-06-08$12.28$12.0034.1%10.6%37.8%8.4%36.6%4.6%4.2%772.0K3.8M-330.5K0.057.825,941279141,73849,838
2012-06-11$11.91$12.0038.3%11.0%37.8%13.5%40.9%4.2%4.0%624.5K8.8M-313.3K0.406.225,5952,229146,72349,824
2012-06-12$12.05$12.0034.1%10.5%38.0%8.3%36.6%3.6%5.2%686.7K5.7M-323.4K0.625.832,0101,242150,31551,103
2012-06-13$11.77$12.0033.7%10.8%38.5%7.9%38.0%4.5%4.5%540.9K13.3M-295.4K0.769.133,8612,949151,83752,032
2012-06-14$11.60$12.0037.2%10.7%37.9%12.1%37.6%4.6%4.9%595.1K16.5M-291.0K0.107.197,809780154,48652,860
2012-06-15$11.52$12.0035.0%10.0%37.6%9.5%35.6%5.0%5.7%729.1K15.9M-279.4K0.506.042,7591,372158,29152,021
2012-06-18$12.00$12.0032.1%9.2%39.0%6.0%32.9%2.3%7.3%986.4K1.9K-310.9K0.255.629,6952,440140,71843,988
2012-06-19$12.10$12.0030.8%8.8%36.2%4.3%30.7%2.8%7.6%1.3M-4.1M-323.2K0.054.755,689263145,25045,610
2012-06-20$12.01$12.0030.1%8.6%35.8%3.5%29.8%3.1%7.6%1.4M-2.3M-309.4K0.036.0611,312378147,56045,582
2012-06-21$11.40$12.0033.9%9.7%39.3%8.1%32.1%3.3%7.0%768.0K10.2M-265.6K0.226.446,0951,367147,87045,672
2012-06-22$11.43$12.0032.7%9.4%39.2%6.7%30.9%3.0%7.5%885.2K9.3M-268.9K0.234.692,438567150,80646,242
2012-06-25$11.05$12.0033.4%9.6%39.5%7.4%33.9%3.4%7.8%618.8K16.0M-232.4K0.226.995,0941,138148,87146,209
2012-06-26$11.03$12.0033.0%9.5%39.5%7.0%33.4%3.2%8.2%579.3K16.1M-237.3K0.385.653,5031,315150,27546,605
2012-06-27$11.33$12.0034.0%9.7%41.1%8.2%33.6%1.0%8.1%828.8K8.8M-271.0K0.126.525,972711152,79847,612
2012-06-28$11.03$12.0033.9%9.7%41.5%8.1%34.0%2.5%8.3%719.3K13.8M-251.0K0.136.156,640835156,64047,763
2012-06-29$11.28$12.0029.8%8.6%39.9%3.1%29.0%3.5%9.6%816.1K8.9M-265.3K0.8215.443,3082,728159,64748,380