MRVL Options History — July 2012

In July 2012, MRVL traded between $10.38 and $11.62. ATM implied volatility averaged 39.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.6% (HV 20d: 33.3%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2012-07-26: Highest Volume — 30,468 contracts
  • 2012-07-12: Largest IV spike — 36.9% change
  • 2012-07-26: Highest IV Rank — 23.2%
  • 2012-07-31: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.89$10.38$11.62$11.17$11.26
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV39.8%29.5%46.3%29.5%45.7%
Expected Move12.2%8.6%15.1%9.0%15.1%
HV 20d33.3%28.5%39.9%39.9%32.1%
HV 60d33.4%32.4%35.2%33.4%34.7%
IV Rank15.3%2.8%23.2%2.8%22.4%
IV Percentile52.2%6.7%81.7%6.7%78.2%
Term Structure-2.6%-9.4%10.4%8.9%-9.4%
VWIV43.4%30.7%54.6%31.0%54.6%
Skew 25d1.4%-1.3%3.1%3.0%2.1%
Skew 10d1.9%-1.6%5.1%1.2%1.1%
Call IV 25d43.7%30.8%53.9%31.0%53.9%
Put IV 25d45.1%32.3%56.0%34.0%56.0%
Bid-Ask Spread %6.794.1816.297.304.18
Gamma HHI0.180.130.230.130.23
Net GEX1.1M603.0K1.9M638.9K1.8M
Net DEX10.4M-20.8M22.9M13.8M-5.1M
Net VEX-267.3K-355.4K-227.0K-250.2K-304.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.030.870.290.87
Total Volume10,569.0951,65730,4682,77512,520
Total OI236,376.714206,392257,517206,392252,985

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$11.17$12.0029.5%9.0%39.9%2.8%31.0%3.0%8.9%638.9K13.8M-250.2K0.297.302,151624156,62549,767
2012-07-03$11.12$12.0031.4%8.8%38.6%5.1%30.9%3.1%9.8%603.0K14.7M-244.7K0.086.416,401524157,00449,828
2012-07-05$11.04$12.0030.6%8.6%36.4%4.1%30.7%-1.3%10.4%621.8K14.8M-243.9K0.666.938,0945,369162,48750,122
2012-07-06$10.80$12.0030.0%11.9%35.3%3.3%42.7%0.4%-1.2%723.0K16.9M-256.6K0.4416.2911,2234,972169,17154,462
2012-07-09$10.84$12.0033.5%12.0%35.3%7.6%43.1%0.9%-1.9%886.4K14.4M-281.4K0.576.973,5352,013178,61158,047
2012-07-10$10.65$12.0035.9%12.2%34.4%10.5%44.2%1.1%-1.8%790.8K18.0M-281.8K0.076.379,921714180,49459,313
2012-07-11$10.52$12.0032.7%12.4%33.8%6.7%45.2%1.4%-2.5%824.4K19.7M-268.0K0.625.684,2942,678185,68659,794
2012-07-12$10.44$12.0044.8%12.8%33.2%21.3%45.9%1.4%-3.2%774.5K22.7M-258.5K0.364.621,919695188,83861,954
2012-07-13$10.53$12.0041.9%12.0%33.5%17.8%42.8%1.5%-2.5%808.9K20.5M-260.3K0.276.896,9261,896189,78260,709
2012-07-16$10.38$12.0044.9%12.9%33.6%21.4%45.4%1.5%-4.6%800.5K21.2M-253.0K0.437.521,162495187,60458,529
2012-07-17$10.51$12.0041.1%11.8%29.8%16.8%41.9%2.6%-4.1%767.8K22.9M-228.4K0.036.2621,304708187,42658,733
2012-07-18$10.87$12.0043.3%12.4%32.7%19.5%43.5%0.9%-5.7%1.1M15.0M-251.4K0.326.3313,7824,395185,01658,517
2012-07-19$11.14$12.0042.6%12.2%34.3%18.7%42.7%1.8%-5.4%1.3M5.7M-260.2K0.145.286,295888184,45558,854
2012-07-20$10.86$12.0042.9%12.3%30.4%19.0%44.1%1.3%-5.5%1.0M18.0M-245.3K0.765.452,5391,937182,47358,902
2012-07-23$10.70$12.0044.9%12.9%30.7%21.5%45.9%0.7%-4.6%966.7K11.7M-227.0K0.1110.149,2461,006167,31049,694
2012-07-24$10.65$12.0046.1%13.2%28.5%22.9%46.4%0.7%-6.0%1.2M10.9M-239.8K0.304.867,2792,194171,90350,454
2012-07-25$10.89$12.0046.3%13.3%29.8%23.1%48.1%-0.2%-5.5%1.5M4.1M-262.8K0.515.636,8843,532176,72851,815
2012-07-26$11.40$12.0046.3%13.3%32.7%23.2%46.5%0.8%-4.7%1.8M-11.4M-306.4K0.626.0418,85311,615181,80354,447
2012-07-27$11.62$12.0038.3%13.1%31.7%13.5%46.6%2.5%-6.8%1.9M-20.8M-355.4K0.167.3111,5411,797192,71064,807
2012-07-30$11.33$12.0044.0%14.4%32.3%20.4%49.3%2.5%-8.8%1.7M-9.2M-333.7K0.086.117,432598191,14264,910
2012-07-31$11.26$12.0045.7%15.1%32.1%22.4%54.6%2.1%-9.4%1.8M-5.1M-304.7K0.874.186,6885,832187,99064,995