MRVL Options History — August 2012

In August 2012, MRVL traded between $10.16 and $12.28. ATM implied volatility averaged 50.7%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.3% (HV 20d: 48.4%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-08-17: Highest Volume — 72,652 contracts
  • 2012-08-16: Largest IV drop — 59.4% change
  • 2012-08-13: Highest IV Rank — 100.0%
  • 2012-08-02: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$10.16$12.28$11.14$10.16
Max Pain$11.17$11.00$12.00$12.00$11.00
ATM IV50.7%30.4%115.7%53.1%30.4%
Expected Move11.9%9.2%18.3%16.6%9.3%
HV 20d48.4%31.9%65.8%32.3%62.4%
HV 60d40.7%34.7%46.8%34.7%45.0%
IV Rank30.0%3.7%100.0%31.3%3.7%
IV Percentile56.0%8.7%100.0%91.7%8.7%
Term Structure-2.5%-17.9%3.3%-14.7%2.1%
VWIV42.1%33.1%63.9%58.0%34.2%
Skew 25d1.3%-0.2%3.2%1.0%1.0%
Skew 10d2.1%-3.3%7.5%0.6%-1.2%
Call IV 25d42.2%33.3%64.6%58.9%33.5%
Put IV 25d43.5%34.4%65.5%59.9%34.5%
Bid-Ask Spread %14.486.3727.246.3727.24
Gamma HHI0.160.140.170.170.16
Net GEX1.4M354.0K3.0M1.6M354.0K
Net DEX-8.5M-61.5M43.4M-6.2M18.2M
Net VEX-362.0K-434.0K-284.8K-344.6K-335.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.121.290.700.26
Total Volume17,968.2613,48672,65214,04112,270
Total OI289,253.652266,620359,959266,620289,293

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$11.14$12.0053.1%16.6%32.3%31.3%58.0%1.0%-14.7%1.6M-6.2M-344.6K0.706.378,2765,765197,80568,815
2012-08-02$11.11$12.0041.2%18.3%32.2%16.9%63.9%0.7%-17.4%1.6M-7.9M-346.3K0.867.028,6587,459201,48173,277
2012-08-03$11.35$12.0040.0%18.2%31.9%15.5%63.3%1.6%-17.9%1.6M-14.8M-367.4K0.126.588,072992205,70178,640
2012-08-06$11.12$11.0044.3%13.0%32.9%20.7%46.4%2.1%-3.4%1.5M-6.0M-342.6K0.5610.203,5501,991202,22977,561
2012-08-07$11.68$11.0048.2%12.8%36.2%25.5%45.6%2.7%-3.6%1.9M-27.5M-383.8K0.258.878,7732,154203,05077,867
2012-08-08$11.80$11.0067.9%12.6%35.7%49.3%44.9%3.2%-2.8%2.0M-29.7M-386.6K0.668.908,8695,815202,59278,993
2012-08-09$11.94$11.0069.5%12.7%35.4%51.3%44.5%3.0%-3.3%2.2M-35.7M-397.9K0.139.078,2551,037207,96683,482
2012-08-10$12.11$11.0072.8%12.3%35.5%79.3%43.5%1.6%-1.9%2.3M-44.3M-404.9K0.1910.9510,9552,032211,60483,900
2012-08-13$11.99$11.0097.7%13.0%35.2%100.0%45.7%0.5%-4.7%2.4M-40.9M-396.3K0.2210.5817,2473,807213,70883,012
2012-08-14$11.78$11.00101.5%12.6%36.2%100.0%45.0%1.7%-1.8%2.4M-37.9M-402.8K0.968.1027,49126,346222,46984,212
2012-08-15$11.94$11.00115.7%13.1%34.8%100.0%45.8%1.7%-3.9%2.5M-40.2M-407.3K0.819.4315,20712,340230,14994,516
2012-08-16$12.28$11.0047.0%13.5%35.1%22.3%47.4%1.6%-2.8%3.0M-61.5M-434.0K0.3111.2254,29216,671234,95993,997
2012-08-17$10.54$12.0035.0%10.0%65.6%8.8%35.8%1.6%3.3%646.1K43.4M-284.8K1.028.7335,98836,664256,091103,868
2012-08-20$10.44$11.0034.4%9.9%65.5%8.2%34.4%0.1%0.9%610.0K11.0M-342.5K0.3916.886,7562,602185,40481,944
2012-08-21$10.62$11.0032.9%9.4%65.8%6.5%34.1%0.5%1.4%804.2K5.8M-353.4K0.4720.427,1843,371189,34482,788
2012-08-22$10.58$11.0032.2%9.2%65.2%5.7%33.5%1.3%2.0%813.1K6.5M-357.9K0.5623.523,5021,949190,44784,267
2012-08-23$10.42$11.0034.0%9.7%62.9%7.7%33.7%0.5%1.6%646.3K10.4M-351.8K0.1323.986,780850190,28585,859
2012-08-24$10.45$11.0033.4%9.6%62.4%7.0%33.1%1.1%2.2%702.1K11.1M-338.9K0.3619.853,8791,395195,03486,192
2012-08-27$10.35$11.0033.8%9.7%62.0%7.4%34.0%1.4%1.6%601.7K12.8M-339.2K0.2023.106,2861,233190,99784,769
2012-08-28$10.29$11.0033.5%9.6%62.0%7.1%33.6%1.4%1.6%543.6K13.6M-331.8K0.4927.162,3361,150194,11585,740
2012-08-29$10.48$11.0034.4%9.9%62.4%8.2%34.0%0.7%0.5%701.9K8.3M-346.5K0.489.502,6291,272194,93486,391
2012-08-30$10.18$11.0033.5%9.6%63.1%7.1%34.6%-0.2%2.8%460.8K17.0M-328.4K1.2925.503,9765,144195,76787,320
2012-08-31$10.16$11.0030.4%9.3%62.4%3.7%34.2%1.0%2.1%354.0K18.2M-335.5K0.2627.249,7092,561198,05491,239