MRVL Options History — September 2012

In September 2012, MRVL traded between $9.15 and $10.48. ATM implied volatility averaged 34.0%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 7.7% (HV 20d: 41.6%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2012-09-26: Highest Volume — 38,889 contracts
2012-09-11: Largest IV spike — 13.8% change
2012-09-11: Highest IV Rank — 12.9%
2012-09-26: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.96	$9.15	$10.48	$10.09	$9.15
Max Pain	$10.47	$10.00	$11.00	$11.00	$10.00
ATM IV	34.0%	30.6%	38.6%	35.2%	35.2%
Expected Move	9.7%	9.0%	10.2%	9.8%	10.1%
HV 20d	41.6%	23.6%	62.1%	62.1%	26.1%
HV 60d	43.7%	42.6%	45.0%	44.9%	43.0%
IV Rank	7.6%	3.8%	12.9%	9.0%	9.0%
IV Percentile	27.9%	9.1%	52.8%	34.5%	40.5%
Term Structure	5.0%	1.2%	7.2%	1.2%	7.2%
VWIV	34.2%	31.6%	38.6%	35.6%	38.6%
Skew 25d	0.3%	-2.3%	2.1%	0.0%	-2.3%
Skew 10d	-1.8%	-12.5%	7.0%	-0.7%	-6.5%
Call IV 25d	35.2%	33.3%	39.3%	36.5%	39.3%
Put IV 25d	35.5%	32.6%	38.2%	36.5%	37.0%
Bid-Ask Spread %	10.55	5.04	28.43	28.43	20.58
Gamma HHI	0.18	0.16	0.23	0.16	0.19
Net GEX	452.7K	100.0K	876.6K	311.8K	268.5K
Net DEX	17.6M	4.7M	34.1M	20.7M	29.7M
Net VEX	-343.5K	-396.9K	-278.9K	-330.8K	-290.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.05	1.11	0.63	0.50
Total Volume	10,566.158	2,421	38,889	5,444	10,671
Total OI	321,318.947	295,245	348,615	295,245	324,738

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$10.09	$11.00	35.2%	9.8%	62.1%	9.0%	35.6%	0.0%	1.2%	311.8K	20.7M	-330.8K	0.63	28.43	3,349	2,095	202,404	92,841
2012-09-05	$10.24	$11.00	37.1%	9.9%	59.3%	11.2%	34.8%	1.8%	1.5%	402.0K	15.9M	-343.4K	0.76	7.94	1,375	1,046	203,250	93,798
2012-09-06	$10.43	$11.00	33.0%	9.4%	59.7%	6.5%	33.3%	0.7%	1.8%	541.0K	10.0M	-352.4K	0.92	9.74	2,922	2,685	203,609	94,002
2012-09-07	$10.48	$11.00	30.6%	9.7%	59.5%	3.8%	33.3%	2.1%	4.3%	522.6K	9.5M	-354.1K	0.17	13.01	3,094	516	203,884	95,558
2012-09-10	$10.21	$11.00	34.0%	9.7%	59.3%	7.6%	33.3%	1.8%	4.7%	239.2K	19.3M	-328.1K	0.08	9.35	14,411	1,106	205,130	95,148
2012-09-11	$10.35	$11.00	38.6%	9.8%	59.8%	12.9%	34.1%	1.3%	4.4%	641.6K	9.2M	-359.8K	0.05	6.94	16,421	890	216,092	95,722
2012-09-12	$10.25	$11.00	33.3%	9.8%	59.7%	6.9%	34.6%	0.6%	4.4%	772.4K	9.1M	-377.5K	0.14	6.62	10,896	1,579	230,949	96,159
2012-09-13	$10.20	$11.00	33.5%	9.6%	59.2%	7.1%	33.7%	0.3%	4.3%	753.3K	10.3M	-370.1K	1.11	7.27	4,292	4,782	238,322	96,605
2012-09-14	$10.34	$10.00	34.3%	9.8%	58.3%	8.0%	34.3%	1.3%	3.9%	876.6K	4.7M	-396.9K	0.60	7.27	4,781	2,883	240,612	99,359
2012-09-17	$10.10	$11.00	33.9%	9.7%	23.6%	7.5%	34.2%	0.4%	4.4%	520.5K	15.6M	-366.6K	0.60	6.65	3,301	1,966	239,855	99,899
2012-09-18	$10.25	$10.00	32.9%	9.4%	24.2%	6.4%	33.1%	-0.6%	5.4%	733.2K	7.1M	-388.8K	0.44	20.73	4,356	1,897	242,337	100,402
2012-09-19	$10.09	$10.00	32.3%	9.3%	23.7%	5.8%	32.7%	-0.7%	6.5%	443.4K	13.4M	-368.7K	0.47	6.50	3,809	1,801	243,461	101,012
2012-09-20	$10.01	$10.00	32.1%	9.2%	23.8%	5.5%	32.2%	-0.7%	6.4%	226.9K	17.1M	-364.9K	0.41	7.35	5,450	2,240	246,716	101,338
2012-09-21	$9.82	$10.00	31.4%	9.0%	24.1%	4.7%	31.6%	-1.6%	6.9%	440.3K	23.9M	-345.6K	1.00	6.88	8,748	8,777	248,181	100,434
2012-09-24	$9.49	$10.00	33.3%	9.6%	26.4%	6.9%	32.9%	-1.7%	7.1%	266.7K	26.8M	-304.3K	0.74	5.68	7,862	5,822	209,527	95,502
2012-09-25	$9.24	$10.00	33.8%	9.7%	27.5%	7.4%	34.4%	0.6%	6.7%	100.0K	34.1M	-278.9K	0.39	5.97	5,235	2,030	213,900	96,990
2012-09-26	$9.21	$10.00	35.7%	10.2%	27.5%	9.6%	36.8%	1.5%	6.9%	191.4K	32.7M	-289.0K	0.90	5.04	20,479	18,410	217,130	98,518
2012-09-27	$9.33	$10.00	34.9%	10.0%	26.9%	8.7%	37.2%	0.0%	7.1%	349.4K	24.7M	-316.1K	0.18	18.46	7,424	1,356	223,669	98,007
2012-09-28	$9.15	$10.00	35.2%	10.1%	26.1%	9.0%	38.6%	-2.3%	7.2%	268.5K	29.7M	-290.6K	0.50	20.58	7,132	3,539	225,843	98,895