MRVL Options History — October 2012

In October 2012, MRVL traded between $7.46 and $9.37. ATM implied volatility averaged 41.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 5.4% (HV 20d: 36.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2012-10-19: Highest Volume — 69,236 contracts
  • 2012-10-26: Largest IV drop — 27.2% change
  • 2012-10-22: Highest IV Rank — 26.3%
  • 2012-10-22: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.57$7.46$9.37$9.19$7.89
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.9%33.1%50.5%40.6%41.9%
Expected Move12.5%9.7%14.5%10.3%14.0%
HV 20d36.6%23.5%59.9%26.3%59.9%
HV 60d45.5%41.9%51.4%42.9%51.3%
IV Rank16.6%6.7%26.3%15.2%16.6%
IV Percentile68.5%23.0%94.0%66.7%72.6%
Term Structure-0.8%-5.1%8.6%6.9%-4.5%
VWIV44.7%35.4%50.3%39.1%49.9%
Skew 25d0.2%-2.0%3.0%-0.4%0.4%
Skew 10d-1.2%-11.9%6.4%-4.5%-4.9%
Call IV 25d45.8%35.5%52.6%39.1%51.9%
Put IV 25d46.0%36.1%52.3%38.7%52.3%
Bid-Ask Spread %13.684.0523.0521.8816.54
Gamma HHI0.200.140.240.200.21
Net GEX181.1K-173.5K521.8K306.6K45.8K
Net DEX37.4M25.8M54.3M30.3M42.7M
Net VEX-264.2K-319.8K-193.5K-292.5K-216.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.071.840.080.45
Total Volume12,432.8571,29069,2366,3496,259
Total OI355,742.571325,984382,830325,984368,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$9.19$10.0040.6%10.3%26.3%15.2%39.1%-0.4%6.9%306.6K30.3M-292.5K0.0821.885,869480225,416100,568
2012-10-02$9.27$10.0035.1%10.0%26.7%8.9%35.6%-0.8%8.0%448.7K28.1M-307.1K0.9423.052,6802,510228,589100,720
2012-10-03$9.19$10.0039.7%9.7%25.8%14.1%35.9%-0.6%8.6%364.8K30.0M-301.5K0.1620.043,740610229,313102,345
2012-10-04$9.37$10.0034.1%9.9%25.9%7.7%35.4%0.6%7.4%521.8K25.8M-312.0K0.4019.993,4561,396230,544102,562
2012-10-05$9.25$10.0033.1%12.2%25.7%6.7%42.6%1.1%-0.8%328.9K28.7M-307.9K0.2613.932,746710231,617103,678
2012-10-08$9.20$10.0039.3%12.5%24.6%13.7%43.5%-0.0%-2.0%305.3K29.8M-301.3K1.0915.01616674230,028103,561
2012-10-09$9.00$10.0038.3%12.6%24.3%12.5%44.8%1.1%-2.0%133.1K36.5M-274.3K0.2011.596,6801,314230,486103,821
2012-10-10$8.82$10.0035.4%12.8%24.7%9.3%45.9%-0.5%-1.2%95.9K39.5M-259.8K0.3411.688,2632,837234,576104,540
2012-10-11$8.88$10.0044.3%12.7%25.2%19.4%46.5%-1.0%-1.6%178.4K35.8M-286.5K0.4810.846,5213,158241,191104,832
2012-10-12$8.75$10.0043.6%12.5%24.1%18.5%45.0%0.6%-1.5%151.5K40.7M-260.2K0.9012.279,1618,203245,089106,137
2012-10-15$8.71$10.0044.5%12.8%23.5%19.6%47.0%-0.3%-2.7%86.7K41.6M-261.3K0.6311.242,0741,313251,705111,837
2012-10-16$8.97$10.0042.8%12.3%25.8%17.7%44.0%3.0%-2.1%239.3K35.4M-284.4K0.0712.9724,3331,745253,171112,627
2012-10-17$9.00$10.0043.3%12.4%25.8%18.2%43.9%1.7%-2.5%500.1K26.0M-319.8K0.548.591,806978265,891111,867
2012-10-18$8.83$10.0044.1%12.6%26.2%19.1%45.6%1.3%-2.7%405.6K31.6M-305.6K0.5312.938,3144,435263,505111,621
2012-10-19$7.57$10.0048.7%14.0%58.6%24.3%50.1%-2.0%-5.1%-28.6K54.3M-197.3K1.1011.9332,92936,307268,410114,420
2012-10-22$7.46$10.0050.5%14.5%58.1%26.3%50.3%0.0%-4.3%-103.0K53.4M-193.5K0.9010.835,9255,309257,750115,646
2012-10-23$7.62$10.0047.5%13.6%59.0%23.0%47.9%0.3%-3.3%-173.5K48.3M-215.8K1.8412.019,72117,909261,197117,462
2012-10-24$7.58$10.0049.1%14.1%59.0%24.7%50.3%-0.5%-4.7%60143.4M-219.0K0.3012.5614,7424,464263,675111,461
2012-10-25$7.74$10.0048.8%14.0%59.4%24.4%49.5%-0.8%-4.4%14.9K41.1M-220.7K0.794.052,8942,299264,805112,028
2012-10-26$7.76$10.0035.5%13.3%59.4%9.4%46.6%0.4%-2.5%-20.4K43.0M-210.6K0.4513.343,9391,771259,638113,507
2012-10-31$7.89$10.0041.9%14.0%59.9%16.6%49.9%0.4%-4.5%45.8K42.7M-216.8K0.4516.544,3101,949257,022111,736