MRVL Options History — November 2012

In November 2012, MRVL traded between $7.36 and $8.54. ATM implied volatility averaged 47.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 2.2% (HV 20d: 50.1%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-11-16: Highest Volume — 23,341 contracts
  • 2012-11-15: Largest IV drop — 44.0% change
  • 2012-11-14: Highest IV Rank — 74.2%
  • 2012-11-15: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.95$7.36$8.54$8.09$8.47
Max Pain$8.19$8.00$10.00$10.00$8.00
ATM IV47.9%34.4%92.8%36.5%37.2%
Expected Move12.2%10.3%14.9%13.9%11.1%
HV 20d50.1%29.9%62.7%60.8%32.8%
HV 60d45.3%39.9%51.6%51.6%42.5%
IV Rank23.3%8.2%74.2%10.6%11.3%
IV Percentile71.1%38.1%98.8%48.0%52.4%
Term Structure-1.1%-5.9%2.4%-5.5%-0.5%
VWIV43.4%35.7%52.3%49.3%38.7%
Skew 25d1.4%-0.7%3.5%-0.6%2.2%
Skew 10d1.6%-5.9%8.2%-4.3%5.2%
Call IV 25d43.2%36.0%53.1%52.5%37.4%
Put IV 25d44.6%38.2%52.8%52.0%39.6%
Bid-Ask Spread %17.252.5925.0317.6525.03
Gamma HHI0.200.170.220.210.21
Net GEX167.5K-97.8K631.3K179.8K527.9K
Net DEX31.6M4.9M55.2M37.6M6.4M
Net VEX-203.7K-239.9K-162.8K-229.8K-223.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.163.880.690.19
Total Volume6,495.5242,34123,3416,7222,693
Total OI334,080.857265,121395,932369,928284,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$8.09$10.0036.5%13.9%60.8%10.6%49.3%-0.6%-5.5%179.8K37.6M-229.8K0.6917.653,9862,736258,569111,359
2012-11-02$7.98$10.0034.4%14.1%60.9%8.2%51.7%-0.1%-5.8%66.1K41.5M-218.6K0.4113.613,0781,256260,277113,081
2012-11-05$8.14$8.0045.3%12.8%60.9%20.4%45.8%1.0%-0.4%134.6K36.9M-232.6K0.3114.232,671820261,029112,597
2012-11-06$8.16$8.0046.2%12.9%60.9%21.4%45.3%1.0%-0.5%176.2K36.2M-239.9K0.5914.193,2461,909262,553112,997
2012-11-07$7.92$8.0055.8%12.9%61.5%32.3%46.7%0.9%-0.8%95.1K42.0M-223.5K0.8216.361,2831,058263,289113,241
2012-11-08$7.83$8.0056.3%13.0%61.3%32.9%45.9%0.7%-0.5%18.2K45.3M-201.6K1.0312.931,5061,546263,751113,144
2012-11-09$7.77$8.0058.3%12.9%61.1%35.2%51.6%1.6%-0.3%7.6K46.2M-199.6K1.0615.721,6631,756263,920113,889
2012-11-12$7.78$8.0069.7%13.1%61.0%48.0%47.2%1.0%-0.6%23.4K45.7M-198.2K1.2714.651,8272,316263,586113,714
2012-11-13$7.56$8.0080.7%13.3%61.4%60.4%46.9%0.3%-1.5%-40.5K50.6M-181.2K1.1113.222,6952,995264,824114,815
2012-11-14$7.36$8.0092.8%14.0%61.8%74.2%47.5%3.0%-5.4%-66.0K51.8M-171.8K3.8815.891,1904,612266,753115,817
2012-11-15$7.41$8.0052.0%14.9%60.4%28.0%52.3%-0.7%-5.9%-97.8K49.8M-177.7K0.7216.1211,5678,380266,314117,421
2012-11-16$7.40$8.0041.2%11.8%60.3%15.8%41.7%1.4%-1.6%32.6K55.2M-162.8K1.8120.658,32015,021274,075121,857
2012-11-19$7.70$8.0038.3%11.0%62.7%12.5%38.7%1.6%0.3%88.1K22.9M-183.6K0.6121.894,6122,804187,73777,384
2012-11-20$7.81$8.0036.0%10.3%30.5%9.9%35.7%1.7%2.4%91.3K21.2M-188.1K0.6217.833,2692,038189,20478,928
2012-11-21$7.82$8.0035.9%10.3%29.9%9.8%36.2%1.5%1.9%94.2K22.3M-182.8K0.3320.822,867945190,84180,175
2012-11-23$8.07$8.0036.2%10.4%31.0%10.2%37.3%3.5%1.9%179.6K17.9M-194.2K0.292.593,7841,081191,18980,041
2012-11-26$8.36$8.0039.2%11.2%32.9%13.5%39.1%3.5%-1.4%326.8K12.5M-207.0K0.3118.107,2622,246192,51578,868
2012-11-27$8.30$8.0037.6%10.8%32.6%11.8%38.1%1.6%0.4%438.8K10.9M-212.7K0.1622.836,4811,029197,29580,360
2012-11-28$8.54$8.0037.0%10.6%33.7%11.1%37.9%1.2%1.7%611.0K4.9M-224.3K0.8224.661,9741,624201,13980,486
2012-11-29$8.48$8.0038.5%11.0%33.7%12.7%38.1%2.0%-0.9%631.3K6.3M-224.3K0.4523.252,9381,322201,49780,957
2012-11-30$8.47$8.0037.2%11.1%32.8%11.3%38.7%2.2%-0.5%527.9K6.4M-223.3K0.1925.032,266427203,02181,189