MRVL Options History — December 2012

In December 2012, MRVL traded between $7.14 and $8.87. ATM implied volatility averaged 42.9%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 9.7% (HV 20d: 33.3%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-12-27: Highest Volume — 32,717 contracts
  • 2012-12-10: Largest IV spike — 23.4% change
  • 2012-12-31: Highest IV Rank — 31.2%
  • 2012-12-27: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.28$7.14$8.87$8.51$7.26
Max Pain$9.60$8.00$10.00$8.00$10.00
ATM IV42.9%36.7%54.8%43.5%54.8%
Expected Move11.8%10.4%15.4%10.8%15.3%
HV 20d33.3%27.3%47.2%32.2%47.2%
HV 60d43.4%42.0%48.0%42.3%48.0%
IV Rank17.7%10.7%31.2%18.5%31.2%
IV Percentile72.7%50.0%94.8%80.2%94.8%
Term Structure0.2%-4.2%2.4%1.0%-3.3%
VWIV42.7%37.6%56.8%38.4%54.4%
Skew 25d2.5%0.6%10.3%2.7%4.0%
Skew 10d5.4%-9.7%58.2%1.6%4.0%
Call IV 25d42.6%37.3%57.7%37.3%57.7%
Put IV 25d45.1%40.0%64.2%40.0%61.7%
Bid-Ask Spread %16.371.1536.3720.989.90
Gamma HHI0.220.180.300.210.23
Net GEX471.6K-332.1K924.5K573.5K-54.1K
Net DEX10.3M-4.0M30.8M6.3M24.8M
Net VEX-201.9K-234.4K-152.5K-220.0K-175.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.071.830.090.18
Total Volume8,399.21,80532,7172,86023,464
Total OI290,149.7279,696307,733281,957299,975

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$8.51$8.0043.5%10.8%32.2%18.5%38.4%2.7%1.0%573.5K6.3M-220.0K0.0920.982,630230200,98980,968
2012-12-04$8.66$8.0042.7%10.9%32.1%17.5%38.9%1.3%1.8%653.8K2.6M-226.2K0.3920.212,122819202,84881,144
2012-12-05$8.73$8.0042.6%10.8%32.1%17.4%38.5%0.7%1.6%705.9K517.0K-227.9K0.1636.373,836617203,00481,539
2012-12-06$8.87$8.0038.5%10.4%29.9%12.7%44.6%3.0%1.3%749.1K-1.6M-228.3K0.0719.3711,997789202,80381,591
2012-12-07$8.80$10.0036.7%10.8%29.6%10.7%39.4%1.8%2.0%834.7K-4.0M-234.4K0.2719.141,893509211,14981,568
2012-12-10$8.63$10.0045.3%11.1%30.6%20.4%44.1%0.6%1.5%768.7K1.1M-222.7K0.0814.045,973480210,51381,639
2012-12-11$8.64$10.0044.1%10.9%30.6%19.1%38.9%1.4%1.4%745.7K2.9M-216.1K0.7820.431,015790206,76481,867
2012-12-12$8.48$10.0039.4%10.7%29.3%13.8%37.6%1.1%2.4%598.9K8.1M-210.8K0.4426.803,6341,595206,27881,756
2012-12-13$8.34$10.0038.1%10.9%28.0%12.3%38.6%1.5%1.7%488.6K11.4M-203.7K0.2017.131,914384206,69882,760
2012-12-14$8.21$10.0040.6%11.7%29.1%15.2%39.9%1.9%-0.8%426.2K14.1M-196.6K0.3023.161,646495207,56883,045
2012-12-17$8.32$10.0038.3%11.0%29.1%12.6%39.9%1.7%1.7%474.7K11.8M-197.2K0.9910.381,1321,117207,46082,717
2012-12-18$8.62$10.0037.9%10.9%28.5%12.1%39.6%1.7%1.3%683.0K5.0M-207.9K0.2810.494,9341,397207,94683,369
2012-12-19$8.71$10.0037.3%10.7%28.4%11.4%39.4%1.8%1.7%924.5K1.1M-211.4K0.127.175,158610211,20683,228
2012-12-20$8.45$10.0038.1%10.9%31.1%12.3%39.6%1.7%1.5%627.9K8.4M-197.2K0.3114.963,7161,136210,13383,251
2012-12-21$8.34$10.0038.5%11.0%29.8%12.7%40.5%1.5%0.8%415.9K11.0M-196.6K0.8019.263,0572,439210,01883,803
2012-12-24$8.25$10.0042.4%12.2%27.3%17.2%40.0%2.7%-3.0%226.5K15.0M-184.9K0.872.241,119968200,30879,388
2012-12-26$7.40$10.0051.0%14.6%47.1%26.9%51.6%10.3%-3.7%-40.8K28.4M-152.5K1.8324.9510,56219,340200,74280,189
2012-12-27$7.14$10.0053.5%15.4%46.4%29.8%56.8%5.5%-4.2%-332.1K30.8M-159.4K1.101.1515,54717,170205,95889,079
2012-12-28$7.17$10.0054.7%15.0%46.7%31.1%53.8%2.9%-3.5%-38.1K28.6M-167.7K0.909.376,1905,560214,21893,515
2012-12-31$7.26$10.0054.8%15.3%47.2%31.2%54.4%4.0%-3.3%-54.1K24.8M-175.8K0.189.9019,9273,537211,07888,897