MRVL Options History — January 2013

In January 2013, MRVL traded between $7.39 and $9.45. ATM implied volatility averaged 43.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 3.2% (HV 20d: 46.3%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2013-01-23: Highest Volume — 46,371 contracts
  • 2013-01-10: Largest IV drop — 19.6% change
  • 2013-01-09: Highest IV Rank — 33.3%
  • 2013-01-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.62$7.39$9.45$7.39$9.25
Max Pain$9.10$9.00$10.00$10.00$9.00
ATM IV43.1%35.6%56.7%55.4%37.5%
Expected Move11.6%10.1%13.4%13.4%10.2%
HV 20d46.3%27.7%53.6%47.9%30.5%
HV 60d44.7%37.7%49.9%48.2%38.9%
IV Rank18.0%9.4%33.3%31.9%11.6%
IV Percentile70.0%42.1%95.6%94.8%49.6%
Term Structure5.0%0.5%7.9%0.5%6.7%
VWIV41.1%35.5%46.7%46.7%36.6%
Skew 25d2.3%0.1%4.2%3.0%2.7%
Skew 10d7.7%1.2%16.7%3.7%11.6%
Call IV 25d41.4%34.9%53.1%53.1%35.5%
Put IV 25d43.8%36.9%56.1%56.1%38.2%
Bid-Ask Spread %15.056.9426.676.9426.67
Gamma HHI0.310.210.430.230.39
Net GEX834.0K34.4K2.1M34.4K975.1K
Net DEX-16.4M-38.4M18.9M18.9M-32.4M
Net VEX-224.0K-255.8K-189.6K-189.6K-243.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.060.780.170.78
Total Volume10,879.811,38446,37113,1731,384
Total OI268,291.333146,074342,106315,016183,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$7.39$10.0055.4%13.4%47.9%31.9%46.7%3.0%0.5%34.4K18.9M-189.6K0.176.9411,2851,888224,33590,681
2013-01-03$7.49$10.0047.3%12.7%47.6%22.8%44.6%2.3%1.2%115.8K14.5M-197.2K0.5510.583,8232,096225,34990,668
2013-01-04$7.81$9.0043.0%12.5%50.5%17.8%44.6%0.8%3.8%94.2K8.3M-202.0K0.3213.503,3091,069225,31391,624
2013-01-07$7.83$9.0050.2%12.6%50.0%26.0%44.8%0.1%3.3%100.0K9.2M-199.6K0.2512.303,121791224,35987,982
2013-01-08$7.91$9.0052.5%13.0%50.3%28.6%46.5%1.0%3.5%161.4K6.8M-205.0K0.1113.2014,1241,571224,62188,045
2013-01-09$8.18$9.0056.7%13.2%51.8%33.3%46.3%2.8%4.1%574.2K-4.0M-219.3K0.1810.9410,5531,894232,73688,681
2013-01-10$8.48$9.0045.6%13.1%53.6%20.8%43.5%4.2%4.0%782.7K-15.0M-221.6K0.3313.8614,5224,806237,02489,386
2013-01-11$8.62$9.0042.4%12.2%53.5%17.2%43.9%2.9%5.2%699.1K-17.2M-227.9K0.4212.489,1563,865238,11292,869
2013-01-14$8.74$9.0043.6%12.5%53.3%18.5%44.2%1.7%4.8%826.8K-17.6M-228.2K0.0613.7029,8251,717233,82093,117
2013-01-15$8.66$9.0042.4%12.2%53.0%17.2%43.7%2.3%4.4%1.7M-23.0M-230.1K0.7814.682,1961,723248,27393,833
2013-01-16$8.73$9.0041.1%11.8%52.9%15.7%42.6%0.9%5.3%1.9M-25.5M-226.5K0.3218.932,261720248,04093,950
2013-01-17$8.69$9.0040.2%11.5%51.5%14.7%41.1%2.8%5.7%2.1M-23.4M-220.5K0.4818.693,9901,898247,51293,220
2013-01-18$8.68$9.0038.1%10.9%51.4%12.4%39.4%2.1%7.9%979.4K-23.5M-210.4K0.2012.7915,0803,017246,79293,617
2013-01-22$8.88$9.0037.1%10.6%50.7%11.2%37.8%3.6%6.0%652.8K-21.7M-209.9K0.7113.694,5363,20495,06451,010
2013-01-23$9.31$9.0037.0%10.6%52.7%11.1%36.8%4.0%5.5%784.8K-31.1M-215.6K0.5414.2030,18116,19097,60452,853
2013-01-24$9.11$9.0036.1%10.3%53.3%10.0%36.1%1.9%6.1%1.0M-28.5M-252.0K0.4415.444,1491,817116,26164,400
2013-01-25$9.16$9.0035.6%10.1%32.3%9.4%35.6%2.9%6.0%881.7K-30.4M-254.2K0.2717.503,129831118,10965,192
2013-01-28$9.42$9.0041.6%10.3%27.7%16.3%35.5%1.8%7.2%1.0M-37.5M-255.8K0.3918.414,1301,617117,22563,918
2013-01-29$9.45$9.0038.6%10.5%27.7%12.9%36.1%1.9%6.5%1.1M-38.4M-249.0K0.2218.502,766607118,02964,452
2013-01-30$9.27$9.0043.0%10.4%30.1%17.9%36.7%3.5%6.3%976.2K-33.0M-247.0K0.2019.033,017618118,22464,654
2013-01-31$9.25$9.0037.5%10.2%30.5%11.6%36.6%2.7%6.7%975.1K-32.4M-243.7K0.7826.67777607118,49164,673