MRVL Options History — February 2013

In February 2013, MRVL traded between $9.24 and $10.28. ATM implied volatility averaged 42.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 11.7% (HV 20d: 30.8%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-02-21: Highest Volume — 55,573 contracts
  • 2013-02-22: Largest IV drop — 40.1% change
  • 2013-02-21: Highest IV Rank — 36.7%
  • 2013-02-21: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.57$9.24$10.28$9.51$10.10
Max Pain$9.74$9.00$10.00$10.00$10.00
ATM IV42.5%32.3%59.7%32.3%35.5%
Expected Move12.4%10.1%17.1%11.8%10.1%
HV 20d30.8%27.6%32.3%31.0%30.2%
HV 60d38.6%37.9%39.5%39.1%38.4%
IV Rank17.3%5.8%36.7%5.8%9.4%
IV Percentile67.4%17.1%96.0%17.1%39.7%
Term Structure0.2%-8.5%29.1%0.3%1.5%
VWIV43.3%35.3%57.4%41.9%35.3%
Skew 25d2.1%-0.7%6.4%2.2%2.7%
Skew 10d5.3%-3.6%15.2%5.2%6.7%
Call IV 25d43.1%35.2%53.2%42.0%35.8%
Put IV 25d45.3%38.5%52.6%44.2%38.5%
Bid-Ask Spread %22.573.88115.8713.4617.69
Gamma HHI0.420.300.540.420.31
Net GEX1.1M466.7K1.6M1.1M926.4K
Net DEX-41.5M-60.5M-31.4M-39.4M-51.2M
Net VEX-262.9K-319.0K-232.5K-246.1K-312.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.092.330.090.47
Total Volume13,062.2632,78855,5739,9014,288
Total OI193,863163,716214,438183,526206,826

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$9.51$10.0032.3%11.8%31.0%5.8%41.9%2.2%0.3%1.1M-39.4M-246.1K0.0913.469,062839118,59964,927
2013-02-04$9.28$9.0038.7%12.7%31.5%13.0%43.8%2.3%-2.2%1.1M-33.0M-232.8K0.4714.221,899901118,69764,636
2013-02-05$9.46$9.0036.9%12.6%31.6%10.9%42.4%2.9%-1.4%1.2M-38.9M-233.3K0.168.963,545560119,77064,735
2013-02-06$9.50$9.0036.0%12.4%31.7%9.9%42.2%3.0%-0.4%1.3M-40.4M-238.4K0.3516.733,8941,347122,04165,021
2013-02-07$9.28$9.0043.3%12.4%32.3%18.2%42.6%2.8%-0.6%1.2M-32.5M-232.5K0.6514.551,6921,096122,18665,232
2013-02-08$9.46$9.0044.2%12.7%30.8%19.2%43.1%2.0%-1.4%1.2M-37.9M-237.1K0.169.7112,2431,981123,21265,574
2013-02-11$9.55$10.0044.4%12.7%30.5%19.4%44.5%1.9%-1.9%1.4M-43.6M-244.4K0.4710.482,8011,323131,47565,608
2013-02-12$9.45$10.0044.0%12.6%30.8%19.0%44.0%1.5%-1.1%1.4M-40.2M-241.3K2.3313.091,8504,307133,55966,471
2013-02-13$9.39$10.0044.3%12.7%30.7%19.3%44.5%1.3%-1.6%820.5K-36.3M-239.2K0.1516.385,541827133,95970,563
2013-02-14$9.52$10.0044.0%12.6%30.8%18.9%44.7%1.5%-0.6%466.7K-42.4M-246.0K0.3521.389,5963,338136,43070,257
2013-02-15$9.35$10.0044.7%12.8%31.7%19.8%45.2%-0.6%-1.3%743.6K-36.7M-251.2K0.3022.805,4561,623142,48171,957
2013-02-19$9.28$10.0047.0%13.5%31.9%22.4%48.5%-0.7%-6.5%1.1M-31.4M-251.3K0.5019.509,4544,688112,16851,548
2013-02-20$9.24$10.0049.7%14.2%31.2%25.4%52.7%-0.4%-8.5%1.2M-31.6M-259.4K1.4134.354,3196,092119,31254,479
2013-02-21$9.47$10.0059.7%17.1%27.6%36.7%57.4%-0.6%29.1%1.3M-41.6M-276.2K1.66115.8720,88234,691120,48955,982
2013-02-22$9.89$10.0035.8%10.3%30.1%9.7%36.3%6.4%1.3%1.6M-52.3M-303.1K0.273.8830,4578,341131,37182,070
2013-02-25$9.85$10.0045.3%11.0%30.3%20.5%38.4%3.7%-0.5%1.3M-48.9M-314.0K0.7621.5612,3199,361124,64375,432
2013-02-26$10.04$10.0043.9%10.9%29.5%18.8%38.6%5.4%-0.7%1.0M-50.6M-319.0K0.4128.433,7831,547123,04782,086
2013-02-27$10.28$10.0037.9%10.3%30.4%12.0%36.3%3.4%0.9%1.2M-60.5M-317.4K0.1525.6919,3022,938123,79482,760
2013-02-28$10.10$10.0035.5%10.1%30.2%9.4%35.3%2.7%1.5%926.4K-51.2M-312.4K0.4717.692,9201,368123,30683,520