MRVL Options History — March 2013

In March 2013, MRVL traded between $10.14 and $10.85. ATM implied volatility averaged 33.7%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.8% (HV 20d: 26.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2013-03-11: Highest Volume — 29,258 contracts
  • 2013-03-04: Largest IV spike — 14.2% change
  • 2013-03-04: Highest IV Rank — 15.3%
  • 2013-03-04: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.47$10.14$10.85$10.27$10.58
Max Pain$9.70$9.00$10.00$10.00$10.00
ATM IV33.7%29.6%40.7%35.7%33.6%
Expected Move9.7%9.1%10.6%10.2%9.6%
HV 20d26.9%23.6%30.4%30.4%23.6%
HV 60d36.3%28.5%38.5%38.5%28.5%
IV Rank7.3%2.7%15.3%9.6%7.2%
IV Percentile26.4%6.0%63.1%40.9%23.4%
Term Structure6.0%0.8%7.6%0.8%6.0%
VWIV34.0%32.3%37.1%35.8%33.8%
Skew 25d1.9%-0.9%4.9%4.9%-0.9%
Skew 10d4.4%0.1%14.9%14.9%0.6%
Call IV 25d33.8%31.6%36.1%34.6%35.3%
Put IV 25d35.8%33.6%39.5%39.5%34.5%
Bid-Ask Spread %9.952.4722.497.833.84
Gamma HHI0.310.240.390.390.31
Net GEX1.3M981.0K1.6M1.3M1.4M
Net DEX-53.2M-73.1M-36.9M-59.2M-49.8M
Net VEX-295.5K-311.0K-283.8K-311.0K-289.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.033.290.280.15
Total Volume6,551.21,84029,2586,7324,039
Total OI170,962.15146,314207,821207,821158,739

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$10.27$10.0035.7%10.2%30.4%9.6%35.8%4.9%0.8%1.3M-59.2M-311.0K0.287.835,2661,466124,29983,522
2013-03-04$10.31$9.0040.7%10.6%29.2%15.3%37.1%2.9%5.2%1.3M-58.3M-300.0K0.388.033,2081,232120,31265,211
2013-03-05$10.37$9.0038.0%10.4%27.2%12.2%35.8%2.5%4.9%1.4M-60.5M-302.3K0.9811.273,2273,158120,47265,715
2013-03-06$10.46$9.0036.5%10.2%26.8%10.5%34.8%2.2%5.6%1.5M-63.8M-293.2K0.0910.665,623495120,45663,560
2013-03-07$10.37$9.0032.5%10.0%27.2%6.0%34.9%2.3%5.7%1.6M-60.9M-305.8K0.6411.101,369873123,79763,830
2013-03-08$10.69$9.0030.6%9.5%26.6%3.8%33.6%2.1%5.4%1.5M-73.1M-294.8K0.362.475,1361,839123,99564,006
2013-03-11$10.69$9.0030.9%9.2%26.3%4.2%32.3%1.4%6.2%1.5M-72.9M-283.8K0.0310.1628,415843122,54863,250
2013-03-12$10.58$10.0032.2%9.3%26.9%5.6%33.1%1.9%6.2%1.1M-49.6M-292.1K1.215.631,8992,296104,23063,533
2013-03-13$10.70$10.0029.6%9.2%26.3%2.7%32.5%1.3%6.2%1.4M-54.1M-290.2K0.7811.561,5041,176105,03764,098
2013-03-14$10.85$10.0031.8%9.1%26.0%5.1%32.9%2.0%6.9%1.6M-58.0M-287.6K0.6311.505,8103,634104,48763,435
2013-03-15$10.70$10.0031.7%9.1%27.0%5.1%32.5%1.2%6.7%1.2M-52.6M-287.3K0.488.784,5622,175106,07065,517
2013-03-18$10.52$10.0032.2%9.2%26.8%5.7%33.0%1.7%6.4%1.2M-47.8M-286.4K0.786.026,9685,441102,05644,258
2013-03-19$10.32$10.0034.0%9.7%27.9%7.7%33.3%2.5%6.8%1.1M-43.0M-299.5K0.636.493,7002,323107,02048,984
2013-03-20$10.45$10.0033.4%9.6%27.8%6.9%33.5%2.5%7.2%1.0M-45.2M-305.0K1.2512.858561,072108,46150,659
2013-03-21$10.14$10.0034.1%9.8%29.7%7.8%34.3%2.4%6.9%981.0K-36.9M-297.8K1.3714.717771,063108,69051,298
2013-03-22$10.21$10.0033.9%9.7%25.7%7.6%33.8%2.8%6.8%1.1M-38.4M-296.4K0.578.993,1281,772109,10651,533
2013-03-25$10.28$10.0034.5%9.9%25.7%8.2%35.4%1.5%7.6%1.3M-43.1M-294.4K3.293.707862,584109,36249,578
2013-03-26$10.49$10.0034.5%9.9%25.8%8.2%33.6%1.6%6.3%1.5M-48.5M-299.4K0.1722.496,4941,123109,67149,129
2013-03-27$10.51$10.0033.7%9.7%24.5%7.4%33.9%-0.1%5.6%1.6M-48.3M-294.4K0.4921.022,4811,211109,78949,530
2013-03-28$10.58$10.0033.6%9.6%23.6%7.2%33.8%-0.9%6.0%1.4M-49.8M-289.5K0.153.843,522517108,59650,143