MRVL Options History — April 2013

In April 2013, MRVL traded between $9.55 and $10.76. ATM implied volatility averaged 42.6%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 12.1% (HV 20d: 30.5%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-04-22: Highest Volume — 15,380 contracts
  • 2013-04-11: Largest IV spike — 19.6% change
  • 2013-04-29: Highest IV Rank — 20.8%
  • 2013-04-18: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.28$9.55$10.76$10.39$10.76
Max Pain$9.18$9.00$10.00$10.00$9.00
ATM IV42.6%37.2%47.5%37.6%42.0%
Expected Move12.1%9.8%13.4%10.0%11.8%
HV 20d30.5%24.0%35.2%24.0%33.2%
HV 60d29.4%28.3%30.9%28.8%29.3%
IV Rank16.0%11.3%20.8%11.8%14.4%
IV Percentile68.6%46.4%86.5%48.8%61.1%
Term Structure-0.1%-4.2%6.7%6.0%1.3%
VWIV43.6%34.8%48.9%36.4%44.3%
Skew 25d3.1%-1.3%5.9%-0.7%2.7%
Skew 10d6.8%-5.5%14.2%-1.1%14.2%
Call IV 25d42.2%35.8%46.6%36.9%42.0%
Put IV 25d45.3%35.9%51.9%36.2%44.7%
Bid-Ask Spread %11.186.5217.8717.717.01
Gamma HHI0.240.170.310.310.24
Net GEX1.3M586.4K2.2M1.3M1.4M
Net DEX-42.6M-59.2M-23.3M-42.4M-59.2M
Net VEX-291.7K-306.8K-271.3K-285.9K-306.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.071.950.351.15
Total Volume6,579.8641,60115,3804,8105,494
Total OI173,671.091158,101185,199158,101185,199

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$10.39$10.0037.6%10.0%24.0%11.8%36.4%-0.7%6.0%1.3M-42.4M-285.9K0.3517.713,5701,240108,26349,838
2013-04-02$10.12$10.0039.0%9.8%25.8%13.3%34.8%-1.3%6.7%1.2M-35.1M-275.0K0.3017.872,104626108,88250,307
2013-04-03$10.01$10.0039.6%10.0%25.9%14.0%39.2%-0.6%6.6%1.1M-32.2M-273.7K1.9516.625421,059109,88650,520
2013-04-04$10.38$10.0037.2%10.1%29.0%11.3%35.8%1.2%6.7%1.3M-42.0M-280.7K0.0915.6611,2541,064109,83751,091
2013-04-05$10.28$9.0037.7%12.2%29.1%11.8%45.6%3.7%-1.2%1.7M-40.4M-284.6K0.407.995,4812,186114,38351,305
2013-04-08$10.47$9.0040.8%12.4%27.6%15.3%42.9%3.3%-1.8%2.0M-48.4M-292.8K0.677.974,6843,126118,09652,283
2013-04-09$10.41$9.0043.3%12.7%27.7%18.1%44.1%2.3%-2.3%2.0M-47.1M-303.1K0.208.693,448683121,61454,876
2013-04-10$10.52$9.0038.0%12.4%27.8%12.2%48.9%4.0%-3.0%2.2M-50.9M-306.5K0.078.467,180511123,11355,184
2013-04-11$10.32$9.0045.5%13.0%28.2%18.5%45.1%4.1%-3.2%2.1M-47.0M-302.7K0.7710.153,1752,446127,39955,389
2013-04-12$10.44$9.0045.0%12.9%28.0%17.9%44.6%4.2%-3.0%1.5M-47.0M-303.8K0.1611.477,3991,189127,23557,251
2013-04-15$10.15$9.0046.1%13.2%29.3%19.2%48.9%3.6%-3.3%1.3M-40.4M-290.4K0.217.113,240677121,94054,159
2013-04-16$10.26$9.0045.5%13.0%29.1%18.5%45.5%4.2%-3.7%1.4M-42.0M-286.2K0.096.523,398302120,91454,315
2013-04-17$9.86$9.0046.8%13.4%31.6%20.0%48.2%4.1%-4.2%1.1M-31.3M-278.4K0.6313.152,0471,287123,94054,371
2013-04-18$9.55$9.0046.9%13.4%32.8%20.1%48.1%5.3%-2.7%843.4K-23.3M-271.3K0.3113.787,1152,237123,65653,663
2013-04-19$9.74$9.0044.7%12.8%32.4%17.7%46.5%4.7%-1.1%898.0K-28.1M-279.8K1.887.971,8973,571127,88854,537
2013-04-22$10.07$9.0046.2%13.2%34.6%19.4%46.8%4.3%-1.9%827.4K-37.2M-287.2K0.8413.858,3597,021111,27351,242
2013-04-23$10.21$9.0043.6%12.5%34.9%16.3%43.4%5.9%-0.5%883.7K-41.3M-295.4K1.5213.223,2424,937115,96054,913
2013-04-24$10.37$9.0044.1%12.7%34.6%17.0%45.0%4.2%-0.4%804.2K-44.2M-299.6K0.9112.372,0271,852116,50058,911
2013-04-25$10.56$9.0039.6%11.4%35.2%11.7%40.9%3.6%1.8%839.8K-50.4M-304.7K1.059.264,4414,662117,60060,019
2013-04-26$10.54$9.0040.2%12.0%35.1%12.3%42.9%2.5%0.2%586.4K-52.5M-304.8K0.9310.403,4423,200120,74361,815
2013-04-29$10.64$9.0047.5%11.9%34.6%20.8%41.8%3.7%1.0%1.2M-53.9M-303.4K0.198.706,1671,175120,68359,771
2013-04-30$10.76$9.0042.0%11.8%33.2%14.4%44.3%2.7%1.3%1.4M-59.2M-306.8K1.157.012,5502,944124,68960,510