MRVL Options History — May 2013

In May 2013, MRVL traded between $10.60 and $11.59. ATM implied volatility averaged 40.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 16.1% (HV 20d: 24.3%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-05-02: Highest Volume — 58,464 contracts
  • 2013-05-16: Largest IV spike — 55.6% change
  • 2013-05-23: Highest IV Rank — 25.3%
  • 2013-05-23: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.10$10.60$11.59$10.90$10.85
Max Pain$10.09$9.00$11.00$9.00$11.00
ATM IV40.4%30.8%51.3%44.5%37.9%
Expected Move12.6%10.0%14.7%12.1%11.8%
HV 20d24.3%15.9%33.0%33.0%22.1%
HV 60d27.7%25.9%28.8%28.8%27.3%
IV Rank12.6%1.5%25.3%17.4%9.8%
IV Percentile52.4%4.0%91.7%75.8%42.9%
Term Structure-2.5%-7.8%9.5%1.0%-1.8%
VWIV45.3%36.1%52.4%44.1%41.6%
Skew 25d6.4%3.4%8.3%3.4%4.4%
Skew 10d13.8%-1.4%19.5%19.5%12.2%
Call IV 25d42.4%35.7%49.0%43.1%40.7%
Put IV 25d48.8%41.7%55.8%46.5%45.2%
Bid-Ask Spread %5.942.6124.6315.133.75
Gamma HHI0.330.180.540.260.20
Net GEX1.4M157.3K2.3M1.4M157.3K
Net DEX-59.0M-90.7M-21.5M-64.0M-21.5M
Net VEX-320.2K-366.3K-300.1K-312.2K-366.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.174.150.170.70
Total Volume13,481.2732,52058,46421,9639,343
Total OI200,904.409154,418228,452187,300214,992

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$10.90$9.0044.5%12.1%33.0%17.4%44.1%3.4%1.0%1.4M-64.0M-312.2K0.1715.1318,7483,215125,25062,050
2013-05-02$10.77$9.0038.8%10.9%31.1%10.8%40.4%4.0%7.6%1.7M-62.6M-317.5K2.0724.6319,02039,444133,55663,372
2013-05-03$10.71$10.0039.3%10.0%31.0%11.4%36.1%6.0%9.5%1.1M-55.0M-328.5K0.778.614,8743,775135,75489,778
2013-05-06$10.80$10.0036.8%12.8%30.5%8.5%45.5%7.1%-3.0%1.5M-59.3M-321.6K0.274.353,207869135,25083,728
2013-05-07$10.60$10.0044.6%12.9%31.2%17.6%46.3%6.8%-3.5%1.3M-47.7M-320.8K1.583.251,4772,328135,36284,077
2013-05-08$10.83$10.0034.3%12.9%31.9%5.6%48.1%6.6%-3.3%1.7M-62.2M-311.7K0.273.261,978542135,61583,491
2013-05-09$10.80$10.0033.1%12.9%31.0%4.1%49.1%6.9%-2.7%1.8M-60.9M-304.8K1.782.619831,749136,43783,606
2013-05-10$10.93$10.0030.9%12.8%31.0%1.6%46.3%6.6%-3.0%1.9M-64.4M-309.6K0.413.152,9371,202136,80284,644
2013-05-13$11.07$10.0034.3%13.2%29.0%5.6%50.4%5.7%-3.8%2.2M-72.7M-301.9K0.913.994,6794,259134,09382,158
2013-05-14$11.16$10.0033.0%13.2%29.0%4.1%48.3%6.8%-3.9%2.0M-76.0M-301.4K0.354.123,6581,289134,55684,855
2013-05-15$11.23$10.0030.8%13.4%23.9%1.5%47.8%6.6%-4.3%2.3M-80.4M-300.1K0.405.888,0673,244135,19684,987
2013-05-16$11.30$10.0048.0%13.8%19.1%21.5%49.9%6.6%-5.6%1.9M-85.4M-309.9K0.954.145,1524,906138,90184,716
2013-05-17$11.43$10.0047.0%13.5%18.6%20.3%46.1%7.0%-4.7%897.1K-90.7M-309.9K0.284.157,1981,999140,54787,905
2013-05-20$11.54$10.0044.5%12.8%16.1%17.4%47.9%7.9%-4.2%882.8K-50.5M-311.1K0.705.085,6533,96399,13755,281
2013-05-21$11.59$10.0045.8%13.1%15.9%18.9%47.0%7.3%-5.4%948.8K-53.8M-314.6K0.373.943,3351,246103,33958,072
2013-05-22$11.36$10.0050.5%14.5%18.0%24.3%49.4%8.3%-7.8%862.7K-47.1M-316.0K0.707.4510,7357,508104,64158,656
2013-05-23$11.31$10.0051.3%14.7%17.6%25.3%52.4%6.8%-6.7%767.3K-47.7M-336.2K0.607.2421,57912,950111,89364,541
2013-05-24$11.34$10.0041.1%11.8%17.4%13.4%40.7%4.8%-2.5%1.2M-51.5M-336.8K0.754.629,9067,457124,56469,726
2013-05-28$11.29$11.0041.3%11.8%17.5%13.7%39.1%8.0%-2.7%1.2M-49.8M-338.1K0.733.923,4532,525114,62862,619
2013-05-29$11.43$11.0040.5%11.6%17.6%12.7%39.8%7.0%-2.8%1.2M-53.6M-341.5K0.744.672,7862,067115,93564,229
2013-05-30$11.05$11.0040.3%11.5%21.5%12.5%40.8%5.6%-1.1%837.3K-41.1M-333.6K4.152.828,01233,271115,79265,166
2013-05-31$10.85$11.0037.9%11.8%22.1%9.8%41.6%4.4%-1.8%157.3K-21.5M-366.3K0.703.755,4823,861120,57894,414