MRVL Options History — June 2013

In June 2013, MRVL traded between $10.71 and $11.83. ATM implied volatility averaged 43.6%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 16.1% (HV 20d: 27.5%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-06-07: Highest Volume — 28,021 contracts
  • 2013-06-28: Largest IV drop — 15.6% change
  • 2013-06-11: Highest IV Rank — 22.5%
  • 2013-06-17: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.18$10.71$11.83$10.89$11.71
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV43.6%34.4%48.9%45.5%34.4%
Expected Move12.1%11.0%12.7%12.2%11.0%
HV 20d27.5%19.8%34.4%22.0%31.2%
HV 60d27.9%26.5%29.2%27.2%28.1%
IV Rank16.3%5.7%22.5%18.5%5.7%
IV Percentile66.3%21.4%88.9%79.8%21.4%
Term Structure-0.1%-3.0%1.7%-3.0%1.7%
VWIV43.3%40.1%45.8%42.9%42.6%
Skew 25d4.7%3.0%8.6%4.3%7.1%
Skew 10d10.9%5.8%16.6%13.3%14.1%
Call IV 25d41.7%38.4%43.9%42.1%38.4%
Put IV 25d46.4%43.9%48.0%46.4%45.5%
Bid-Ask Spread %4.183.076.903.074.14
Gamma HHI0.250.190.360.210.29
Net GEX410.9K-214.0K891.0K109.2K527.9K
Net DEX-40.2M-57.9M-18.0M-23.7M-54.8M
Net VEX-370.3K-390.5K-347.4K-368.5K-354.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.142.350.420.95
Total Volume9,845.852,88328,0218,72910,973
Total OI226,980.9187,372250,307216,616211,691

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$10.89$11.0045.5%12.2%22.0%18.5%42.9%4.3%-3.0%109.2K-23.7M-368.5K0.423.076,1262,603121,33895,278
2013-06-04$10.81$11.0045.8%12.3%22.0%18.9%44.8%4.3%-2.7%70.5K-21.0M-374.8K0.143.524,087582125,75097,026
2013-06-05$10.71$11.0048.4%11.9%21.2%21.9%43.1%3.8%-1.4%-41.3K-18.0M-369.4K0.403.822,057826126,69497,373
2013-06-06$10.76$11.0042.1%12.3%19.8%14.6%43.7%4.2%-2.4%-50.4K-19.7M-367.9K0.553.442,4521,345126,91897,489
2013-06-07$11.24$11.0042.5%11.7%25.1%15.1%40.7%3.6%1.2%346.9K-42.5M-376.0K0.224.9023,0175,004127,88498,038
2013-06-10$11.15$11.0047.9%11.9%25.1%21.4%42.0%3.0%0.8%692.7K-44.2M-382.4K0.673.777,0844,725137,37697,319
2013-06-11$10.87$11.0048.9%12.0%26.4%22.5%42.1%4.3%0.7%732.1K-33.3M-381.0K0.404.507,3572,919140,02597,972
2013-06-12$10.96$11.0048.5%12.5%26.4%22.0%44.3%3.8%-0.0%891.0K-38.3M-390.5K1.004.375,0555,054143,098100,137
2013-06-13$11.03$11.0042.9%12.3%26.4%15.5%44.7%3.0%0.8%832.3K-42.8M-389.0K0.826.902,2171,813144,060102,789
2013-06-14$11.01$11.0041.7%12.0%26.2%14.2%43.7%4.1%1.3%355.5K-40.8M-381.7K0.534.408,2014,368144,364103,632
2013-06-17$11.34$11.0044.3%12.7%28.1%17.2%44.5%5.1%0.3%662.8K-51.4M-380.2K2.353.553,7098,710136,664103,862
2013-06-18$11.57$11.0040.9%11.7%28.8%13.2%43.1%4.9%-0.0%751.6K-57.9M-383.4K0.974.213,9333,834137,486111,108
2013-06-19$11.24$11.0042.6%12.2%30.6%15.2%42.9%4.7%0.7%171.9K-43.7M-373.8K1.664.501,5282,541137,623112,684
2013-06-20$11.17$11.0044.0%12.6%29.8%16.9%43.5%5.4%-0.1%-48.0K-37.6M-364.8K0.853.661,8331,556134,816110,505
2013-06-21$11.19$11.0043.0%12.3%29.8%15.7%42.9%4.2%0.2%-214.0K-42.4M-357.1K0.445.473,6831,608135,257110,421
2013-06-24$11.01$11.0043.1%12.3%30.3%15.7%43.2%4.4%0.2%410.2K-31.3M-347.4K0.513.082,3331,188115,75571,617
2013-06-25$11.46$11.0042.5%12.2%33.7%15.1%40.1%5.9%0.2%705.4K-47.3M-350.7K0.524.419,0104,703116,84372,374
2013-06-26$11.73$11.0041.6%11.9%34.4%14.1%45.8%6.2%0.2%718.5K-54.8M-351.9K1.963.768,74617,172115,90275,113
2013-06-27$11.83$11.0040.8%11.7%31.8%13.1%44.9%8.6%0.3%593.1K-57.6M-360.2K1.234.145,8027,163120,22785,110
2013-06-28$11.71$11.0034.4%11.0%31.2%5.7%42.6%7.1%1.7%527.9K-54.8M-354.7K0.954.145,6225,351121,41490,277