MRVL Options History — July 2013

In July 2013, MRVL traded between $11.54 and $12.98. ATM implied volatility averaged 41.9%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 13.2% (HV 20d: 28.7%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2013-07-29: Highest Volume — 50,227 contracts
  • 2013-07-08: Largest IV spike — 26.4% change
  • 2013-07-09: Highest IV Rank — 27.6%
  • 2013-07-29: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.98$11.54$12.98$11.75$12.98
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV41.9%36.1%53.4%39.2%38.3%
Expected Move12.1%11.3%13.3%11.4%12.2%
HV 20d28.7%22.4%32.1%31.2%28.3%
HV 60d26.8%25.3%29.1%28.0%27.1%
IV Rank14.2%7.5%27.6%11.3%10.0%
IV Percentile54.8%26.2%92.9%45.2%37.7%
Term Structure-2.5%-5.0%1.8%0.3%1.8%
VWIV44.4%41.3%51.4%42.9%44.1%
Skew 25d7.0%4.3%9.6%7.7%4.3%
Skew 10d14.7%10.8%21.4%16.8%15.8%
Call IV 25d40.3%38.0%43.4%40.1%43.4%
Put IV 25d47.3%44.5%52.0%47.8%47.7%
Bid-Ask Spread %4.893.3312.083.7712.08
Gamma HHI0.310.250.630.280.28
Net GEX1.3M181.3K6.4M699.8K965.7K
Net DEX-59.4M-87.3M-45.0M-54.1M-87.3M
Net VEX-333.6K-364.6K-307.5K-361.5K-364.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.068.080.290.28
Total Volume12,721.2733,04550,22710,33024,038
Total OI217,246.5183,423244,084209,969219,974

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$11.75$11.0039.2%11.4%31.2%11.3%42.9%7.7%0.3%699.8K-54.1M-361.5K0.293.777,9862,344121,67888,291
2013-07-02$11.72$11.0048.9%11.5%31.0%22.5%44.7%8.1%0.6%645.4K-53.1M-353.1K0.894.255,6765,046122,40989,402
2013-07-03$11.93$11.0036.8%11.3%31.0%8.5%45.4%8.2%1.3%1.3M-64.3M-353.6K0.243.624,6261,093126,53092,920
2013-07-05$12.03$11.0036.4%11.7%31.0%8.0%41.3%6.2%-1.5%4.3M-70.3M-347.5K1.104.883,6634,034126,83593,439
2013-07-08$11.54$11.0046.1%11.9%31.9%19.1%43.3%6.8%-2.6%329.1K-45.0M-337.2K1.833.752,8805,273123,29692,615
2013-07-09$11.73$11.0053.4%12.1%32.1%27.6%45.3%7.4%-3.0%397.8K-51.9M-338.8K8.084.113,91131,620123,61595,659
2013-07-10$11.71$11.0040.8%12.0%30.4%13.0%42.2%6.9%-2.8%181.3K-48.4M-357.2K0.064.764,131265125,372109,771
2013-07-11$12.00$11.0041.4%11.9%31.3%13.6%43.6%7.0%-2.6%823.2K-63.9M-348.5K0.905.324,2653,857126,441109,882
2013-07-12$12.01$11.0041.1%11.8%31.3%13.3%43.1%6.7%-2.7%3.9M-66.3M-341.9K1.194.983,0913,674128,271111,786
2013-07-15$11.97$11.0041.5%11.9%31.3%13.8%41.9%5.5%-3.1%823.8K-62.5M-329.1K2.654.282,0755,499124,613108,786
2013-07-16$11.86$11.0042.4%12.2%30.2%14.8%44.1%6.7%-3.8%602.2K-56.8M-327.2K0.665.302,9591,949125,186109,443
2013-07-17$12.01$11.0041.4%11.9%29.7%13.6%44.3%7.2%-3.0%1.0M-64.4M-326.7K1.403.684,1335,790126,267110,636
2013-07-18$11.87$11.0042.3%12.1%27.9%14.8%42.5%7.7%-3.8%795.0K-57.4M-326.0K1.314.873,3894,453127,419113,939
2013-07-19$12.03$11.0043.8%12.6%27.9%16.5%44.1%5.8%-5.0%6.4M-70.3M-318.4K0.743.339,7857,288128,794115,290
2013-07-22$11.95$11.0043.9%12.6%28.2%16.5%45.0%7.0%-4.4%876.6K-53.5M-311.1K1.504.482,2823,433110,81672,607
2013-07-23$11.99$11.0042.7%12.2%27.2%15.2%43.8%6.6%-4.0%837.4K-54.9M-307.5K1.104.191,7451,916111,99175,736
2013-07-24$11.98$11.0043.8%12.6%23.7%16.5%46.5%7.6%-3.8%853.3K-53.7M-312.2K1.405.365,6657,937112,79876,275
2013-07-25$11.96$11.0043.3%12.4%22.4%15.9%45.3%6.5%-3.2%1.1M-52.7M-321.3K1.085.052,4032,606116,60682,872
2013-07-26$11.89$11.0036.1%12.5%22.4%7.5%43.3%6.1%-3.8%411.4K-46.5M-316.9K0.664.971,8291,216117,84084,215
2013-07-29$12.10$11.0038.2%13.3%22.8%10.0%51.4%9.6%-4.4%578.8K-55.8M-310.0K6.615.606,60243,625112,16082,583
2013-07-30$12.64$11.0039.5%12.4%27.3%11.5%48.1%8.2%-2.1%826.7K-72.7M-328.6K0.424.8920,9378,879114,78789,578
2013-07-31$12.98$11.0038.3%12.2%28.3%10.0%44.1%4.3%1.8%965.7K-87.3M-364.6K0.2812.0818,8255,213125,69594,279