MRVL Options History — August 2013

In August 2013, MRVL traded between $11.64 and $13.38. ATM implied volatility averaged 40.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 11.8% (HV 20d: 28.8%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2013-08-23: Highest Volume — 53,355 contracts
  • 2013-08-15: Largest IV spike — 42.8% change
  • 2013-08-22: Highest IV Rank — 31.5%
  • 2013-08-19: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.72$11.64$13.38$13.07$12.11
Max Pain$12.68$11.00$13.00$11.00$13.00
ATM IV40.6%30.2%50.5%33.9%37.4%
Expected Move12.8%9.4%14.5%9.8%11.6%
HV 20d28.8%22.3%37.1%27.9%34.2%
HV 60d28.6%26.5%31.4%26.8%31.4%
IV Rank15.4%0.6%31.5%4.9%12.2%
IV Percentile49.5%0.4%92.9%13.9%33.7%
Term Structure-3.3%-8.6%11.3%9.2%-1.1%
VWIV45.1%33.6%53.4%35.6%38.5%
Skew 25d6.2%4.8%7.4%4.8%7.3%
Skew 10d12.8%9.1%20.9%17.3%12.6%
Call IV 25d43.0%32.4%48.8%33.6%38.1%
Put IV 25d49.1%37.3%55.5%38.4%45.4%
Bid-Ask Spread %4.913.089.777.054.56
Gamma HHI0.320.180.810.350.23
Net GEX1.4M-461.1K9.8M1.5M-318.0K
Net DEX-62.8M-108.7M-2.6M-95.2M-17.0M
Net VEX-349.0K-368.2K-325.7K-368.2K-359.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.283.780.473.78
Total Volume10,269.0912,00153,35510,1788,894
Total OI218,422.682174,524249,173230,567223,713

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$13.07$11.0033.9%9.8%27.9%4.9%35.6%4.8%9.2%1.5M-95.2M-368.2K0.477.056,9213,257135,18095,387
2013-08-02$13.12$11.0030.2%9.4%27.9%0.6%33.6%4.8%11.3%1.6M-99.2M-360.4K0.367.492,510892134,77996,218
2013-08-05$13.01$12.0034.4%12.8%22.6%5.6%44.3%6.4%-3.6%1.5M-89.4M-359.5K1.323.631,4541,926132,48094,539
2013-08-06$12.81$12.0036.2%13.0%23.5%7.6%46.9%6.6%-4.6%1.4M-81.7M-359.3K0.513.881,869946132,86795,719
2013-08-07$12.86$12.0033.9%12.3%23.4%5.0%44.2%6.4%-2.7%1.4M-83.6M-353.2K1.094.312,8663,123133,13895,697
2013-08-08$12.82$13.0031.4%12.3%22.3%2.0%42.9%6.5%-3.0%1.6M-82.0M-344.0K0.383.981,447554133,16196,159
2013-08-09$12.70$13.0032.3%12.3%22.8%3.1%44.1%6.2%-2.6%1.7M-76.7M-339.9K0.785.371,4361,124133,89896,295
2013-08-12$12.71$13.0035.0%12.8%22.7%6.2%45.5%6.7%-4.5%1.8M-79.0M-326.2K3.125.104,90715,319133,98096,010
2013-08-13$13.38$13.0035.2%13.1%27.9%6.5%45.9%6.0%-4.7%1.8M-108.7M-330.3K0.513.0810,0425,158135,812101,991
2013-08-14$13.18$13.0035.0%13.6%28.8%6.3%46.8%5.9%-5.4%1.7M-99.9M-343.7K0.394.547,3762,883138,272104,440
2013-08-15$13.04$13.0050.0%14.3%28.7%23.7%49.9%6.4%-6.7%1.9M-92.3M-352.9K1.204.364,0324,831140,518104,551
2013-08-16$13.00$13.0049.4%14.2%28.6%22.9%49.0%7.1%-6.1%9.8M-89.7M-354.9K0.915.685,9325,400141,719107,454
2013-08-19$13.15$13.0050.5%14.5%28.5%24.3%50.8%6.3%-7.3%711.1K-57.3M-344.4K0.724.114,1292,989104,15970,365
2013-08-20$13.17$13.0049.3%14.1%28.5%31.2%48.3%6.9%-6.9%767.1K-57.6M-347.1K0.283.666,6301,826106,19772,344
2013-08-21$13.05$13.0049.3%14.1%28.9%31.2%49.6%7.4%-7.4%832.0K-55.2M-348.5K0.354.133,8011,343110,35472,865
2013-08-22$12.96$13.0049.6%14.2%29.1%31.5%53.4%7.3%-8.6%810.9K-52.8M-348.8K0.626.425,9033,689111,30973,491
2013-08-23$12.19$13.0044.7%12.8%37.1%23.8%44.4%4.9%-3.9%391.5K-26.3M-325.7K1.659.7720,15133,204114,30875,601
2013-08-26$11.99$13.0043.4%12.4%37.1%21.7%45.1%4.8%-3.9%-170.5K-14.2M-346.4K0.663.696,9324,606116,08888,887
2013-08-27$11.64$13.0044.8%12.8%34.6%24.0%46.1%6.6%-3.5%-310.6K-2.6M-341.2K2.214.124,3359,565120,76590,386
2013-08-28$11.84$13.0043.8%12.6%33.6%22.5%43.9%5.0%-3.0%-461.1K-6.6M-357.2K0.654.645,0423,275123,06997,946
2013-08-29$12.02$13.0043.0%12.3%34.1%21.1%42.6%5.4%-3.2%-287.6K-14.2M-367.1K0.604.482,1301,271123,187100,001
2013-08-30$12.11$13.0037.4%11.6%34.2%12.2%38.5%7.3%-1.1%-318.0K-17.0M-359.4K3.784.561,8607,034123,273100,440