MRVL Options History — September 2013

In September 2013, MRVL traded between $11.50 and $12.81. ATM implied volatility averaged 44.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 12.3% (HV 20d: 32.6%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2013-09-23: Highest Volume — 70,579 contracts
  • 2013-09-20: Largest IV spike — 12.9% change
  • 2013-09-30: Highest IV Rank — 35.4%
  • 2013-09-30: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.31$11.50$12.81$12.26$11.50
Max Pain$12.40$11.00$13.00$13.00$13.00
ATM IV44.9%36.6%52.0%47.7%52.0%
Expected Move12.4%10.5%14.9%12.3%14.9%
HV 20d32.6%25.6%38.8%34.7%26.9%
HV 60d30.0%28.7%31.2%30.2%29.9%
IV Rank24.1%11.0%35.4%28.5%35.4%
IV Percentile69.3%26.2%94.4%85.7%94.4%
Term Structure-2.0%-6.4%2.2%-2.5%-6.4%
VWIV44.6%37.9%53.3%42.4%53.3%
Skew 25d6.3%4.6%8.2%7.5%7.6%
Skew 10d12.2%8.4%18.4%13.9%14.7%
Call IV 25d41.8%36.8%49.2%40.9%47.1%
Put IV 25d48.1%41.5%57.4%48.5%54.7%
Bid-Ask Spread %4.623.028.014.714.47
Gamma HHI0.230.170.310.210.24
Net GEX-416.0K-1.6M762.5K-110.5K113.3K
Net DEX-24.9M-54.2M-643.2K-23.7M-643.2K
Net VEX-341.2K-376.5K-279.2K-350.4K-279.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.325.922.210.32
Total Volume18,814.853,38270,57916,5166,909
Total OI245,266.05196,549284,386212,609204,940

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$12.26$13.0047.7%12.3%34.7%28.5%42.4%7.5%-2.5%-110.5K-23.7M-350.4K2.214.715,13811,378119,20793,402
2013-09-04$12.26$13.0048.1%12.0%34.4%29.3%41.4%7.3%-2.6%-229.2K-23.2M-349.4K1.215.084,6435,601121,07396,582
2013-09-05$12.02$13.0045.3%13.5%34.8%24.8%47.1%6.2%-5.0%-528.2K-13.0M-346.9K1.953.086,03811,760124,05498,460
2013-09-06$12.06$12.0042.8%12.0%34.9%20.9%46.8%5.6%2.2%-1.6M-12.5M-353.8K1.735.019,92317,168128,249107,969
2013-09-09$12.57$11.0046.8%11.3%38.2%27.1%42.8%5.1%1.5%-513.5K-37.8M-376.5K0.633.9912,0597,638131,672116,900
2013-09-10$12.80$12.0045.9%10.7%38.8%25.7%38.6%4.8%1.1%185.3K-54.2M-369.3K5.925.106,90240,890135,386120,097
2013-09-11$12.81$12.0040.9%10.7%33.8%17.8%39.0%4.6%1.5%-182.3K-48.6M-366.6K2.853.212,1676,183137,124120,037
2013-09-12$12.54$12.0037.9%10.9%34.2%13.0%40.2%5.2%0.9%-511.5K-31.1M-361.9K3.463.672,0977,251137,673124,380
2013-09-13$12.65$12.0036.6%10.5%34.2%11.0%37.9%4.8%2.1%-918.1K-35.6M-359.2K1.046.821,6591,723138,450128,055
2013-09-16$12.75$12.0039.8%11.4%34.4%16.0%41.7%4.9%-0.1%-926.1K-40.4M-339.7K2.823.783,95611,149135,485125,588
2013-09-17$12.67$12.0042.0%12.0%34.1%19.5%44.7%6.4%-1.7%-1.2M-35.1M-336.2K3.573.413,78413,498137,169129,390
2013-09-18$12.70$12.0041.1%11.8%34.1%18.2%43.1%6.3%-1.1%-1.6M-32.4M-350.0K1.457.223,8165,547138,341138,158
2013-09-19$12.56$12.0041.5%11.9%34.2%18.7%43.4%5.8%-0.9%-1.1M-26.3M-332.0K0.926.208,1857,539139,839136,751
2013-09-20$12.46$12.0046.9%13.4%34.2%27.2%45.1%4.8%-4.6%762.5K-14.1M-325.9K3.088.017,67123,633143,702140,684
2013-09-23$12.03$13.0051.8%14.8%29.1%35.0%51.3%8.2%-5.5%385.9K-21.7M-324.4K1.393.2229,50041,079120,64775,902
2013-09-24$12.00$13.0049.5%14.2%28.5%31.5%50.4%7.4%-5.7%-17.1K-16.0M-344.2K0.754.106,8435,099138,086101,865
2013-09-25$11.96$13.0047.3%13.6%26.3%27.9%49.4%7.3%-4.8%-72.1K-14.6M-333.5K0.933.972,8792,684138,742102,817
2013-09-26$11.99$13.0045.0%12.9%25.6%24.2%43.1%7.3%-4.0%-594.0K-13.5M-324.2K2.383.024,81311,455138,994103,795
2013-09-27$11.68$13.0048.9%13.2%26.7%30.5%50.5%8.1%-3.8%216.5K-3.9M-300.1K0.334.3112,0573,983139,22196,435
2013-09-30$11.50$13.0052.0%14.9%26.9%35.4%53.3%7.6%-6.4%113.3K-643.2K-279.2K0.324.475,2181,691122,95281,988