MRVL Options History — November 2013

In November 2013, MRVL traded between $12.01 and $14.58. ATM implied volatility averaged 43.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 9.2% (HV 20d: 34.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2013-11-05: Highest Volume — 54,316 contracts
  • 2013-11-22: Largest IV drop — 27.8% change
  • 2013-11-20: Highest IV Rank — 68.5%
  • 2013-11-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$12.01$14.58$12.02$14.23
Max Pain$8.25$5.00$10.00$5.00$8.00
ATM IV43.4%33.8%50.2%41.5%34.4%
Expected Move9.9%9.5%10.8%10.8%9.7%
HV 20d34.2%19.9%41.4%20.5%41.4%
HV 60d30.8%28.0%32.8%28.1%31.4%
IV Rank31.8%13.7%68.5%18.7%15.9%
IV Percentile60.7%7.5%93.7%45.6%11.1%
Term Structure-2.8%-7.1%0.6%-1.6%0.6%
VWIV34.4%30.5%37.6%37.6%34.9%
Skew 25d1.7%-2.5%3.7%3.5%1.3%
Skew 10d5.3%-4.2%12.1%12.1%5.7%
Call IV 25d43.7%34.4%50.7%41.8%34.7%
Put IV 25d45.4%35.3%51.7%45.3%36.0%
Bid-Ask Spread %15.198.5550.9110.309.06
Gamma HHI0.290.210.420.320.28
Net GEX2.8M2.0M4.0M3.8M2.1M
Net DEX-96.0M-135.6M-41.4M-46.9M-90.6M
Net VEX-225.7K-259.8K-187.2K-232.2K-187.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.132.450.372.45
Total Volume12,444.81,87554,3165,7552,674
Total OI194,994.8154,190240,456216,705155,334

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$12.02$5.0041.5%10.8%20.5%18.7%37.6%3.5%-1.6%3.8M-46.9M-232.2K0.3710.304,2111,544146,69170,014
2013-11-04$12.01$5.0041.9%10.8%19.9%19.4%0.0%3.7%-3.6%2.3M-41.4M-219.9K0.4613.551,796833143,47765,185
2013-11-05$13.04$5.0045.3%10.3%33.7%24.7%35.8%-2.5%-4.1%3.3M-95.6M-240.2K0.2947.9642,16612,150144,16565,698
2013-11-06$13.01$10.0045.7%10.1%33.9%25.5%30.6%1.3%-3.2%3.5M-99.9M-246.6K0.2117.1514,5723,094154,87373,860
2013-11-07$13.01$10.0045.8%10.1%33.0%25.6%35.4%0.4%-4.1%4.0M-99.8M-259.8K0.6016.785,5563,325163,40574,657
2013-11-08$13.35$10.0044.9%10.0%32.8%24.2%30.6%1.6%-2.8%3.8M-122.6M-247.8K0.169.878,3561,315164,16976,287
2013-11-11$13.48$8.0047.4%9.8%32.8%28.1%32.6%2.7%-3.3%3.8M-114.2M-251.8K0.2713.7514,6643,887153,34565,263
2013-11-12$13.67$10.0047.6%9.5%32.2%28.5%35.0%2.3%-4.8%3.4M-124.7M-236.0K0.1410.648,0071,139153,32266,513
2013-11-13$13.96$10.0049.6%9.7%32.3%31.6%33.7%2.3%-4.7%3.2M-135.6M-233.6K0.1311.7516,5612,134153,02667,203
2013-11-14$13.69$8.0047.5%9.7%33.6%28.2%36.9%2.3%-1.9%2.7M-113.2M-231.3K1.5314.503,0494,650144,22767,641
2013-11-15$13.87$8.0046.6%9.6%33.5%56.5%35.3%2.2%-2.8%2.7M-117.2M-234.0K0.648.554,2382,700145,00470,916
2013-11-18$13.79$8.0045.8%9.8%33.4%53.8%35.2%2.2%-3.6%2.0M-83.1M-231.0K0.1610.3912,9982,144111,32647,895
2013-11-19$13.37$8.0047.0%10.0%35.9%57.6%36.8%0.7%-4.7%2.1M-70.5M-230.8K0.698.563,6132,482116,14148,948
2013-11-20$13.30$10.0050.2%10.1%35.3%68.5%35.4%0.9%-7.1%2.0M-67.3M-229.2K0.5610.536,6833,749118,50650,435
2013-11-21$13.83$10.0048.8%9.7%36.8%63.6%30.5%3.7%-4.3%2.2M-88.2M-220.5K0.8550.9113,40311,331120,37953,007
2013-11-22$14.58$8.0035.2%9.9%40.2%18.5%33.5%1.5%-0.9%2.8M-126.7M-199.4K0.5512.4111,5906,430126,00258,940
2013-11-25$14.48$8.0035.0%9.7%40.5%17.7%35.2%1.1%0.3%2.3M-98.8M-195.4K0.239.705,8881,376108,29346,300
2013-11-26$14.27$8.0034.2%9.6%41.3%15.0%34.9%0.8%0.3%2.2M-91.3M-193.4K0.718.761,5911,122106,97447,216
2013-11-27$14.31$8.0033.8%9.7%41.3%13.7%0.0%1.4%0.0%2.2M-92.3M-193.1K0.458.621,295580107,39147,868
2013-11-29$14.23$8.0034.4%9.7%41.4%15.9%0.0%1.3%0.6%2.1M-90.6M-187.2K2.459.067751,899107,57247,762