MRVL Options History — December 2013

In December 2013, MRVL traded between $13.15 and $14.38. ATM implied volatility averaged 36.9%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.2% (HV 20d: 30.7%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-12-26: Highest Volume — 49,031 contracts
  • 2013-12-26: Largest IV spike — 17.7% change
  • 2013-12-26: Highest IV Rank — 45.7%
  • 2013-12-12: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.64$13.15$14.38$14.24$14.38
Max Pain$8.19$8.00$10.00$8.00$10.00
ATM IV36.9%34.0%43.4%34.6%40.3%
Expected Move9.7%9.2%10.2%9.5%9.3%
HV 20d30.7%21.0%41.7%41.4%28.4%
HV 60d30.7%30.2%31.8%31.4%31.2%
IV Rank24.2%14.4%45.7%16.6%35.5%
IV Percentile24.7%9.1%60.7%13.1%38.5%
Term Structure0.6%-2.4%2.9%0.4%0.4%
VWIV32.1%29.2%35.2%30.6%32.5%
Skew 25d1.8%0.6%2.9%2.1%1.7%
Skew 10d5.2%0.1%13.1%4.3%3.2%
Call IV 25d37.3%34.0%44.3%34.6%41.0%
Put IV 25d39.1%35.7%45.6%36.7%42.8%
Bid-Ask Spread %23.819.01106.729.0129.80
Gamma HHI0.280.240.310.270.31
Net GEX2.2M1.7M3.4M2.1M3.4M
Net DEX-53.0M-89.7M-25.6M-85.1M-89.7M
Net VEX-184.0K-219.4K-167.1K-181.5K-210.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.111.740.470.36
Total Volume9,350.6191,74749,0315,22322,302
Total OI148,955.524130,458163,858147,261163,858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$14.24$8.0034.6%9.5%41.4%16.6%30.6%2.1%0.4%2.1M-85.1M-181.5K0.479.013,5541,669102,57444,687
2013-12-03$14.12$8.0034.0%9.5%41.7%14.4%35.2%1.3%0.5%2.2M-81.0M-182.6K1.3715.301,8692,569104,46645,860
2013-12-04$14.21$8.0034.3%9.5%31.2%15.4%0.0%1.3%0.6%2.2M-80.9M-191.9K0.3011.494,6071,366105,31447,525
2013-12-05$13.85$8.0034.0%9.8%32.9%14.5%30.9%2.1%1.1%2.1M-71.1M-192.4K0.4710.861,684799108,49648,346
2013-12-06$13.60$8.0034.2%9.5%33.7%15.2%32.9%2.6%0.7%2.0M-62.4M-186.0K0.8319.563,1232,598109,03148,559
2013-12-09$13.42$8.0035.1%10.0%33.0%18.0%31.5%2.1%1.1%2.0M-57.4M-180.5K0.1311.6411,1411,460108,04147,219
2013-12-10$13.46$8.0034.6%9.9%32.8%16.4%33.7%1.5%1.5%2.1M-37.5M-179.4K0.6815.781,5051,02792,06647,657
2013-12-11$13.49$8.0034.4%9.9%32.4%15.8%0.0%0.9%1.3%2.1M-36.4M-174.2K0.2313.161,62537292,54848,291
2013-12-12$13.16$8.0036.0%10.2%32.4%21.0%0.0%0.9%-0.4%1.8M-25.6M-167.1K0.2611.032,66269993,04148,472
2013-12-13$13.15$8.0035.2%10.0%31.8%18.5%32.9%1.2%0.4%1.9M-26.5M-167.6K0.1112.7912,2311,40094,47248,771
2013-12-16$13.62$8.0036.7%9.5%34.1%23.6%29.4%2.0%0.8%2.7M-46.9M-176.6K0.5517.045,8273,18199,89346,526
2013-12-17$13.56$8.0037.1%9.4%34.1%25.0%30.1%2.2%0.5%2.6M-44.5M-176.9K0.4823.405,3032,544101,86048,107
2013-12-18$13.46$8.0038.9%10.1%32.3%30.7%33.6%2.5%0.3%2.3M-40.8M-185.4K1.2831.613,7554,809103,23149,246
2013-12-19$13.45$8.0038.7%10.0%32.2%30.0%29.2%2.9%-2.4%2.0M-40.1M-180.0K0.7431.261,002745103,95950,654
2013-12-20$13.34$8.0037.4%9.9%28.9%25.9%32.8%2.5%-1.4%1.7M-35.6M-169.9K1.3623.003,7335,089104,68251,051
2013-12-23$13.45$8.0037.1%9.9%21.0%24.9%32.8%2.0%2.5%2.0M-38.2M-175.4K0.2926.614,9241,42889,51540,943
2013-12-24$13.42$8.0036.9%10.0%21.0%24.0%0.0%1.8%2.9%2.2M-39.2M-168.3K1.7424.668051,39891,70841,766
2013-12-26$13.76$8.0043.4%9.2%22.9%45.7%0.0%1.3%0.8%2.2M-53.2M-184.4K0.26106.7238,89910,13292,28842,602
2013-12-27$13.63$8.0041.5%9.5%23.0%39.5%33.1%2.3%-0.1%2.6M-56.9M-219.4K0.2226.1711,2842,462112,44249,416
2013-12-30$13.76$10.0041.1%9.6%23.3%38.2%0.0%0.6%1.1%2.9M-63.5M-214.1K0.6929.175,1823,599112,42246,461
2013-12-31$14.38$10.0040.3%9.3%28.4%35.5%32.5%1.7%0.4%3.4M-89.7M-210.7K0.3629.8016,3915,911115,02548,833