MRVL Options History — January 2014

In January 2014, MRVL traded between $14.16 and $15.81. ATM implied volatility averaged 40.4%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 8.9% (HV 20d: 31.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2014-01-15: Highest Volume — 35,512 contracts
  • 2014-01-21: Largest IV spike — 8.1% change
  • 2014-01-31: Highest IV Rank — 51.7%
  • 2014-01-28: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.94$14.16$15.81$14.17$14.93
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.4%35.9%45.2%40.4%45.2%
Expected Move9.4%8.9%10.0%9.4%9.4%
HV 20d31.5%25.7%37.1%28.8%32.5%
HV 60d32.8%31.0%34.6%31.3%34.6%
IV Rank35.8%20.7%51.7%35.8%51.7%
IV Percentile43.1%20.2%75.4%38.9%75.4%
Term Structure-0.4%-5.9%3.5%0.4%-1.3%
VWIV32.4%29.4%39.8%30.1%31.7%
Skew 25d1.6%-0.5%3.8%0.7%3.8%
Skew 10d4.5%-0.0%17.1%0.7%6.1%
Call IV 25d40.8%34.6%44.8%41.8%44.8%
Put IV 25d42.4%37.3%48.6%42.4%48.6%
Bid-Ask Spread %26.4010.3551.1822.1924.37
Gamma HHI0.280.170.410.310.17
Net GEX2.8M1.4M4.0M3.4M1.5M
Net DEX-82.0M-148.6M-37.0M-78.1M-37.0M
Net VEX-250.9K-326.3K-215.8K-217.7K-326.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.134.631.000.50
Total Volume14,676.2864,18235,51212,2134,945
Total OI170,808.524123,605216,239169,046168,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$14.17$10.0040.4%9.4%28.8%35.8%30.1%0.7%0.4%3.4M-78.1M-217.7K1.0022.196,1076,106116,44752,599
2014-01-03$14.16$10.0040.4%9.5%28.7%35.8%29.7%-0.5%0.7%3.0M-76.1M-222.3K0.3826.2112,1994,635118,46657,289
2014-01-06$14.64$10.0041.4%9.4%29.4%39.2%39.8%-0.1%0.2%3.2M-96.5M-217.4K0.1524.6123,3753,614119,17054,284
2014-01-07$14.70$10.0040.5%9.3%28.3%36.1%32.3%1.3%-0.3%3.6M-104.9M-234.4K0.1319.8230,6213,923129,29956,997
2014-01-08$14.97$10.0040.0%9.4%28.0%34.3%32.2%0.9%0.1%3.9M-121.2M-248.9K0.4326.015,3802,299137,24959,454
2014-01-09$15.15$10.0039.5%9.3%28.1%32.8%30.6%0.1%0.2%4.0M-129.3M-244.1K0.3219.945,5851,774137,33460,872
2014-01-10$15.21$10.0040.1%9.3%28.0%34.8%29.9%0.3%-0.8%3.7M-132.4M-237.0K0.1823.7212,1982,167136,72861,605
2014-01-13$15.23$10.0040.0%9.3%25.7%34.3%32.1%1.4%-1.4%3.9M-126.2M-230.3K0.2210.356,5331,423132,94958,278
2014-01-14$15.81$10.0038.7%9.3%27.6%30.0%29.9%1.4%-0.8%3.2M-148.6M-215.8K0.3314.587,7572,541132,11759,128
2014-01-15$15.52$10.0039.6%9.1%27.5%33.0%29.4%2.5%-0.9%3.4M-131.7M-226.5K1.1811.6316,27819,234130,73359,634
2014-01-16$14.76$10.0037.4%9.4%33.9%25.9%32.5%2.7%2.0%3.8M-87.4M-256.4K0.2734.9511,7223,175136,63774,451
2014-01-17$14.68$10.0035.9%9.3%33.9%20.7%31.9%2.8%3.5%3.1M-81.8M-250.1K0.9013.658,4747,629141,06875,171
2014-01-21$14.89$10.0038.8%9.6%34.0%30.3%32.7%2.3%-0.6%1.4M-40.6M-245.9K0.3430.2011,2303,77181,39942,206
2014-01-22$15.33$10.0039.1%8.9%34.6%31.4%33.9%1.7%-0.6%1.8M-56.6M-263.9K0.3524.4412,0724,21087,31544,402
2014-01-23$15.18$10.0038.5%9.3%35.1%29.4%35.2%1.5%2.5%2.0M-55.4M-268.5K0.3036.563,21097294,14847,698
2014-01-24$14.76$10.0039.7%9.2%37.1%33.3%32.2%1.9%0.5%1.6M-38.6M-261.9K0.8630.852,8782,47294,90048,141
2014-01-27$14.83$10.0041.4%9.6%36.3%39.1%33.4%1.3%-2.5%1.7M-41.1M-257.7K0.2646.938,2752,18889,73843,593
2014-01-28$14.93$10.0043.7%10.0%36.0%46.6%32.7%2.7%-5.9%1.9M-46.6M-263.6K0.9051.186,9666,24694,30444,285
2014-01-29$14.87$10.0043.8%9.6%36.0%47.0%34.7%2.1%-4.0%1.9M-45.4M-269.0K4.6333.762,1479,94898,79548,735
2014-01-30$15.03$10.0044.8%9.8%32.9%50.4%33.9%3.2%-0.1%1.7M-45.4M-311.7K1.8728.537,63114,29299,74860,773
2014-01-31$14.93$10.0045.2%9.4%32.5%51.7%31.7%3.8%-1.3%1.5M-37.0M-326.3K0.5024.373,2951,650101,42767,413