MRVL Options History — March 2014

In March 2014, MRVL traded between $15.30 and $16.19. ATM implied volatility averaged 32.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.4% (HV 20d: 22.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2014-03-04: Highest Volume — 17,072 contracts
  • 2014-03-24: Largest IV spike — 7.1% change
  • 2014-03-03: Highest IV Rank — 26.4%
  • 2014-03-03: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.75$15.30$16.19$15.43$15.75
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV32.5%28.6%36.7%36.7%30.1%
Expected Move9.3%8.9%9.7%9.7%9.3%
HV 20d22.1%16.5%26.8%26.8%20.8%
HV 60d27.8%26.6%29.1%29.0%26.7%
IV Rank11.4%0.0%26.4%26.4%5.4%
IV Percentile6.7%0.0%23.0%23.0%0.4%
Term Structure0.2%-1.6%2.2%-0.1%0.6%
VWIV34.4%29.4%45.5%30.5%36.6%
Skew 25d3.0%2.1%4.1%2.5%3.9%
Skew 10d6.8%2.0%8.9%5.2%7.9%
Call IV 25d32.2%27.9%36.7%36.7%29.2%
Put IV 25d35.2%31.0%39.1%39.1%33.2%
Bid-Ask Spread %19.1412.8038.7438.7417.63
Gamma HHI0.220.150.370.190.17
Net GEX668.6K-425.3K2.4M231.0K64.2K
Net DEX-25.9M-52.4M-3.4M-13.3M-22.2M
Net VEX-357.1K-387.1K-320.5K-347.8K-320.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.232.520.901.53
Total Volume5,681.4761,60917,0727,5756,135
Total OI163,446.905146,334175,731151,284148,022

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$15.43$10.0036.7%9.7%26.8%26.4%30.5%2.5%-0.1%231.0K-13.3M-347.8K0.9038.743,9783,59772,94678,338
2014-03-04$15.67$10.0035.7%9.3%23.9%22.4%34.7%2.9%-0.1%451.5K-20.4M-350.9K0.7628.449,7087,36474,67780,587
2014-03-05$15.73$10.0034.5%9.4%23.9%18.0%0.0%2.4%-0.2%659.2K-24.1M-375.0K0.6226.213,3112,05179,00886,688
2014-03-06$15.87$10.0034.2%9.3%23.9%16.9%35.8%3.0%-0.1%1.1M-29.0M-375.4K0.5217.661,82393980,12688,150
2014-03-07$15.87$10.0034.4%9.3%23.9%17.8%29.4%3.1%-0.0%326.9K-28.3M-371.8K0.2318.7411,9082,70280,94088,509
2014-03-10$15.59$10.0035.4%9.4%24.5%21.4%35.2%3.0%-1.6%412.7K-21.3M-387.1K0.5414.832,6491,44385,04484,545
2014-03-11$15.85$10.0034.1%9.3%24.9%16.7%31.5%2.6%-0.8%893.9K-30.8M-383.5K0.2918.433,5561,01784,21485,376
2014-03-12$15.89$10.0033.9%9.4%24.8%15.8%38.4%3.2%-0.7%1.1M-34.8M-380.0K0.6620.711,27083586,32885,769
2014-03-13$15.73$10.0033.6%9.3%23.4%14.8%29.6%2.5%-0.5%791.2K-28.1M-373.0K0.2514.621,97150286,84186,377
2014-03-14$15.81$10.0033.1%9.5%23.4%11.2%45.5%3.1%-0.5%918.9K-30.0M-371.0K0.6115.442,3611,44586,56086,604
2014-03-17$15.67$10.0033.0%9.5%23.6%10.9%35.6%4.1%1.7%853.1K-27.3M-355.6K0.6317.053,1782,00784,24783,019
2014-03-18$15.83$10.0031.3%9.4%22.0%4.4%0.0%3.1%1.0%1.3M-32.3M-356.7K0.4422.385,4072,38886,66084,564
2014-03-19$15.93$10.0030.6%9.4%22.0%1.7%0.0%2.8%1.5%1.8M-37.4M-369.7K0.4117.162,5871,06389,18186,550
2014-03-20$16.18$10.0030.4%8.9%21.2%0.9%31.6%3.2%1.0%2.4M-49.1M-348.4K0.6517.232,0661,34586,99786,157
2014-03-21$16.19$10.0028.6%8.9%17.2%0.0%39.5%3.1%2.2%1.5M-52.4M-339.7K0.4412.803,8591,68587,37786,382
2014-03-24$15.90$10.0030.6%9.3%18.0%7.3%29.5%3.8%0.3%222.5K-25.3M-346.0K0.7015.762,4371,71770,07776,257
2014-03-25$15.76$10.0030.4%9.3%16.5%6.5%0.0%3.1%-0.2%16.3K-22.5M-337.3K1.8114.742,3214,19971,37277,569
2014-03-26$15.30$10.0030.9%9.2%19.6%8.3%0.0%2.1%-0.1%-425.3K-5.4M-337.1K1.9518.232,3084,50071,40980,248
2014-03-27$15.31$10.0030.6%9.5%19.6%7.1%33.1%2.8%0.8%-392.6K-3.4M-336.9K2.5218.471,1562,91472,32181,664
2014-03-28$15.43$10.0030.3%9.4%19.8%6.2%36.6%3.4%0.7%-211.6K-6.9M-335.8K0.3216.591,22238772,82381,862
2014-03-31$15.75$10.0030.1%9.3%20.8%5.4%0.0%3.9%0.6%64.2K-22.2M-320.5K1.5317.632,4233,71269,75478,268