MRVL Options History — May 2014

In May 2014, MRVL traded between $15.19 and $15.91. ATM implied volatility averaged 32.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.2% (HV 20d: 21.6%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-05-01: Highest Volume — 49,607 contracts
  • 2014-05-23: Largest IV drop — 27.2% change
  • 2014-05-01: Highest IV Rank — 38.8%
  • 2014-05-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.54$15.19$15.91$15.85$15.57
Max Pain$10.67$10.00$12.00$10.00$12.00
ATM IV32.8%24.0%39.4%39.4%24.9%
Expected Move9.1%8.7%9.3%9.3%8.7%
HV 20d21.6%17.3%24.8%23.4%22.9%
HV 60d23.0%22.3%24.0%23.1%22.6%
IV Rank19.2%0.0%38.8%38.8%2.7%
IV Percentile18.1%0.0%42.1%42.1%0.4%
Term Structure-1.3%-4.5%0.9%-4.5%-0.1%
VWIV31.7%27.7%36.6%29.7%33.3%
Skew 25d2.0%0.9%3.1%0.9%2.3%
Skew 10d5.2%-0.1%11.7%10.9%2.8%
Call IV 25d32.5%23.9%40.2%40.2%24.1%
Put IV 25d34.6%25.4%41.1%41.1%26.4%
Bid-Ask Spread %18.4813.8430.4715.6016.03
Gamma HHI0.240.130.410.280.22
Net GEX1.4M-2.4M5.1M2.4M473.8K
Net DEX-20.1M-55.4M-5.8M-41.5M-11.3M
Net VEX-237.6K-296.8K-214.9K-271.2K-221.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.101.870.100.13
Total Volume8,632.5242,02549,60749,6079,225
Total OI158,367.90590,654212,749167,768106,967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$15.85$10.0039.4%9.3%23.4%38.8%29.7%0.9%-4.5%2.4M-41.5M-271.2K0.1015.6044,9284,67997,03870,730
2014-05-02$15.83$10.0037.6%9.1%22.1%32.6%31.2%1.2%-2.6%4.2M-47.5M-296.8K0.2723.557,8662,139130,88774,187
2014-05-05$15.91$10.0037.3%9.3%22.1%31.3%33.0%0.9%-1.2%5.1M-55.4M-286.3K0.7730.473,7802,896131,55571,657
2014-05-06$15.40$10.0037.2%9.2%24.8%30.8%32.2%1.4%-1.5%2.1M-20.4M-252.3K0.4216.063,8101,603133,65673,157
2014-05-07$15.32$10.0036.4%9.2%24.3%28.0%30.6%2.4%-0.8%1.5M-13.7M-247.0K1.8716.532,1954,101134,76874,191
2014-05-08$15.40$10.0036.4%9.2%24.4%28.1%0.0%2.3%-1.5%1.5M-18.0M-249.6K0.4217.103,4711,446135,15377,425
2014-05-09$15.48$10.0036.2%9.1%19.0%27.4%0.0%1.3%-2.0%-2.4M-20.3M-245.9K0.6217.644,9223,070135,70677,043
2014-05-12$15.64$10.0035.3%9.2%17.3%24.1%0.0%2.0%-2.7%3.8M-36.3M-240.9K1.4215.941,9632,795123,83069,952
2014-05-13$15.19$10.0035.7%9.2%19.9%25.5%33.9%1.8%-2.3%826.6K-10.0M-221.8K1.7516.873,4285,999124,51572,252
2014-05-14$15.30$10.0034.7%9.2%20.0%22.1%0.0%2.8%-1.7%698.5K-12.6M-227.0K0.1117.373,929448126,20677,280
2014-05-15$15.19$10.0035.4%9.1%20.2%24.5%28.4%2.7%-3.9%-60.5K-8.1M-222.0K0.4619.591,389636127,17077,073
2014-05-16$15.33$10.0034.2%9.2%18.8%20.2%0.0%2.9%-2.2%462.5K-15.8M-218.6K0.2818.042,818779127,58877,168
2014-05-19$15.62$10.0032.2%9.1%19.6%13.1%36.6%2.8%0.9%724.4K-12.4M-225.2K0.9717.702,7972,72057,03833,616
2014-05-20$15.27$10.0032.5%9.1%21.1%14.3%33.9%2.9%-0.4%464.7K-5.8M-214.9K0.4518.092,10495759,47035,697
2014-05-21$15.44$12.0032.4%9.1%21.6%13.6%29.8%3.1%-0.4%666.7K-9.7M-222.8K0.3820.291,79268361,20836,460
2014-05-22$15.59$12.0033.0%9.1%21.8%15.8%27.7%2.5%-0.6%832.2K-14.0M-230.4K0.1617.6813,9282,21662,41137,010
2014-05-23$15.89$12.0024.0%9.1%22.9%0.0%31.7%1.4%0.8%2.1M-24.5M-231.7K1.2326.157,6589,40272,04938,387
2014-05-27$15.76$12.0025.1%8.7%22.8%3.6%28.5%1.8%-0.1%1.6M-17.5M-225.3K0.6313.843,0421,91465,80233,996
2014-05-28$15.72$12.0025.1%8.8%22.5%3.4%33.4%1.7%0.2%1.2M-14.2M-220.4K0.3116.521,66151466,99935,300
2014-05-29$15.74$12.0024.9%8.7%22.5%2.8%33.8%1.9%0.3%1.3M-14.2M-217.3K0.1816.914,71286867,56135,568
2014-05-30$15.57$12.0024.9%8.7%22.9%2.7%33.3%2.3%-0.1%473.8K-11.3M-221.5K0.1316.038,1581,06770,94636,021