MRVL Options History — July 2014

In July 2014, MRVL traded between $13.24 and $14.64. ATM implied volatility averaged 29.5%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 7.7% (HV 20d: 21.8%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2014-07-15: Highest Volume — 17,723 contracts
  • 2014-07-21: Largest IV spike — 8.6% change
  • 2014-07-31: Highest IV Rank — 40.8%
  • 2014-07-21: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.08$13.24$14.64$14.61$13.34
Max Pain$13.59$13.00$14.00$13.00$14.00
ATM IV29.5%24.4%36.8%25.4%36.8%
Expected Move8.8%8.5%9.0%8.5%8.9%
HV 20d21.8%19.2%27.4%27.4%24.5%
HV 60d23.7%22.7%25.0%24.6%24.6%
IV Rank19.1%3.5%40.8%6.7%40.8%
IV Percentile20.9%2.0%52.4%10.3%52.4%
Term Structure0.8%-2.2%5.3%-0.5%-2.2%
VWIV30.9%29.6%31.9%30.1%30.5%
Skew 25d1.5%-1.7%3.2%1.9%0.9%
Skew 10d3.5%-3.6%7.2%5.7%2.2%
Call IV 25d29.8%24.7%36.9%24.8%36.9%
Put IV 25d31.3%25.7%37.8%26.8%37.7%
Bid-Ask Spread %21.5714.5928.6822.2018.80
Gamma HHI0.230.190.290.190.24
Net GEX1.5M524.7K2.4M1.2M1.7M
Net DEX-1.7M-16.5M10.9M-5.9M7.3M
Net VEX-207.8K-236.0K-176.2K-229.8K-181.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.071.320.570.22
Total Volume4,819.6361,14517,7232,7855,546
Total OI134,768.091119,793153,839120,487153,839

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$14.61$13.0025.4%8.5%27.4%6.7%0.0%1.9%-0.5%1.2M-5.9M-229.8K0.5722.201,7761,00985,12235,365
2014-07-02$14.54$13.0024.6%8.5%27.4%4.3%30.1%0.7%0.3%1.3M-4.7M-225.2K1.3222.3860780185,57835,228
2014-07-03$14.63$13.0024.4%8.6%21.4%3.5%0.0%1.1%0.4%1.2M-6.9M-227.7K0.3326.7897031985,83335,875
2014-07-07$14.54$13.0025.1%8.9%21.4%5.6%0.0%3.2%0.9%1.1M-4.0M-218.9K0.2028.682,13143584,78035,013
2014-07-08$14.64$13.0025.6%8.5%20.0%7.2%29.9%2.4%0.1%1.3M-6.4M-221.1K0.5521.781,32473385,76135,275
2014-07-09$14.33$13.0025.0%8.9%21.3%5.6%31.8%1.8%1.8%916.8K2.1M-200.1K0.5724.902,8761,64986,44935,172
2014-07-10$14.26$13.0025.6%8.8%19.5%7.3%30.6%0.8%1.4%962.5K2.5M-203.7K0.8225.1662851788,61336,134
2014-07-11$14.11$13.0025.6%8.7%19.2%7.3%31.9%1.8%0.6%705.8K6.6M-190.4K0.8918.951,01490589,04036,402
2014-07-14$13.92$13.0026.2%8.8%19.6%9.1%31.2%1.5%5.3%524.7K10.3M-177.2K0.3117.499,6593,02587,38935,863
2014-07-15$14.18$14.0028.1%8.9%20.0%14.8%29.6%2.3%4.6%1.0M2.9M-195.9K0.1321.9615,7222,00192,12437,438
2014-07-16$14.39$14.0028.2%8.8%19.8%15.2%31.9%2.2%3.9%2.3M-16.5M-236.0K0.3823.993,3311,250107,91839,031
2014-07-17$14.10$14.0028.4%9.0%20.9%15.6%31.2%1.8%4.5%2.1M-6.2M-223.3K0.0719.514,812338105,24839,548
2014-07-18$14.23$14.0029.1%8.8%21.3%17.9%0.0%1.2%4.9%1.9M-10.0M-225.5K0.1022.965,766604108,88239,592
2014-07-21$14.20$14.0031.7%9.0%20.9%25.4%0.0%1.4%-0.5%2.0M-11.0M-224.6K0.2226.734,16992299,76835,017
2014-07-22$14.16$14.0033.0%8.8%20.8%29.3%0.0%1.3%-1.0%2.1M-11.7M-223.4K0.3220.942,133683103,20135,748
2014-07-23$13.95$14.0034.0%8.9%19.8%32.6%0.0%1.2%-1.5%1.9M-5.1M-215.0K0.6918.931,248865103,83236,337
2014-07-24$13.96$14.0033.5%8.8%19.5%31.0%30.8%1.6%-0.6%1.9M-4.4M-215.1K0.4021.501,598635104,36437,005
2014-07-25$13.39$14.0033.5%8.8%24.0%31.0%31.8%-1.7%-1.0%1.3M10.8M-176.6K0.3822.925,9202,266105,30237,272
2014-07-28$13.24$14.0035.1%8.9%24.0%35.9%30.6%2.4%-1.0%1.2M10.9M-176.2K0.1314.597,576992106,95536,373
2014-07-29$13.41$14.0035.5%9.0%24.2%37.0%30.4%1.7%-1.9%1.8M5.3M-184.2K0.2814.632,253623112,84936,999
2014-07-30$13.62$14.0035.3%8.8%23.7%36.3%31.4%2.7%-1.7%2.4M-2.2M-200.9K0.3718.693,2191,182113,87537,489
2014-07-31$13.34$14.0036.8%8.9%24.5%40.8%30.5%0.9%-2.2%1.7M7.3M-181.9K0.2218.804,553993115,75138,088