MRVL Options History — August 2014

In August 2014, MRVL traded between $12.80 and $13.92. ATM implied volatility averaged 31.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.1% (HV 20d: 23.3%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2014-08-21: Highest Volume — 23,515 contracts
  • 2014-08-22: Largest IV drop — 30.0% change
  • 2014-08-11: Highest IV Rank — 39.2%
  • 2014-08-07: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.39$12.80$13.92$13.39$13.91
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV31.4%23.3%36.3%36.2%24.1%
Expected Move8.8%8.1%9.2%9.2%8.2%
HV 20d23.3%19.3%26.0%24.4%20.0%
HV 60d24.1%22.0%24.7%24.6%22.0%
IV Rank24.6%0.3%39.2%39.0%2.6%
IV Percentile26.1%0.4%49.2%48.0%3.2%
Term Structure-0.5%-2.1%1.4%-2.1%0.0%
VWIV30.3%28.8%32.4%30.7%28.9%
Skew 25d2.4%0.4%6.8%2.5%0.8%
Skew 10d6.0%-1.3%15.8%3.6%2.3%
Call IV 25d31.4%23.3%36.5%35.2%25.0%
Put IV 25d33.8%25.5%42.0%37.6%25.8%
Bid-Ask Spread %20.0516.2426.8920.9023.58
Gamma HHI0.220.160.360.230.22
Net GEX1.7M1.0M2.4M2.0M1.9M
Net DEX-3.1M-28.2M17.8M4.0M-26.2M
Net VEX-176.8K-218.9K-145.2K-185.1K-218.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.061.230.690.11
Total Volume6,572.3331,36923,5152,30712,924
Total OI136,170.1997,198157,787157,787128,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$13.39$14.0036.2%9.2%24.4%39.0%0.0%2.5%-2.1%2.0M4.0M-185.1K0.6920.901,369938119,14438,643
2014-08-04$13.31$14.0035.6%9.1%24.4%37.3%30.7%1.8%-0.6%1.7M6.1M-177.9K0.2118.482,232462114,38637,756
2014-08-05$13.05$14.0035.4%9.1%24.6%36.8%0.0%0.9%-0.7%1.3M12.4M-163.4K0.5220.451,509780116,14938,036
2014-08-06$13.09$14.0035.9%9.0%24.0%38.1%31.5%2.8%-1.0%1.4M11.8M-163.7K0.5921.011,097650116,84938,467
2014-08-07$12.80$14.0035.4%9.2%24.9%36.5%32.4%0.4%-0.9%1.0M17.8M-145.2K0.2716.241,988537117,38438,597
2014-08-08$12.92$14.0034.5%9.0%25.3%34.0%31.9%3.6%1.4%1.2M17.5M-148.0K0.6419.55834535118,67138,890
2014-08-11$13.12$14.0036.3%8.9%26.0%39.2%31.1%6.8%-1.9%1.5M11.8M-149.6K0.2021.426,5991,322107,20037,917
2014-08-12$13.08$14.0035.1%9.1%24.7%35.8%0.0%1.3%-0.4%1.8M11.1M-158.7K0.0926.892,678243110,75138,900
2014-08-13$13.26$14.0034.4%8.9%24.6%33.6%29.8%2.4%-1.5%2.1M4.7M-159.5K0.1818.492,641474112,73838,421
2014-08-14$13.33$14.0034.0%9.1%24.0%32.4%30.7%3.8%-0.6%2.1M1.8M-161.9K0.4619.655,8872,720113,92138,528
2014-08-15$13.33$14.0033.7%8.8%23.7%31.5%29.8%3.8%-1.4%1.7M4.5M-160.3K0.7520.015,7384,323115,33740,719
2014-08-18$13.43$14.0033.3%9.0%24.0%30.3%30.4%3.4%-1.2%1.1M-7.4M-166.4K0.3822.385,3902,03672,55024,648
2014-08-19$13.49$14.0031.4%8.8%24.1%24.5%29.7%1.9%-0.3%1.4M-10.2M-168.0K0.4119.945,3122,20076,94926,482
2014-08-20$13.54$14.0032.1%8.5%23.7%26.9%30.9%1.9%-1.1%1.5M-13.3M-176.7K0.5316.504,4112,31880,78028,451
2014-08-21$13.64$14.0034.1%8.6%23.9%32.6%30.5%2.8%-1.2%1.6M-17.1M-190.7K0.3317.8317,7155,80084,15630,302
2014-08-22$13.87$14.0023.8%8.3%19.3%1.9%29.8%2.0%0.3%2.2M-28.2M-206.1K0.5021.458,6304,34796,27433,066
2014-08-25$13.52$14.0023.8%8.2%21.2%1.7%28.8%0.8%0.7%2.1M-12.9M-205.0K0.6616.623,8822,54689,17629,591
2014-08-26$13.49$14.0023.6%8.5%20.8%1.3%0.0%2.6%0.7%1.9M-9.6M-196.9K1.2317.591,2631,55090,00031,591
2014-08-27$13.76$14.0023.4%8.2%21.2%0.5%28.9%3.2%0.2%2.0M-17.5M-200.8K0.0618.805,84135990,32832,539
2014-08-28$13.92$14.0023.3%8.1%20.0%0.3%0.0%2.0%1.0%2.4M-25.8M-209.3K0.1323.245,24169894,26132,666
2014-08-29$13.91$14.0024.1%8.2%20.0%2.6%28.9%0.8%0.0%1.9M-26.2M-218.9K0.1123.5811,6621,26295,14533,215