MRVL Options History — September 2014

In September 2014, MRVL traded between $13.39 and $14.13. ATM implied volatility averaged 25.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.7% (HV 20d: 17.6%). 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 16 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2014-09-24: Highest Volume — 41,470 contracts
  • 2014-09-25: Largest IV spike — 14.4% change
  • 2014-09-29: Highest IV Rank — 17.5%
  • 2014-09-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.82$13.39$14.13$13.85$13.48
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV25.4%23.5%29.0%24.9%28.0%
Expected Move8.3%8.0%8.7%8.2%8.7%
HV 20d17.6%15.9%20.3%19.9%19.0%
HV 60d21.0%20.1%22.0%22.0%21.3%
IV Rank6.6%1.0%17.5%5.3%14.3%
IV Percentile12.8%1.6%26.6%10.3%23.4%
Term Structure0.2%-1.1%1.2%1.2%-0.4%
VWIV29.4%27.9%38.2%28.0%38.2%
Skew 25d1.0%-0.2%3.4%0.7%1.5%
Skew 10d3.2%-0.6%15.6%-0.6%2.9%
Call IV 25d26.6%25.2%30.7%26.0%28.9%
Put IV 25d27.7%25.7%32.0%26.7%30.4%
Bid-Ask Spread %19.8615.5425.6021.5116.34
Gamma HHI0.240.180.380.220.27
Net GEX2.4M1.3M3.1M2.4M3.0M
Net DEX-22.5M-33.9M-5.4M-19.0M-27.8M
Net VEX-242.7K-355.8K-178.0K-215.4K-340.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.070.730.260.16
Total Volume5,137.04856741,4703,0282,863
Total OI133,958.81116,261172,949121,853172,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$13.85$14.0024.9%8.2%19.9%5.3%28.0%0.7%1.2%2.4M-19.0M-215.4K0.2621.512,40362592,68329,170
2014-09-03$14.03$14.0024.3%8.3%18.5%3.3%28.1%0.5%0.4%2.9M-25.2M-225.3K0.4221.613,1911,32694,05729,588
2014-09-04$14.13$14.0025.0%8.1%18.6%5.4%28.2%0.6%0.8%3.0M-29.0M-231.9K0.2625.603,24582895,82230,600
2014-09-05$14.13$14.0024.1%8.2%15.9%2.7%28.9%0.5%0.1%2.4M-31.3M-232.7K0.3216.622,09866796,99730,845
2014-09-08$14.02$14.0025.1%8.2%16.4%5.7%29.4%-0.2%0.5%2.3M-23.4M-228.1K0.0717.665,69342293,41929,375
2014-09-09$13.89$14.0025.1%8.0%16.5%5.8%31.2%0.0%0.7%2.3M-20.8M-227.1K0.2219.842,44754096,14329,761
2014-09-10$13.89$14.0024.9%8.1%16.4%5.2%28.3%0.4%0.5%2.3M-21.0M-229.5K0.2322.031,20027198,01130,107
2014-09-11$13.89$14.0024.8%8.1%15.9%4.7%0.0%3.4%0.2%2.4M-21.6M-232.6K0.2522.1345511298,73230,269
2014-09-12$13.86$14.0024.7%8.2%16.0%4.7%29.4%1.2%-0.3%2.3M-20.7M-229.4K0.7316.9069450898,92830,295
2014-09-15$13.73$14.0025.1%8.3%16.5%5.7%28.8%0.1%0.5%2.1M-16.4M-211.6K0.3620.552,22881196,75129,721
2014-09-16$13.92$14.0024.6%8.2%16.9%4.2%28.9%1.6%0.5%2.5M-22.0M-217.5K0.4022.371,06342898,42930,379
2014-09-17$13.85$14.0024.1%8.2%17.0%2.6%28.8%1.1%0.2%2.4M-19.5M-208.3K0.3020.381,00329799,19830,561
2014-09-18$13.89$14.0024.0%8.0%17.0%2.4%27.9%1.0%0.4%2.4M-20.9M-214.0K0.2421.2777618498,06330,641
2014-09-19$13.95$14.0023.5%8.0%16.9%1.0%29.0%0.7%0.9%3.1M-21.1M-210.9K0.6118.481,07965798,46130,770
2014-09-22$13.57$14.0025.0%8.1%18.7%5.5%29.0%0.9%0.3%1.5M-10.4M-190.4K0.3722.512,06775888,87627,385
2014-09-23$13.39$14.0025.1%8.4%17.0%5.7%29.1%1.1%0.5%1.3M-5.4M-178.0K0.3718.083,8791,42490,40327,994
2014-09-24$13.81$14.0025.2%8.4%20.3%6.1%28.5%2.9%0.1%1.9M-16.3M-209.4K0.0715.5438,6802,79092,94529,270
2014-09-25$13.72$14.0028.9%8.5%19.2%17.0%0.0%0.7%-1.1%2.7M-33.9M-353.2K0.0918.2212,8191,206129,21431,583
2014-09-26$13.63$14.0027.9%8.5%18.8%14.1%0.0%2.1%-0.3%3.0M-33.7M-355.6K0.2920.672,775798139,76132,086
2014-09-29$13.58$14.0029.0%8.6%18.9%17.5%0.0%1.3%-0.6%3.1M-32.3M-355.8K0.4918.851,719849141,16231,787
2014-09-30$13.48$14.0028.0%8.7%19.0%14.3%38.2%1.5%-0.4%3.0M-27.8M-340.8K0.1616.342,472391140,43232,461