MRVL Options History — October 2014

In October 2014, MRVL traded between $11.67 and $13.44. ATM implied volatility averaged 34.0%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 0.4% (HV 20d: 33.6%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.76.

Notable Days

  • 2014-10-10: Highest Volume — 24,078 contracts
  • 2014-10-10: Largest IV spike — 17.8% change
  • 2014-10-15: Highest IV Rank — 60.9%
  • 2014-10-16: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.76$11.67$13.44$13.37$13.44
Max Pain$13.39$13.00$14.00$14.00$13.00
ATM IV34.0%27.9%39.7%28.8%35.1%
Expected Move9.4%8.6%10.6%8.8%9.5%
HV 20d33.6%18.3%45.3%18.3%45.3%
HV 60d25.9%20.9%29.8%21.3%29.8%
IV Rank39.5%14.8%60.9%16.8%44.2%
IV Percentile51.7%23.0%77.4%26.6%54.8%
Term Structure0.4%-2.5%7.6%-0.3%-1.8%
VWIV33.5%30.2%39.0%31.0%32.4%
Skew 25d1.7%-2.5%8.2%2.0%3.2%
Skew 10d4.1%-6.3%14.8%3.5%10.1%
Call IV 25d34.5%27.0%39.7%29.1%37.0%
Put IV 25d36.1%28.6%45.3%31.1%40.2%
Bid-Ask Spread %18.3412.4626.6215.0512.51
Gamma HHI0.300.250.370.290.29
Net GEX2.0M1.1M2.8M2.6M2.6M
Net DEX-11.6M-29.0M8.9M-22.5M-29.0M
Net VEX-299.8K-338.2K-228.0K-326.5K-338.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.102.641.500.98
Total Volume7,743.9131,89224,0788,42811,544
Total OI190,752.696172,574211,998172,574199,917

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$13.37$14.0028.8%8.8%18.3%16.8%31.0%2.0%-0.3%2.6M-22.5M-326.5K1.5015.053,3665,062139,72232,852
2014-10-02$13.14$14.0028.1%8.8%18.7%14.8%31.2%-1.4%1.0%2.0M-16.1M-335.9K0.2514.041,846453141,87636,527
2014-10-03$13.18$14.0027.9%8.6%18.8%17.3%30.4%1.5%-0.5%2.1M-15.6M-323.5K0.5614.321,212680141,95036,603
2014-10-06$13.15$14.0028.0%8.7%18.7%17.8%30.2%1.5%-1.1%2.0M-14.3M-310.4K0.3315.872,586853138,32334,834
2014-10-07$13.04$14.0029.2%8.8%18.7%22.3%30.7%-1.3%-2.0%1.8M-12.7M-307.1K0.1016.519,611949139,22435,482
2014-10-08$13.36$14.0028.4%8.8%21.1%19.2%30.2%-0.9%2.8%2.6M-23.6M-335.1K0.5318.364,6052,423146,70036,151
2014-10-09$13.13$14.0030.4%8.9%21.8%26.8%0.0%-0.4%0.5%2.3M-18.0M-326.3K0.5018.491,487740147,13036,411
2014-10-10$12.19$14.0035.9%9.8%33.4%46.9%32.1%1.7%-2.5%1.1M4.1M-256.8K0.4118.9917,0697,009147,19936,913
2014-10-13$11.67$14.0039.6%9.9%35.9%60.8%37.9%-2.5%2.0%1.4M8.9M-228.0K0.4120.499,0153,660158,80440,482
2014-10-14$12.16$13.0035.5%10.3%39.3%45.7%36.6%-1.9%4.5%1.9M-3.0M-280.1K0.8921.795,0054,435165,60842,828
2014-10-15$11.95$13.0039.7%10.4%39.5%60.9%37.6%3.1%1.3%1.8M3.1M-270.1K0.8424.147,1295,971167,14544,196
2014-10-16$12.15$13.0039.0%10.6%40.2%58.5%39.0%8.2%2.9%2.0M-2.4M-275.3K1.5219.221,4072,136164,65745,448
2014-10-17$12.15$13.0034.2%9.8%40.1%40.8%33.7%0.4%7.6%2.8M-6.9M-286.1K0.4321.752,9641,277166,37445,624
2014-10-20$12.47$13.0036.1%9.7%40.9%47.6%34.8%4.7%-1.9%1.3M-3.7M-286.7K0.4519.652,5261,138144,58340,317
2014-10-21$12.63$13.0035.9%9.6%41.2%47.0%35.7%3.1%0.4%1.5M-7.4M-283.5K0.6726.624,7643,179145,72240,981
2014-10-22$12.69$13.0036.0%9.5%39.4%47.3%34.6%1.8%0.1%1.6M-10.1M-296.7K0.5922.673,5502,094148,96541,505
2014-10-23$12.89$13.0035.7%9.2%40.0%46.1%34.2%2.5%0.1%2.0M-16.5M-310.2K0.3523.875,6891,979149,78541,643
2014-10-24$13.01$13.0035.4%9.3%40.2%45.1%34.2%2.1%-0.2%2.1M-19.6M-308.0K0.4418.946,2532,776152,26341,691
2014-10-27$13.03$13.0035.4%9.3%40.2%45.2%32.2%2.1%-1.0%2.2M-18.8M-307.8K0.5217.132,1671,121149,30740,504
2014-10-28$13.07$13.0035.0%9.3%40.2%43.7%31.8%2.5%-0.9%2.2M-19.1M-310.6K0.9912.462,4342,421150,30941,166
2014-10-29$13.00$13.0035.3%9.1%40.2%44.9%33.3%2.1%-1.1%2.1M-15.3M-305.9K1.4916.383,4315,102151,37043,496
2014-10-30$12.71$13.0036.5%9.4%40.5%49.2%33.8%4.0%-1.2%1.5M-7.7M-287.0K2.6412.503,5719,421151,40643,319
2014-10-31$13.44$13.0035.1%9.5%45.3%44.2%32.4%3.2%-1.8%2.6M-29.0M-338.2K0.9812.515,8165,728151,96247,955