MRVL Options History — December 2014

In December 2014, MRVL traded between $13.80 and $15.21. ATM implied volatility averaged 28.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 3.5% (HV 20d: 32.1%). 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 13 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-12-29: Highest Volume — 13,602 contracts
  • 2014-12-18: Largest IV drop — 10.6% change
  • 2014-12-15: Highest IV Rank — 39.5%
  • 2014-12-12: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.80$15.21$14.25$14.50
Max Pain$13.73$13.00$14.00$13.00$14.00
ATM IV28.6%25.5%33.1%26.5%28.2%
Expected Move9.2%8.5%9.8%8.8%9.7%
HV 20d32.1%27.7%36.1%30.4%27.7%
HV 60d34.8%33.1%35.7%33.1%34.9%
IV Rank21.7%9.3%39.5%13.2%19.9%
IV Percentile32.1%22.6%46.0%24.6%31.0%
Term Structure0.3%-1.2%2.1%1.1%0.4%
VWIV32.1%29.6%34.6%31.2%32.2%
Skew 25d2.5%1.0%4.6%1.1%2.9%
Skew 10d6.1%-0.9%11.6%4.5%7.0%
Call IV 25d28.4%25.6%32.1%27.2%27.5%
Put IV 25d30.9%27.8%35.9%28.3%30.4%
Bid-Ask Spread %19.707.2882.8811.5017.33
Gamma HHI0.430.370.510.370.41
Net GEX2.4M1.6M3.3M2.3M2.8M
Net DEX-48.2M-77.0M-29.7M-49.7M-46.9M
Net VEX-320.5K-361.2K-293.4K-345.1K-304.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.041.470.840.04
Total Volume6,756.7271,85413,6024,5514,056
Total OI151,417.727147,332157,570149,959157,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$14.25$13.0026.5%8.8%30.4%13.2%31.2%1.1%1.1%2.3M-49.7M-345.1K0.8411.502,4682,083118,88231,077
2014-12-02$14.49$13.0025.6%8.9%30.8%9.6%29.8%2.0%1.7%2.5M-55.0M-347.4K0.5210.133,4001,781119,22131,977
2014-12-03$15.10$13.0025.8%8.5%33.5%10.6%30.6%2.4%2.1%2.9M-74.0M-361.2K0.317.287,1422,218120,52232,428
2014-12-04$15.01$13.0026.2%8.6%33.7%11.8%30.1%1.5%0.5%3.0M-72.7M-352.9K0.599.231,165689120,38132,534
2014-12-05$15.08$13.0025.5%8.6%32.2%9.3%30.0%2.3%0.9%3.1M-74.3M-349.2K0.298.396,9511,995120,63232,927
2014-12-08$15.21$13.0026.2%8.5%32.2%12.1%29.6%3.0%1.5%3.3M-77.0M-342.3K0.4211.977,1692,998119,47930,957
2014-12-09$14.76$14.0028.7%8.6%34.5%21.9%30.8%2.1%-0.6%2.6M-53.2M-333.7K0.369.345,3251,935115,61332,707
2014-12-10$14.29$14.0029.6%9.0%36.0%25.4%32.2%1.3%1.4%2.1M-40.6M-326.5K0.5711.783,2251,852116,01133,288
2014-12-11$14.42$14.0029.3%9.3%36.1%24.4%31.2%2.3%1.2%2.3M-45.5M-325.8K0.379.386,5852,432115,92133,695
2014-12-12$14.21$14.0032.4%9.8%34.4%36.6%32.8%1.0%-1.2%2.1M-40.3M-324.8K0.5912.864,3832,565118,33534,061
2014-12-15$14.10$14.0033.1%9.7%34.3%39.5%34.1%3.4%-0.8%1.9M-37.2M-314.5K0.5812.094,3512,505117,89433,421
2014-12-16$13.80$14.0032.0%9.8%35.3%35.1%34.5%2.8%0.6%1.6M-29.7M-300.0K0.4811.013,8571,861118,64533,734
2014-12-17$14.20$14.0033.0%9.6%34.5%39.2%34.6%4.5%-0.4%2.0M-35.9M-313.5K0.5313.954,2912,290119,16933,845
2014-12-18$14.19$14.0029.5%9.5%34.2%25.2%34.3%4.6%0.5%1.9M-35.5M-305.0K0.3812.324,5171,718118,01834,030
2014-12-19$14.18$14.0029.6%9.2%34.1%25.5%32.8%2.6%-0.3%1.9M-36.0M-298.6K0.3912.822,6941,044119,13834,132
2014-12-22$14.39$14.0028.1%9.3%29.6%19.6%32.2%3.0%0.6%2.4M-43.4M-304.7K0.3479.516,4532,215115,97031,362
2014-12-23$14.32$14.0027.5%9.2%29.5%17.3%31.8%1.5%0.3%2.4M-42.0M-304.4K0.3182.885,1351,614117,07432,234
2014-12-24$14.33$14.0028.2%9.1%29.3%20.0%31.4%3.3%-0.6%2.4M-43.0M-302.8K0.3116.584,7721,481117,80032,679
2014-12-26$14.37$14.0028.6%8.8%28.2%21.5%33.2%1.9%-1.2%2.5M-42.0M-302.4K0.7926.354,4753,556118,09432,696
2014-12-29$14.33$14.0027.8%9.3%28.2%18.4%33.6%2.7%-0.2%2.6M-41.5M-293.4K0.9618.136,9396,663117,37230,893
2014-12-30$14.47$14.0028.4%9.6%28.3%20.7%32.3%3.0%-0.9%2.8M-45.2M-297.7K1.4728.471,5412,259120,14534,627
2014-12-31$14.50$14.0028.2%9.7%27.7%19.9%32.2%2.9%0.4%2.8M-46.9M-304.5K0.0417.333,888168120,81636,754