MRVL Options History — January 2015

In January 2015, MRVL traded between $14.28 and $16.07. ATM implied volatility averaged 38.6%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 9.1% (HV 20d: 29.5%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-01-08: Highest Volume — 45,529 contracts
  • 2015-01-06: Largest IV spike — 27.3% change
  • 2015-01-30: Highest IV Rank — 91.3%
  • 2015-01-30: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.43$14.28$16.07$14.50$15.49
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV38.6%27.8%46.1%27.8%46.1%
Expected Move11.9%9.6%14.6%9.6%14.6%
HV 20d29.5%23.0%33.7%23.0%31.0%
HV 60d31.8%29.3%35.3%34.9%29.5%
IV Rank61.4%18.2%91.3%18.2%91.3%
IV Percentile83.8%27.8%97.6%27.8%97.6%
Term Structure0.4%-4.2%8.0%0.6%-1.7%
VWIV42.0%33.0%48.3%34.9%47.3%
Skew 25d2.5%-12.3%9.2%3.4%-0.4%
Skew 10d8.2%-0.5%23.0%5.5%13.7%
Call IV 25d38.3%27.0%46.4%27.0%46.4%
Put IV 25d40.8%30.4%46.0%30.4%46.0%
Bid-Ask Spread %34.207.6593.5317.9425.99
Gamma HHI0.250.190.430.380.22
Net GEX3.7M2.0M5.9M3.3M3.4M
Net DEX-93.3M-149.5M-40.8M-48.6M-85.6M
Net VEX-338.1K-380.9K-287.4K-299.5K-343.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.091.470.760.10
Total Volume12,813.5569345,5296,52929,835
Total OI168,809133,267213,702159,821145,309

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$14.50$14.0027.8%9.6%23.0%18.2%34.9%3.4%0.6%3.3M-48.6M-299.5K0.7617.943,7022,827122,98736,834
2015-01-05$14.28$14.0030.0%9.9%23.5%27.3%33.0%4.2%-0.9%2.5M-40.8M-287.4K1.4715.328061,185121,25535,829
2015-01-06$14.83$14.0038.2%14.0%27.4%60.0%48.3%-12.3%1.5%2.7M-62.3M-311.7K0.1293.5338,1664,492121,52536,664
2015-01-07$15.04$14.0035.3%11.5%27.7%48.4%40.7%4.0%2.0%3.8M-87.4M-340.8K0.1035.304,648476143,07940,442
2015-01-08$16.02$14.0039.1%12.0%33.7%63.2%43.5%4.3%1.0%3.9M-131.5M-337.5K0.1632.0739,2866,243145,17340,833
2015-01-09$16.07$14.0039.2%12.3%30.8%63.7%44.3%6.3%-1.2%4.9M-149.5M-380.9K0.5327.688,2904,416166,94942,877
2015-01-12$15.95$14.0038.6%11.9%31.1%61.5%43.0%5.0%3.3%5.5M-141.1M-360.1K0.5221.588,7204,527164,59841,260
2015-01-13$15.66$14.0039.4%11.4%31.5%64.4%44.2%1.7%0.8%5.3M-128.0M-369.7K0.9567.894,5164,273167,18842,162
2015-01-14$15.53$14.0038.8%12.5%31.5%62.1%46.1%4.2%8.0%5.1M-119.3M-358.7K0.4922.5613,5306,602166,84442,999
2015-01-15$15.36$14.0038.2%11.8%30.5%59.9%42.2%2.1%2.3%5.2M-110.3M-349.4K1.2271.924,5585,551166,25445,041
2015-01-16$15.54$14.0040.0%12.2%29.4%66.9%43.1%2.3%3.8%5.9M-117.0M-345.6K0.3270.115,0931,608167,16646,536
2015-01-20$15.69$14.0040.7%11.8%29.4%69.9%41.9%0.4%-1.9%2.7M-84.5M-333.6K0.8817.844,1103,624103,46629,801
2015-01-21$15.76$14.0041.2%11.8%29.3%71.6%41.5%1.8%-3.7%2.6M-85.3M-331.5K0.0918.619,140795105,49532,867
2015-01-22$15.65$14.0039.9%11.6%29.4%66.7%41.6%2.5%-4.2%2.9M-86.9M-350.5K0.7118.175,4533,860113,34833,584
2015-01-23$15.51$14.0039.4%11.5%29.6%64.5%38.2%0.7%-2.5%2.0M-83.1M-341.7K0.7229.083,9852,858113,73333,687
2015-01-26$15.63$14.0039.5%11.7%29.6%65.1%41.7%9.2%-0.5%3.2M-81.2M-331.2K1.0348.041,4451,495110,33128,260
2015-01-27$15.48$14.0038.9%11.6%30.0%62.7%43.7%4.1%-0.2%3.1M-78.7M-334.7K0.3518.32515178110,90129,384
2015-01-28$15.33$14.0039.9%11.7%30.3%66.6%36.1%4.0%1.0%3.1M-74.4M-328.0K0.7924.373,0782,435111,16029,427
2015-01-29$15.21$14.0041.5%12.7%30.5%73.1%43.9%2.7%-0.2%2.8M-69.5M-326.8K0.317.657,6042,346111,41829,514
2015-01-30$15.49$14.0046.1%14.6%31.0%91.3%47.3%-0.4%-1.7%3.4M-85.6M-343.0K0.1025.9927,1502,685115,64029,669