MRVL Options History — February 2015

In February 2015, MRVL traded between $15.40 and $16.52. ATM implied volatility averaged 37.9%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 15.9% (HV 20d: 21.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.35.

Notable Days

  • 2015-02-12: Highest Volume — 30,727 contracts
  • 2015-02-20: Largest IV drop — 20.9% change
  • 2015-02-17: Highest IV Rank — 82.3%
  • 2015-02-04: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.19$15.40$16.52$15.40$16.13
Max Pain$14.84$14.00$15.00$14.00$15.00
ATM IV37.9%28.9%43.4%39.9%32.4%
Expected Move11.5%8.2%15.7%14.7%10.3%
HV 20d21.9%18.3%32.4%31.1%19.5%
HV 60d28.1%26.0%30.2%29.5%26.1%
IV Rank59.5%24.9%82.3%66.7%40.3%
IV Percentile78.0%36.9%98.0%92.5%50.0%
Term Structure-0.7%-4.5%2.1%-0.6%0.0%
VWIV40.9%29.2%55.9%53.4%35.3%
Skew 25d1.3%-1.9%6.4%3.1%-1.6%
Skew 10d4.7%-4.9%18.8%14.1%0.6%
Call IV 25d38.6%29.1%44.5%41.1%34.2%
Put IV 25d39.8%30.3%46.1%44.2%32.6%
Bid-Ask Spread %19.795.7972.2024.957.29
Gamma HHI0.250.200.310.240.24
Net GEX4.5M3.8M6.4M3.8M4.4M
Net DEX-115.3M-144.1M-84.4M-85.9M-90.9M
Net VEX-348.6K-372.8K-323.8K-343.1K-330.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.110.770.300.17
Total Volume14,614.2635,76230,7275,76228,806
Total OI162,917.263139,770204,708144,094152,007

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$15.40$14.0039.9%14.7%31.1%66.7%53.4%3.1%-0.6%3.8M-85.9M-343.1K0.3024.954,4321,330122,59021,504
2015-02-03$15.96$14.0042.0%14.3%32.4%75.0%50.1%6.4%-1.9%3.9M-106.3M-342.0K0.2119.757,7071,601122,64922,829
2015-02-04$16.11$14.0041.7%15.7%30.1%73.8%55.9%0.7%-1.2%4.0M-114.4M-343.7K0.3317.6913,6994,535125,45623,112
2015-02-05$16.16$15.0040.4%12.1%29.9%68.6%46.6%-0.1%-1.2%4.3M-118.6M-365.6K0.2826.0214,6334,049132,74326,577
2015-02-06$16.19$15.0041.8%11.9%20.0%74.3%40.9%1.3%-4.5%4.3M-129.6M-372.8K0.3223.145,7391,845139,82626,766
2015-02-09$16.08$15.0042.3%12.2%20.1%76.0%42.5%4.6%1.3%4.5M-119.8M-365.2K0.2721.066,6151,792137,37924,719
2015-02-10$16.27$15.0040.3%11.9%20.3%68.3%43.5%-1.9%2.1%4.5M-128.6M-368.1K0.1272.2016,5741,998140,59925,687
2015-02-11$16.30$15.0039.6%11.4%19.0%65.5%43.4%1.6%-0.6%4.7M-131.9M-371.2K0.2168.0711,8612,433143,51326,773
2015-02-12$16.52$15.0041.5%12.4%19.0%73.0%44.2%2.6%1.7%5.0M-142.0M-361.2K0.119.8227,5643,163145,38427,281
2015-02-13$16.52$15.0042.9%12.1%18.3%79.1%42.4%0.0%-0.9%6.4M-144.1M-361.0K0.5210.637,2033,716150,11128,625
2015-02-17$16.24$15.0043.4%12.4%19.5%82.3%42.2%2.6%-1.9%5.2M-129.2M-356.3K0.3310.799,8843,215150,96727,397
2015-02-18$16.23$15.0040.5%11.6%19.3%70.7%41.4%0.2%0.7%5.4M-129.4M-344.8K0.2510.1614,3413,534153,28128,824
2015-02-19$16.40$15.0040.9%11.8%19.5%72.3%42.2%0.6%-2.3%5.7M-136.4M-354.9K0.7510.4915,67311,734157,58730,623
2015-02-20$16.29$15.0032.4%9.5%19.5%37.5%33.1%1.5%-2.3%3.9M-132.1M-333.8K0.5116.049,8925,054164,60940,099
2015-02-23$16.08$15.0029.8%8.5%19.8%29.0%30.1%1.3%-1.0%3.8M-84.4M-335.0K0.607.965,8343,504115,26624,504
2015-02-24$16.19$15.0029.1%8.2%19.8%26.0%29.2%1.7%-0.1%3.9M-87.9M-326.5K0.775.793,8552,965116,86226,408
2015-02-25$16.34$15.0028.9%8.4%19.5%24.9%29.8%0.6%-0.3%4.0M-91.5M-323.8K0.366.716,6542,413117,05227,309
2015-02-26$16.12$15.0029.2%8.8%19.9%26.3%30.9%-0.6%-0.5%4.0M-88.0M-324.3K0.337.495,8911,933120,85827,652
2015-02-27$16.13$15.0032.4%10.3%19.5%40.3%35.3%-1.6%0.0%4.4M-90.9M-330.0K0.177.2924,7014,105124,03627,971