MRVL Options History — March 2015

In March 2015, MRVL traded between $14.72 and $16.57. ATM implied volatility averaged 35.9%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 16.4% (HV 20d: 19.5%). Max pain ranged from $14.50 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2015-03-25: Highest Volume — 37,743 contracts
  • 2015-03-25: Largest IV spike — 45.8% change
  • 2015-03-25: Highest IV Rank — 97.7%
  • 2015-03-27: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.81$14.72$16.57$16.40$14.72
Max Pain$15.59$14.50$16.00$15.00$14.50
ATM IV35.9%30.3%45.6%32.8%43.6%
Expected Move10.5%8.9%13.6%8.9%12.8%
HV 20d19.5%17.7%22.9%19.3%22.1%
HV 60d24.2%22.9%26.1%26.1%25.4%
IV Rank55.6%31.3%97.7%42.2%89.1%
IV Percentile69.8%42.9%99.6%51.6%99.2%
Term Structure0.4%-5.6%22.8%0.3%-1.4%
VWIV38.2%31.9%50.7%31.9%48.3%
Skew 25d-1.2%-5.4%6.4%2.4%-5.4%
Skew 10d-2.8%-16.1%7.4%1.3%-3.5%
Call IV 25d38.2%29.8%48.7%30.3%46.2%
Put IV 25d36.9%31.6%46.1%32.7%40.9%
Bid-Ask Spread %13.906.4127.458.6418.99
Gamma HHI0.240.170.310.260.18
Net GEX5.3M3.0M8.4M6.9M4.2M
Net DEX-83.9M-133.3M-45.2M-109.7M-46.1M
Net VEX-341.9K-379.1K-307.0K-342.0K-322.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.031.290.541.29
Total Volume12,219.1822,78537,74311,13910,731
Total OI190,955.318163,909219,196165,295219,196

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$16.40$15.0032.8%8.9%19.3%42.2%31.9%2.4%0.3%6.9M-109.7M-342.0K0.548.647,2413,898137,08928,206
2015-03-03$15.98$15.0031.7%9.1%21.7%37.0%32.3%6.4%-3.6%5.6M-86.6M-328.7K0.568.245,5653,117134,78629,382
2015-03-04$16.22$15.0030.3%9.6%18.4%31.3%33.3%4.3%-0.4%6.1M-91.9M-322.1K0.386.416,7232,539133,41030,499
2015-03-05$16.47$16.0032.3%9.1%18.9%39.9%32.3%0.5%-1.3%8.4M-113.2M-327.0K0.066.9934,4582,236137,33630,657
2015-03-06$16.57$16.0032.6%9.4%19.0%40.9%33.5%-0.4%0.0%5.7M-133.3M-360.8K0.179.4318,3983,059148,96831,148
2015-03-09$16.50$16.0031.3%9.3%19.1%35.5%32.6%-3.4%2.0%6.7M-122.6M-357.7K0.6514.212,6941,753153,34130,004
2015-03-10$16.32$16.0033.7%9.2%19.3%45.9%33.4%-0.3%-0.9%6.1M-104.1M-358.9K0.1120.682,769304147,54731,502
2015-03-11$16.19$16.0036.1%10.3%19.1%56.3%38.5%-3.1%-0.7%5.7M-96.4M-352.9K0.1310.4615,9552,006149,17531,695
2015-03-12$16.07$16.0037.6%11.0%19.3%63.1%40.2%-4.7%0.1%5.8M-93.4M-372.6K0.0314.0111,158389163,02133,225
2015-03-13$16.06$16.0037.7%11.0%18.5%63.2%39.5%-5.2%1.4%6.1M-95.3M-379.1K0.2615.942,210575169,15933,400
2015-03-16$15.99$16.0037.3%10.7%18.6%61.5%37.6%-2.7%-2.6%6.1M-90.1M-351.8K0.7021.662,2331,568167,58630,323
2015-03-17$15.73$16.0038.4%11.1%18.5%66.5%39.2%-3.0%-3.9%4.8M-73.4M-339.1K0.0912.7113,0021,215167,15731,675
2015-03-18$15.83$16.0035.4%10.1%18.7%53.3%36.2%-0.6%0.2%4.6M-75.5M-336.9K0.2717.144,9441,327172,38132,670
2015-03-19$15.80$16.0032.8%9.4%18.2%42.0%33.9%-0.5%0.2%4.4M-72.5M-328.5K0.2614.035,2151,363174,17133,790
2015-03-20$15.72$16.0033.3%9.5%18.1%43.9%34.1%-1.7%3.4%4.4M-69.4M-330.1K0.248.853,562865179,25935,025
2015-03-23$15.58$16.0031.1%9.4%17.9%34.3%33.8%-1.3%0.5%4.1M-64.6M-311.5K0.387.056,5952,485144,49930,202
2015-03-24$15.47$16.0031.3%9.1%17.7%35.2%33.2%-2.7%0.6%3.9M-58.5M-307.0K0.606.922,2841,369147,16932,054
2015-03-25$14.87$16.0045.6%13.2%21.5%97.7%48.7%-1.9%22.8%3.0M-45.2M-313.6K0.1517.3132,7225,021147,70933,239
2015-03-26$14.98$14.5041.6%12.5%21.7%80.2%46.2%2.7%-1.3%3.9M-55.7M-345.2K0.3014.6117,4825,332167,85437,043
2015-03-27$15.24$14.5041.5%13.6%22.9%79.9%50.6%-2.6%-0.5%4.8M-75.0M-375.4K0.1927.459,2131,734178,73738,849
2015-03-30$15.15$14.5042.7%13.4%21.7%85.3%50.7%-3.9%-5.6%5.1M-72.6M-358.5K0.4624.167,8833,630180,83736,042
2015-03-31$14.72$14.5043.6%12.8%22.1%89.1%48.3%-5.4%-1.4%4.2M-46.1M-322.3K1.2918.994,6866,045182,14137,055