MRVL Options History — May 2015

In May 2015, MRVL traded between $13.15 and $14.39. ATM implied volatility averaged 34.7%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.6% (HV 20d: 23.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2015-05-21: Highest Volume — 58,781 contracts
  • 2015-05-22: Largest IV drop — 28.3% change
  • 2015-05-21: Highest IV Rank — 70.5%
  • 2015-05-21: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.07$13.15$14.39$14.30$14.00
Max Pain$15.05$14.00$16.00$14.50$14.00
ATM IV34.7%28.2%39.3%36.6%33.7%
Expected Move9.7%8.1%11.4%9.5%10.0%
HV 20d23.1%16.8%39.5%19.8%39.5%
HV 60d22.0%20.0%27.9%20.0%27.8%
IV Rank50.3%21.8%70.5%58.7%45.9%
IV Percentile61.5%32.1%86.5%73.4%52.0%
Term Structure-0.9%-3.4%1.5%-1.1%0.4%
VWIV34.9%30.7%40.4%34.5%37.4%
Skew 25d-0.5%-2.8%2.1%2.1%-1.6%
Skew 10d-0.3%-7.3%6.7%3.0%-7.3%
Call IV 25d36.1%29.4%40.9%37.8%36.0%
Put IV 25d35.6%29.2%39.8%39.8%34.4%
Bid-Ask Spread %8.564.9912.225.9811.51
Gamma HHI0.290.230.360.340.28
Net GEX2.7M755.3K4.1M4.1M3.1M
Net DEX-13.1M-48.6M13.7M-22.5M-39.6M
Net VEX-269.2K-354.7K-214.1K-304.2K-354.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.091.000.600.30
Total Volume15,398.852,91058,78112,64117,989
Total OI184,615.4599,296232,755221,930178,425

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$14.30$14.5036.6%9.5%19.8%58.7%34.5%2.1%-1.1%4.1M-22.5M-304.2K0.605.987,8944,747172,37849,552
2015-05-04$14.17$16.0038.3%10.2%19.2%66.0%35.2%-1.3%-1.3%3.9M-17.8M-293.0K0.2812.222,274636168,84148,628
2015-05-05$13.89$16.0036.6%9.8%19.8%58.7%35.8%-2.6%-0.7%2.7M-5.0M-264.7K0.777.275,2564,054169,40349,178
2015-05-06$14.07$16.0035.9%10.0%20.7%55.5%36.1%0.5%-0.6%3.2M-6.2M-272.5K0.6310.203,7822,373171,32250,121
2015-05-07$14.08$16.0037.2%9.9%17.6%61.3%35.9%0.7%-1.0%3.3M-5.4M-265.1K0.4511.075,5762,526171,50150,242
2015-05-08$14.19$16.0036.5%9.7%18.1%58.1%34.8%-1.1%-0.7%4.0M-10.5M-259.4K0.097.6011,091960173,89650,324
2015-05-11$14.08$15.0036.9%9.8%18.1%59.7%35.0%0.6%-3.4%3.4M-5.3M-245.1K0.456.862,4671,113174,39349,307
2015-05-12$14.10$15.0036.1%9.8%18.2%56.4%35.4%-0.9%-2.6%3.2M-2.9M-240.4K1.007.272,8922,901175,82950,027
2015-05-13$14.13$15.0036.0%9.7%17.2%56.1%35.4%-0.4%-2.0%2.2M1.8M-229.1K0.378.267,6062,785175,99350,165
2015-05-14$14.24$15.0035.5%9.7%17.7%53.7%35.5%-0.4%-1.7%3.5M-4.8M-237.3K0.397.697,8223,015177,65350,103
2015-05-15$14.30$15.0033.2%9.6%16.8%43.8%34.3%0.1%0.3%1.2M-5.3M-236.3K0.297.1419,4755,700182,52250,233
2015-05-18$14.39$15.0033.2%9.4%17.1%43.9%34.1%0.7%-0.5%1.8M-18.7M-265.5K0.148.258,7741,20575,08924,207
2015-05-19$14.16$15.0033.6%9.5%17.8%45.3%33.8%0.8%-0.8%1.8M-17.3M-268.3K0.167.003,93861282,10825,278
2015-05-20$14.17$15.0034.0%9.7%17.2%47.0%34.5%-0.9%-1.4%2.0M-16.5M-266.5K0.487.195,7812,76485,67125,823
2015-05-21$14.36$15.0039.3%11.4%17.5%70.5%40.4%-2.8%-2.7%2.2M-25.6M-281.5K0.2611.2546,66812,11387,55426,402
2015-05-22$13.15$15.0028.2%8.1%35.3%21.8%30.7%-0.2%-1.2%755.3K13.7M-214.1K0.678.1520,46713,710120,04235,352
2015-05-26$13.45$14.5029.8%8.6%36.3%29.0%31.1%0.4%0.5%1.6M-4.8M-244.2K0.324.999,2162,930113,96132,241
2015-05-27$13.90$14.0031.0%9.5%38.4%33.9%33.1%-2.4%0.4%2.3M-21.2M-294.0K0.169.6828,2024,647117,28932,661
2015-05-28$14.20$14.0032.4%9.4%39.2%40.1%34.3%-1.8%1.5%4.1M-48.6M-348.7K0.3211.5616,7125,304133,78034,815
2015-05-29$14.00$14.0033.7%10.0%39.5%45.9%37.4%-1.6%0.4%3.1M-39.6M-354.7K0.3011.5113,8224,167141,31837,107