MRVL Options History — June 2015

In June 2015, MRVL traded between $13.19 and $14.62. ATM implied volatility averaged 32.5%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.2% (HV 20d: 33.7%). Max pain ranged from $14.00 to $14.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-06-18: Highest Volume — 24,440 contracts
  • 2015-06-29: Largest IV spike — 4.5% change
  • 2015-06-11: Highest IV Rank — 48.6%
  • 2015-06-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.14$13.19$14.62$14.07$13.19
Max Pain$14.05$14.00$14.50$14.00$14.00
ATM IV32.5%29.3%34.4%34.3%32.9%
Expected Move9.4%8.5%10.3%10.3%9.4%
HV 20d33.7%18.4%40.3%38.8%26.6%
HV 60d27.9%26.9%29.0%27.6%28.8%
IV Rank40.5%26.6%48.6%48.5%42.0%
IV Percentile43.7%30.2%55.6%55.6%42.5%
Term Structure-0.5%-3.6%2.0%-3.6%-0.9%
VWIV34.4%25.8%39.3%38.9%36.0%
Skew 25d-1.5%-3.3%0.5%-0.0%-3.3%
Skew 10d-2.7%-7.9%-0.6%-1.1%-6.3%
Call IV 25d34.5%31.1%37.1%35.0%35.3%
Put IV 25d33.0%29.2%35.0%35.0%32.0%
Bid-Ask Spread %8.836.2313.4213.026.78
Gamma HHI0.240.210.300.280.25
Net GEX3.5M1.4M5.7M3.4M1.4M
Net DEX-39.2M-62.9M2.2M-40.8M2.2M
Net VEX-349.2K-378.7K-246.2K-358.1K-246.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.180.800.310.37
Total Volume15,158.5913,43524,44020,1658,041
Total OI178,462.955152,154199,230174,082165,221

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$14.07$14.0034.3%10.3%38.8%48.5%38.9%-0.0%-3.6%3.4M-40.8M-358.1K0.3113.0215,3604,805138,23735,845
2015-06-02$14.01$14.5034.3%10.3%38.7%48.6%37.6%-2.1%-1.2%3.4M-35.5M-357.7K0.269.022,724711143,67638,429
2015-06-03$14.13$14.5033.8%10.2%38.1%46.5%37.0%-2.3%-0.6%3.6M-38.8M-361.6K0.398.609,2023,551145,01839,024
2015-06-04$14.13$14.0033.3%9.5%37.8%44.3%36.1%-1.3%-0.9%3.5M-38.5M-356.9K0.809.519,4457,566146,95339,594
2015-06-05$14.20$14.0033.4%9.7%37.9%44.3%35.5%-2.2%-2.4%3.2M-42.2M-368.2K0.3210.1111,2583,568148,82443,702
2015-06-08$13.92$14.0033.5%9.7%38.4%44.8%35.1%-1.7%0.6%2.9M-27.1M-342.3K0.609.1110,5106,300133,65441,298
2015-06-09$14.13$14.0033.8%9.7%38.7%46.0%36.3%-0.9%0.0%3.7M-35.6M-358.6K0.416.2312,6195,129139,08244,841
2015-06-10$14.17$14.0033.9%9.6%38.8%46.5%35.7%-1.0%-0.2%4.2M-37.4M-357.3K0.358.5916,0715,617142,83545,197
2015-06-11$14.43$14.0034.4%10.1%39.3%48.6%35.5%-1.5%1.3%5.7M-56.7M-378.7K0.507.8213,0406,518148,53845,971
2015-06-12$14.28$14.0034.0%9.7%39.4%47.0%39.3%-3.2%-0.3%4.1M-45.3M-369.1K0.3413.4217,7265,961152,54146,689
2015-06-15$14.07$14.0033.8%9.7%39.7%46.2%38.0%-0.5%-1.0%3.4M-36.6M-349.7K0.349.0411,2353,832140,01142,716
2015-06-16$14.14$14.0032.8%9.4%39.7%41.7%36.3%-1.7%0.1%3.4M-35.9M-350.1K0.348.609,6393,325142,04043,811
2015-06-17$14.10$14.0032.2%9.2%39.3%39.3%37.2%-1.1%-1.2%3.0M-33.3M-339.1K0.3810.848,2493,110143,72944,036
2015-06-18$14.46$14.0030.9%8.8%40.3%33.6%32.6%-1.1%2.0%4.8M-51.4M-355.3K0.187.6320,7613,679144,06043,917
2015-06-19$14.59$14.0030.8%8.8%40.2%33.0%31.1%0.5%-0.5%3.3M-62.9M-364.5K0.198.7317,3683,305150,21044,325
2015-06-22$14.62$14.0030.7%8.6%22.7%32.7%33.5%-1.2%-0.4%3.7M-55.4M-358.5K0.288.0211,0733,054117,92734,227
2015-06-23$14.48$14.0030.1%8.5%22.3%30.0%25.8%-1.6%0.5%3.9M-54.2M-367.1K0.369.798,1382,922123,48235,483
2015-06-24$14.35$14.0029.3%8.5%19.8%26.6%26.7%-1.3%-0.4%3.8M-48.3M-359.0K0.317.879,3532,915124,88135,738
2015-06-25$14.34$14.0029.7%8.5%18.4%28.1%27.3%-0.8%-0.2%4.0M-48.4M-358.2K0.476.926,3272,972127,76435,936
2015-06-26$13.92$14.0030.9%8.8%20.7%33.4%31.2%-2.5%-0.8%3.1M-29.6M-332.7K0.336.7512,1084,045128,09836,029
2015-06-29$13.27$14.0032.3%9.7%26.6%39.4%34.7%-1.6%-2.0%2.0M-10.5M-292.4K0.337.867,7822,575126,31636,280
2015-06-30$13.19$14.0032.9%9.4%26.6%42.0%36.0%-3.3%-0.9%1.4M2.2M-246.2K0.376.785,8532,188128,10237,119