MRVL Options History — July 2015

In July 2015, MRVL traded between $12.20 and $13.44. ATM implied volatility averaged 39.6%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.9% (HV 20d: 31.7%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2015-07-13: Highest Volume — 34,238 contracts
  • 2015-07-17: Largest IV spike — 81.9% change
  • 2015-07-17: Highest IV Rank — 100.0%
  • 2015-07-27: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.73$12.20$13.44$13.30$12.45
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV39.6%30.7%65.4%33.6%43.7%
Expected Move11.6%9.0%13.8%9.4%13.0%
HV 20d31.7%26.5%35.8%26.6%31.3%
HV 60d31.0%28.5%32.2%28.9%31.9%
IV Rank48.8%32.4%100.0%45.0%48.4%
IV Percentile72.6%31.3%100.0%47.2%96.4%
Term Structure1.6%-3.6%21.2%-2.3%-3.0%
VWIV41.9%30.2%48.5%35.7%47.9%
Skew 25d-6.7%-120.5%5.4%1.5%-2.2%
Skew 10d-11.4%-173.5%36.3%0.0%-1.8%
Call IV 25d47.5%32.8%180.8%33.0%46.6%
Put IV 25d40.8%31.8%60.3%34.5%44.4%
Bid-Ask Spread %49.265.35103.205.3575.61
Gamma HHI0.190.150.230.220.22
Net GEX1.0M265.1K2.2M2.0M578.5K
Net DEX5.0M-8.3M17.8M-5.9M5.7M
Net VEX-237.1K-282.4K-196.1K-279.0K-214.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.121.350.350.54
Total Volume11,379.1366,14734,2386,9088,363
Total OI165,936.5147,631190,009165,659151,499

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$13.30$14.0033.6%9.4%26.6%45.0%35.7%1.5%-2.3%2.0M-5.9M-279.0K0.355.355,1081,800128,49837,161
2015-07-02$13.44$14.0031.4%9.0%27.0%35.8%30.2%-0.6%-2.0%2.2M-8.3M-282.4K0.346.535,5801,870129,07537,197
2015-07-06$13.27$14.0032.4%10.6%27.1%39.8%40.3%-2.2%-0.8%1.9M-5.8M-268.9K0.1610.3314,9552,411127,52436,607
2015-07-07$13.15$14.0030.7%10.6%26.5%32.4%38.0%-1.9%0.3%1.8M-1.5M-256.0K1.3511.315,9828,047131,94537,288
2015-07-08$12.84$14.0031.7%10.5%26.6%37.0%38.2%-2.2%-0.1%1.1M8.0M-236.4K0.5011.544,6822,337133,01142,734
2015-07-09$12.43$14.0031.7%10.6%28.2%37.1%38.0%-1.7%2.1%478.0K16.1M-212.0K0.857.585,2014,441133,08842,939
2015-07-10$12.50$14.0031.1%10.2%27.0%34.2%37.0%-0.1%0.6%340.1K17.8M-209.8K0.718.504,7003,328133,42444,181
2015-07-13$13.22$14.0035.2%11.7%35.1%52.4%42.7%-120.5%21.2%1.7M-5.2M-272.0K0.1226.5930,4383,800128,73643,632
2015-07-14$12.91$14.0035.4%11.4%35.6%53.1%41.4%-1.2%6.9%1.6M2.0M-260.8K0.2417.817,7611,890142,95045,612
2015-07-15$12.73$14.0038.3%11.4%35.6%65.6%41.0%5.4%5.3%1.1M7.0M-251.3K0.2321.166,5071,517143,66945,838
2015-07-16$12.80$14.0035.9%10.6%35.8%55.5%40.0%-2.4%3.6%903.4K9.1M-234.0K0.3914.996,0932,378143,63745,968
2015-07-17$12.88$14.0065.4%12.9%34.2%100.0%45.0%-6.6%-3.6%1.2M2.2M-260.5K0.18103.2025,1844,607143,83146,178
2015-07-20$12.56$14.0044.2%12.8%34.4%49.7%46.9%1.6%5.6%866.0K1.1M-238.7K0.3788.969,0643,386112,97640,481
2015-07-21$12.60$14.0039.7%11.4%34.5%39.0%42.0%-8.1%5.4%922.4K5.1M-236.4K0.5986.955,8893,470113,78641,962
2015-07-22$12.40$14.0043.8%12.6%34.6%48.8%44.8%-2.6%0.9%599.9K9.4M-219.4K0.7988.464,9753,917114,34542,138
2015-07-23$12.40$14.0043.5%12.5%34.7%48.1%45.2%-0.6%1.0%565.6K8.4M-219.9K0.6686.485,0603,360114,35241,657
2015-07-24$12.20$14.0044.6%12.9%34.8%50.6%44.1%-0.9%-1.2%314.3K11.6M-210.1K0.6886.585,3883,644114,69241,619
2015-07-27$12.28$14.0046.1%13.8%34.1%54.2%48.5%-0.1%-2.0%265.1K14.4M-196.1K0.5779.495,9063,390106,46441,167
2015-07-28$12.43$14.0045.1%12.4%30.9%51.7%44.4%-1.7%0.6%527.7K8.4M-217.1K0.5580.955,1762,832107,81741,267
2015-07-29$12.58$14.0042.4%12.6%31.4%45.5%44.8%-0.4%-2.1%617.2K7.3M-214.7K0.4885.824,1581,989108,42541,353
2015-07-30$12.66$14.0044.3%13.2%31.3%49.9%46.8%-0.9%-0.2%821.1K2.9M-226.2K0.4679.526,6863,071108,35141,529
2015-07-31$12.45$14.0043.7%13.0%31.3%48.4%47.9%-2.2%-3.0%578.5K5.7M-214.9K0.5475.615,4152,948110,40341,096