MRVL Options History — August 2015

In August 2015, MRVL traded between $10.47 and $12.84. ATM implied volatility averaged 65.9%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 33.5% (HV 20d: 32.5%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-08-20: Highest Volume — 32,017 contracts
  • 2015-08-20: Largest IV spike — 56.9% change
  • 2015-08-20: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.87$10.47$12.84$12.48$11.28
Max Pain$12.81$12.00$14.00$14.00$12.00
ATM IV65.9%45.2%112.8%45.2%85.8%
Expected Move19.0%13.9%31.1%14.2%25.9%
HV 20d32.5%27.2%41.1%31.2%41.0%
HV 60d32.4%29.2%34.4%31.9%33.1%
IV Rank74.6%52.1%100.0%52.1%69.7%
IV Percentile98.6%95.6%100.0%98.4%99.2%
Term Structure-2.5%-22.8%7.0%-2.8%-5.0%
VWIV66.4%48.9%96.2%54.5%96.2%
Skew 25d0.8%-12.5%40.6%-1.0%-2.2%
Skew 10d-4.8%-34.3%53.1%-3.5%2.8%
Call IV 25d63.9%45.9%92.0%45.9%83.1%
Put IV 25d64.8%44.9%121.4%44.9%80.9%
Bid-Ask Spread %47.6010.58121.6579.3473.39
Gamma HHI0.190.140.230.220.22
Net GEX759.1K182.5K1.3M581.3K799.6K
Net DEX3.2M-7.9M18.6M7.1M-6.0M
Net VEX-196.3K-242.0K-137.5K-211.3K-193.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.151.510.230.74
Total Volume15,194.4291,51132,0174,16218,217
Total OI151,218.762110,925188,733146,830130,843

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$12.48$14.0045.2%14.2%31.2%52.1%54.5%-1.0%-2.8%581.3K7.1M-211.3K0.2379.343,385777106,27640,554
2015-08-04$12.22$14.0047.0%15.3%31.8%56.4%57.2%-2.4%-2.6%623.9K8.3M-208.1K0.3483.8014,2954,903109,25841,008
2015-08-05$12.84$14.0054.8%19.2%36.0%74.9%73.0%-0.5%-3.0%1.1M-6.9M-238.2K0.21101.8615,7123,310113,14942,442
2015-08-06$12.45$13.0061.5%15.3%35.8%90.8%53.9%-8.2%-7.4%1.2M-2.4M-228.8K0.1533.5415,2812,331116,90742,738
2015-08-07$12.54$13.0059.6%15.4%35.8%86.3%53.4%-0.3%-4.3%1.1M-7.9M-242.0K0.1722.4914,5962,419123,45443,114
2015-08-10$12.61$13.0057.6%14.8%29.3%81.5%51.7%2.2%-4.5%1.1M-4.1M-226.6K0.2019.9311,6792,371117,41241,587
2015-08-11$12.55$13.0054.5%14.7%28.2%74.1%52.2%4.6%-2.7%1.3M-4.3M-225.7K0.2120.751,249262121,71842,151
2015-08-12$12.39$13.0056.7%14.6%28.1%79.3%51.3%0.2%-3.9%1.2M-1.4M-222.4K0.4320.405,3872,329122,36742,342
2015-08-13$12.27$13.0052.0%14.7%28.2%68.3%52.8%-2.1%-0.4%1.1M3.7M-204.3K0.3622.516,4352,290122,52342,814
2015-08-14$12.43$13.0053.2%15.0%28.5%71.1%51.0%-0.2%-3.0%690.1K4.9M-205.4K0.1720.8210,5041,819123,34442,954
2015-08-17$12.42$13.0049.0%13.9%27.2%61.1%50.3%-4.6%0.1%714.8K4.4M-196.7K0.1512.9112,5201,915121,74841,825
2015-08-18$12.18$13.0049.1%13.9%27.9%61.4%50.3%-2.8%1.4%742.5K7.1M-185.0K0.1912.5411,0442,067125,88442,112
2015-08-19$11.91$13.0048.8%14.0%28.5%60.6%48.9%-1.7%-1.3%521.9K12.2M-176.1K1.5110.589821,481126,65942,568
2015-08-20$11.49$13.0076.6%22.5%30.9%100.0%73.4%1.5%-22.8%182.5K17.4M-171.5K0.3451.6923,8118,206126,98943,332
2015-08-21$11.16$12.0077.9%22.0%31.9%100.0%73.3%-2.0%7.0%521.2K18.6M-181.7K0.6551.7411,5767,506139,86548,868
2015-08-24$10.71$12.00112.8%31.1%34.1%100.0%91.2%40.6%3.8%444.7K4.3M-159.0K0.25121.6510,2772,58379,47431,451
2015-08-25$10.47$12.0085.7%24.3%33.8%69.7%82.8%5.0%-0.2%408.5K7.8M-137.5K0.2368.1410,6552,46679,62131,553
2015-08-26$10.48$12.0084.7%26.0%33.1%68.6%91.0%-12.5%5.7%380.5K8.8M-141.4K0.5066.6815,7847,88581,04631,860
2015-08-27$11.08$12.0085.0%25.4%40.1%69.0%91.7%2.3%-1.8%574.0K1.2M-173.0K0.2935.7521,8806,41986,51935,735
2015-08-28$11.32$12.0087.0%26.3%41.1%71.2%94.6%1.5%-4.5%680.0K-4.7M-193.4K0.4769.0513,9036,57293,16836,362
2015-08-31$11.28$12.0085.8%25.9%41.0%69.7%96.2%-2.2%-5.0%799.6K-6.0M-193.9K0.7473.3910,4667,75195,92334,920