MRVL Options History — September 2015

In September 2015, MRVL traded between $8.60 and $11.11. ATM implied volatility averaged 68.5%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 8.5% (HV 20d: 60.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2015-09-11: Highest Volume — 31,290 contracts
  • 2015-09-11: Largest IV spike — 51.8% change
  • 2015-09-11: Highest IV Rank — 100.0%
  • 2015-09-02: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.53$8.60$11.11$10.88$9.04
Max Pain$10.52$10.00$12.00$12.00$10.00
ATM IV68.5%53.9%118.2%75.3%55.6%
Expected Move18.9%14.8%23.9%22.7%16.8%
HV 20d60.0%36.7%73.3%42.1%69.6%
HV 60d43.9%33.4%49.7%33.6%49.7%
IV Rank48.5%31.6%100.0%58.0%33.4%
IV Percentile93.0%87.3%100.0%96.8%87.3%
Term Structure-2.4%-15.0%1.6%-3.4%1.4%
VWIV67.1%54.1%90.9%90.9%54.8%
Skew 25d3.6%-3.2%10.4%-2.9%5.8%
Skew 10d1.0%-58.1%24.6%-12.6%-2.2%
Call IV 25d64.0%50.9%83.9%74.3%52.5%
Put IV 25d67.6%58.2%80.7%71.5%58.2%
Bid-Ask Spread %21.767.9776.8576.8521.29
Gamma HHI0.180.150.210.190.21
Net GEX331.6K55.8K824.1K641.6K218.7K
Net DEX9.3M-4.7M24.4M-1.7M9.6M
Net VEX-116.1K-196.4K-75.2K-184.2K-87.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.140.780.280.32
Total Volume16,180.3814,62231,29013,59811,582
Total OI143,681.857128,357162,885134,912134,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$10.88$12.0075.3%22.7%42.1%58.0%90.9%-2.9%-3.4%641.6K-1.7M-184.2K0.2876.8510,6522,94696,72138,191
2015-09-02$11.00$12.0078.1%23.9%37.3%61.1%87.4%-2.5%-4.4%685.3K415.1K-176.8K0.1452.5119,1002,58897,06138,138
2015-09-03$11.11$11.0076.8%20.9%36.8%59.7%73.8%3.1%-3.9%824.1K-4.7M-196.4K0.1643.0416,6662,625102,97738,325
2015-09-04$10.88$11.0074.3%20.9%36.8%56.9%73.2%-1.0%0.5%703.4K-1.6M-186.0K0.1936.7511,5912,199106,93238,877
2015-09-08$10.91$11.0075.9%21.4%36.7%58.7%74.7%-0.0%-2.8%685.5K-227.2K-176.9K0.7825.222,5962,026104,69138,848
2015-09-09$10.54$11.0082.9%20.4%38.0%66.5%73.0%-3.2%-15.0%510.1K6.5M-159.0K0.2320.9212,3072,856106,67940,344
2015-09-10$10.56$11.0077.8%19.8%38.1%60.8%69.5%1.1%-10.4%465.0K8.4M-156.6K0.2013.9511,7462,310108,12641,779
2015-09-11$8.89$11.00118.2%20.5%69.6%100.0%72.6%-2.5%-3.2%64.7K24.4M-75.2K0.4013.1422,2889,002109,23041,991
2015-09-14$8.60$11.0069.0%19.5%69.0%48.0%68.1%3.9%1.2%55.8K22.1M-79.7K0.3511.0012,1024,186114,77043,783
2015-09-15$8.64$10.0065.8%18.7%69.2%44.6%68.1%10.4%-2.1%62.4K17.4M-78.8K0.649.025,7693,680115,79139,046
2015-09-16$9.02$10.0063.1%18.1%72.5%41.8%61.4%10.3%-3.6%187.9K14.5M-94.1K0.309.7415,7004,782120,79040,838
2015-09-17$8.90$10.0060.6%17.5%72.5%39.1%61.1%7.7%-2.4%218.3K14.6M-90.1K0.3411.5214,9505,019121,72840,773
2015-09-18$8.64$10.0059.6%17.1%72.3%38.1%61.0%3.0%-0.3%175.9K16.0M-85.2K0.2213.6015,4503,375121,87841,007
2015-09-21$8.64$10.0059.4%17.6%72.2%37.9%61.4%4.5%-0.6%143.7K12.1M-81.5K0.2613.2612,8853,40294,76833,589
2015-09-22$8.68$10.0061.5%17.9%71.7%39.7%63.1%5.0%-0.7%164.0K11.8M-80.5K0.2410.6115,7473,79595,79434,181
2015-09-23$8.73$10.0057.4%16.9%71.7%35.3%60.1%6.0%0.3%187.8K11.2M-83.4K0.397.9713,3385,15298,45835,096
2015-09-24$9.03$10.0058.5%15.7%73.3%36.5%59.4%5.7%-2.1%252.4K8.8M-91.8K0.338.7912,5204,14098,87836,719
2015-09-25$9.29$10.0053.9%14.8%70.8%31.6%54.1%7.6%0.5%266.0K6.6M-96.7K0.339.3710,9543,62699,36337,821
2015-09-28$9.05$10.0058.8%17.2%70.1%36.8%59.1%6.8%-1.3%237.5K8.9M-90.5K0.3530.959,0623,16497,29837,192
2015-09-29$9.08$10.0056.4%18.1%70.2%34.3%61.9%7.3%1.6%214.0K9.8M-88.3K0.3217.429,0342,87697,32037,148
2015-09-30$9.04$10.0055.6%16.8%69.6%33.4%54.8%5.8%1.4%218.7K9.6M-87.4K0.3221.298,7952,78797,33937,041