MRVL Options History — October 2015

In October 2015, MRVL traded between $8.05 and $9.57. ATM implied volatility averaged 53.3%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 4.0% (HV 20d: 49.2%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2015-10-16: Highest Volume — 28,154 contracts
  • 2015-10-27: Largest IV spike — 10.6% change
  • 2015-10-27: Highest IV Rank — 36.2%
  • 2015-10-07: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.05$9.57$8.80$8.21
Max Pain$9.05$9.00$9.50$9.50$9.00
ATM IV53.3%47.5%58.2%55.0%55.9%
Expected Move16.4%15.1%17.7%15.5%16.5%
HV 20d49.2%30.1%72.7%69.4%66.0%
HV 60d51.3%48.9%60.2%49.7%58.9%
IV Rank30.9%24.8%36.2%32.7%33.7%
IV Percentile84.1%79.8%88.9%86.9%86.5%
Term Structure1.4%-3.2%9.4%-0.6%-1.1%
VWIV57.7%52.3%64.7%58.8%64.7%
Skew 25d5.3%0.7%7.7%0.7%3.8%
Skew 10d10.4%-3.5%32.4%2.0%-3.5%
Call IV 25d51.1%43.7%57.0%56.9%53.2%
Put IV 25d56.4%49.7%62.5%57.5%57.1%
Bid-Ask Spread %22.248.8084.3825.2928.12
Gamma HHI0.350.200.600.230.35
Net GEX540.9K152.6K997.6K167.5K263.9K
Net DEX3.2M-7.2M16.7M11.8M16.7M
Net VEX-99.9K-126.8K-75.2K-80.1K-80.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.231.170.330.36
Total Volume13,178.86487028,15411,04115,329
Total OI145,851.364127,652164,369134,708164,369

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$8.80$9.5055.0%15.5%69.4%32.7%58.8%0.7%-0.6%167.5K11.8M-80.1K0.3325.298,2952,74697,48637,222
2015-10-02$9.09$9.5055.8%16.5%70.8%33.6%58.0%6.4%-0.2%152.6K10.6M-75.6K0.3644.808,2612,96097,53637,256
2015-10-05$9.13$9.0054.1%16.5%70.8%31.8%59.2%6.1%0.1%254.0K9.0M-78.9K0.399.5762524591,25236,400
2015-10-06$9.49$9.0053.0%17.3%72.7%30.7%59.6%5.7%0.4%300.1K5.5M-90.5K0.2611.5317,4254,44691,69136,573
2015-10-07$9.48$9.0053.0%17.7%72.0%30.6%60.0%4.3%2.0%528.6K-893.6K-112.5K0.538.806,3393,366105,62238,601
2015-10-08$9.46$9.0052.5%17.2%72.0%30.1%57.5%6.0%1.1%499.0K-373.0K-114.9K0.9210.053,3883,124105,88438,581
2015-10-09$9.40$9.0052.3%17.1%36.3%30.0%55.2%5.4%-1.9%550.7K119.3K-107.8K0.879.533,4623,000106,15638,700
2015-10-12$9.25$9.0050.7%16.7%34.5%28.2%57.5%5.8%7.4%555.5K2.5M-94.3K0.5513.154,7022,598105,64636,553
2015-10-13$9.30$9.0049.1%16.6%34.5%26.5%57.2%6.3%8.3%602.5K601.0K-93.6K0.7216.403,4332,468107,07135,397
2015-10-14$9.53$9.0049.1%15.6%32.3%26.5%54.5%5.3%5.1%669.9K-2.7M-101.3K0.5624.465,7763,206107,08535,341
2015-10-15$9.45$9.0047.5%15.9%32.0%24.8%54.6%6.0%9.4%713.4K-2.8M-102.9K0.5421.997,7324,169108,53735,480
2015-10-16$9.35$9.0052.4%16.2%30.1%30.0%56.7%7.7%5.9%560.1K-837.9K-98.1K0.2323.2222,9435,211106,42735,236
2015-10-19$9.46$9.0054.1%15.9%30.1%31.8%55.8%4.6%-1.4%920.8K-6.0M-113.4K0.4718.3916,0297,503106,01430,445
2015-10-20$9.19$9.0056.2%16.3%32.4%34.0%55.2%5.0%-3.2%815.2K-2.5M-114.7K0.9622.127,4677,194110,05334,179
2015-10-21$9.13$9.0054.7%15.7%32.5%32.4%55.7%6.8%1.0%755.7K-1.5M-118.6K0.9225.066,7706,235112,26536,050
2015-10-22$9.20$9.0054.5%15.6%30.4%32.2%55.7%5.0%-0.7%759.5K-591.2K-114.6K1.1719.656,7577,906112,42236,419
2015-10-23$9.57$9.0052.5%15.1%32.0%30.1%52.3%5.4%-1.7%920.3K-7.2M-126.8K0.3620.8210,5313,838112,51340,887
2015-10-26$9.49$9.0052.6%15.7%30.5%30.3%54.0%6.0%0.9%997.6K-6.9M-126.5K0.3416.5310,3913,553117,18939,572
2015-10-27$8.05$9.0058.2%17.5%66.6%36.2%61.8%5.4%0.1%290.9K16.4M-75.2K0.8184.3811,7859,491117,16839,638
2015-10-28$8.29$9.0054.3%16.4%67.8%32.0%61.9%4.7%-0.9%316.0K13.8M-92.9K0.4122.0110,3094,273119,14044,537
2015-10-29$8.25$9.0054.7%17.0%67.3%32.4%62.9%4.5%1.3%306.7K15.4M-84.5K0.4113.4610,3764,278119,45144,686
2015-10-30$8.21$9.0055.9%16.5%66.0%33.7%64.7%3.8%-1.1%263.9K16.7M-80.7K0.3628.1211,2424,087119,61244,757