MRVL Options History — November 2015

In November 2015, MRVL traded between $8.39 and $8.90. ATM implied volatility averaged 60.4%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 2.2% (HV 20d: 58.3%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-11-04: Highest Volume — 52,688 contracts
  • 2015-11-06: Largest IV spike — 13.5% change
  • 2015-11-09: Highest IV Rank — 47.4%
  • 2015-11-06: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.66$8.39$8.90$8.39$8.86
Max Pain$8.30$8.00$9.00$9.00$8.50
ATM IV60.4%51.8%68.8%54.4%51.8%
Expected Move17.5%15.7%19.6%16.2%15.7%
HV 20d58.3%25.7%67.3%66.6%27.5%
HV 60d58.9%57.5%59.8%59.1%57.8%
IV Rank38.5%28.6%47.4%32.1%28.6%
IV Percentile86.6%70.2%93.3%82.9%70.2%
Term Structure-1.5%-4.6%2.0%-0.4%-0.6%
VWIV61.0%54.0%67.5%60.0%55.8%
Skew 25d6.8%4.2%11.2%5.1%4.9%
Skew 10d13.4%5.8%27.5%13.7%12.2%
Call IV 25d58.3%50.6%66.0%51.6%50.6%
Put IV 25d65.1%55.4%75.4%56.7%55.4%
Bid-Ask Spread %15.345.9781.5810.827.49
Gamma HHI0.420.330.590.350.45
Net GEX1.1M311.3K1.9M311.3K1.1M
Net DEX-1.7M-12.7M14.1M14.1M-5.3M
Net VEX-121.6K-151.4K-84.5K-84.5K-115.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.081.600.231.04
Total Volume13,842.174152,68820,411955
Total OI185,154.85144,444219,997156,973152,877

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$8.39$9.0054.4%16.2%66.6%32.1%60.0%5.1%-0.4%311.3K14.1M-84.5K0.2310.8216,5273,884115,57141,402
2015-11-03$8.56$9.0053.1%16.2%65.3%30.7%58.9%6.4%0.3%477.7K10.7M-98.1K0.388.2110,4544,019121,89241,520
2015-11-04$8.63$9.0059.4%19.2%65.5%37.5%66.8%7.5%-1.5%642.9K4.4M-111.0K0.1181.5847,6545,034122,40640,291
2015-11-05$8.70$8.0060.6%16.3%65.6%38.7%54.0%6.2%-0.2%1.4M-2.7M-129.8K0.388.9912,7594,786150,36940,993
2015-11-06$8.90$8.0068.7%19.6%66.3%47.4%67.5%10.0%0.3%1.1M-8.9M-143.3K0.0837.2822,9241,819150,53341,042
2015-11-09$8.90$8.0068.8%19.3%66.1%47.4%67.3%6.5%-1.2%1.4M-12.7M-151.4K0.3616.636,6872,412156,63739,618
2015-11-10$8.66$8.0062.8%17.4%66.6%41.1%59.1%6.5%-2.0%1.2M-4.7M-141.8K0.8410.528,2126,901159,83142,042
2015-11-11$8.78$8.0061.6%17.8%66.2%39.8%61.5%6.8%0.7%1.4M-6.2M-138.4K0.8428.758,2336,902162,47942,590
2015-11-12$8.64$8.0065.6%17.8%66.3%44.1%62.5%6.0%-2.8%1.2M-4.1M-140.4K1.1210.145,8056,508168,48944,023
2015-11-13$8.52$8.0065.5%18.3%66.3%43.9%63.3%7.4%-0.8%1.1M146.9K-130.4K1.247.924,9786,156168,51744,345
2015-11-16$8.62$8.0063.7%18.2%66.3%42.0%65.7%6.3%-1.4%1.3M-3.2M-124.6K0.168.484,322692165,86440,682
2015-11-17$8.50$8.0064.5%18.5%65.8%42.9%65.9%8.8%-2.6%1.2M1.5M-117.1K1.6014.214,1986,700168,67641,217
2015-11-18$8.49$8.0064.8%18.6%65.8%43.2%61.7%7.3%-2.9%1.2M2.5M-109.1K1.177.665,0565,916169,16941,807
2015-11-19$8.81$8.0059.6%17.2%67.3%37.7%60.7%6.8%-2.2%1.9M-5.7M-117.7K0.459.5812,7985,710170,19242,509
2015-11-20$8.72$8.0058.2%16.3%65.5%36.2%58.0%11.2%2.0%896.8K-4.7M-124.4K0.9310.295,7995,420177,75142,246
2015-11-23$8.66$9.0058.1%17.3%65.5%36.1%58.0%5.0%-4.6%895.9K-2.5M-115.6K0.107.434,849462114,15730,287
2015-11-24$8.55$8.5057.7%17.4%27.4%35.7%61.4%5.9%-4.4%862.9K-1.8M-115.5K1.596.76286455118,27230,653
2015-11-25$8.49$8.5056.3%16.9%25.7%34.1%56.8%4.2%-3.4%788.2K-343.4K-110.0K0.428.177,4703,114118,42031,065
2015-11-27$8.74$8.5053.7%16.4%27.4%31.4%54.9%6.9%-3.2%986.8K-3.4M-114.6K0.455.976,9073,079121,39531,268
2015-11-30$8.86$8.5051.8%15.7%27.5%28.6%55.8%4.9%-0.6%1.1M-5.3M-115.1K1.047.49469486122,27830,599