MRVL Options History — December 2015

In December 2015, MRVL traded between $8.01 and $9.53. ATM implied volatility averaged 50.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 6.6% (HV 20d: 43.9%). Max pain ranged from $8.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-12-04: Highest Volume — 18,450 contracts
  • 2015-12-16: Largest IV drop — 10.6% change
  • 2015-12-14: Highest IV Rank — 33.4%
  • 2015-12-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.73$8.01$9.53$9.38$8.82
Max Pain$9.86$8.50$10.00$8.50$10.00
ATM IV50.5%43.4%57.9%51.8%43.4%
Expected Move14.9%12.6%17.1%17.1%12.9%
HV 20d43.9%32.7%48.8%32.9%42.4%
HV 60d51.2%47.8%59.4%59.0%48.5%
IV Rank25.7%17.3%33.4%28.4%17.3%
IV Percentile67.7%53.6%82.9%70.2%53.6%
Term Structure0.3%-2.8%5.7%1.5%0.4%
VWIV52.9%44.4%60.9%60.9%44.4%
Skew 25d4.3%2.8%6.3%6.3%3.2%
Skew 10d11.9%1.5%25.9%12.6%8.5%
Call IV 25d50.0%43.9%58.1%50.8%44.0%
Put IV 25d54.4%47.2%63.1%57.0%47.2%
Bid-Ask Spread %12.955.8236.1610.1618.04
Gamma HHI0.470.320.580.550.52
Net GEX1.1M494.3K1.9M1.6M1.1M
Net DEX-4.7M-22.4M6.0M-16.6M-4.6M
Net VEX-119.1K-141.2K-101.0K-131.3K-104.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.111.160.110.74
Total Volume11,427.6364,90118,45014,0647,779
Total OI162,339.136150,801175,736153,650151,946

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$9.38$8.5051.8%17.1%32.9%28.4%60.9%6.3%1.5%1.6M-16.6M-131.3K0.1110.1612,6391,425122,62631,024
2015-12-02$9.53$8.5052.5%16.9%32.7%29.1%60.1%5.3%-2.1%1.9M-22.4M-141.0K0.265.8212,8513,299129,63731,808
2015-12-03$9.12$10.0053.7%15.8%37.1%30.4%57.0%5.0%-0.4%1.5M-13.1M-133.0K1.168.536,0316,997130,14932,152
2015-12-04$9.20$10.0053.3%15.4%37.1%29.9%55.7%3.4%-2.6%1.4M-15.8M-140.4K0.569.7211,8046,646132,13033,092
2015-12-07$9.09$10.0051.8%15.4%36.6%28.4%52.3%3.8%2.3%1.5M-13.6M-141.2K0.7011.162,8892,012128,84030,941
2015-12-08$8.43$10.0052.8%16.4%45.6%28.9%56.2%3.2%5.7%982.2K-1.2M-119.5K0.948.578,7848,243130,56631,707
2015-12-09$8.28$10.0055.0%16.3%45.1%30.3%57.6%4.5%0.6%716.4K4.2M-111.0K0.769.557,6795,844133,56535,327
2015-12-10$8.40$10.0053.3%15.7%45.1%28.4%56.8%4.4%2.0%784.7K2.0M-121.0K0.538.518,4114,488134,86336,903
2015-12-11$8.21$10.0056.8%16.2%45.4%32.3%56.9%4.0%-0.8%673.0K3.6M-118.0K0.607.937,2604,371136,26237,295
2015-12-14$8.01$10.0057.9%16.6%45.9%33.4%58.5%5.0%-2.8%542.1K6.0M-111.1K0.697.696,6544,594136,78037,866
2015-12-15$8.24$10.0056.6%16.3%47.0%32.1%58.7%4.8%-2.4%606.4K3.7M-115.6K0.5911.296,2353,661137,26438,042
2015-12-16$8.55$10.0050.7%14.5%48.8%25.5%53.2%4.7%0.3%798.4K-930.9K-122.3K0.6436.166,1143,894137,19337,921
2015-12-17$8.49$10.0050.1%14.4%48.8%24.9%49.0%3.4%0.7%494.3K762.1K-118.3K0.549.756,8683,692137,36838,184
2015-12-18$8.56$10.0048.8%14.1%47.0%23.5%50.5%5.2%-0.8%888.4K-1.6M-117.8K0.596.496,5913,862137,47138,265
2015-12-21$8.52$10.0048.3%14.4%46.9%22.9%50.5%5.0%1.4%841.8K-372.4K-109.9K0.4812.446,2673,004121,54832,045
2015-12-22$8.68$10.0047.9%13.9%47.3%22.5%48.9%4.4%-0.3%994.5K-3.6M-113.4K0.5015.646,1913,100121,79530,544
2015-12-23$8.94$10.0045.4%12.9%48.2%19.7%48.0%3.9%-0.2%1.2M-6.7M-116.6K0.5115.896,7983,486121,88030,416
2015-12-24$9.02$10.0045.9%12.6%48.1%20.0%47.0%3.5%-0.3%1.3M-9.8M-120.1K0.5215.496,5053,361122,06830,769
2015-12-28$8.89$10.0046.0%13.3%47.5%20.2%50.5%5.7%1.2%1.0M-3.0M-102.4K0.4417.706,0962,679121,15629,645
2015-12-29$8.96$10.0045.1%13.0%47.3%19.1%44.7%2.8%1.6%1.3M-7.2M-109.8K0.2824.5311,4393,239121,18529,694
2015-12-30$8.77$10.0044.5%13.2%42.9%18.5%45.6%3.9%1.3%1.1M-3.4M-101.0K0.7213.924,4253,201121,40530,124
2015-12-31$8.82$10.0043.4%12.9%42.4%17.3%44.4%3.2%0.4%1.1M-4.6M-104.6K0.7418.044,4833,296121,48030,466