MRVL Options History — February 2016

In February 2016, MRVL traded between $8.42 and $9.58. ATM implied volatility averaged 53.7%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 9.5% (HV 20d: 44.1%). 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 0.71.

Notable Days

  • 2016-02-04: Highest Volume — 38,868 contracts
  • 2016-02-22: Largest IV drop — 12.1% change
  • 2016-02-09: Highest IV Rank — 38.2%
  • 2016-02-03: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.09$8.42$9.58$8.97$9.58
Max Pain$8.38$8.00$9.00$8.50$9.00
ATM IV53.7%46.3%62.6%49.9%46.3%
Expected Move15.7%13.9%17.7%14.8%14.4%
HV 20d44.1%40.9%47.3%41.1%43.4%
HV 60d42.0%38.8%43.5%38.8%41.0%
IV Rank28.3%20.1%38.2%24.1%20.1%
IV Percentile69.8%48.4%88.9%61.5%48.4%
Term Structure-1.7%-7.8%5.8%0.8%-0.7%
VWIV56.0%51.1%61.7%51.1%54.9%
Skew 25d6.2%3.6%8.0%8.0%5.4%
Skew 10d13.6%5.1%25.4%19.5%10.1%
Call IV 25d51.0%44.3%56.7%46.2%44.3%
Put IV 25d57.2%49.7%64.5%54.2%49.7%
Bid-Ask Spread %19.815.0089.1589.156.67
Gamma HHI0.480.400.640.460.64
Net GEX904.3K557.2K1.3M656.7K919.7K
Net DEX-19.2M-27.6M-9.7M-11.8M-22.2M
Net VEX-112.0K-125.7K-75.6K-78.2K-116.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.091.120.790.34
Total Volume8,260.34,28738,8684,2876,996
Total OI80,583.7560,59397,05560,59371,126

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$8.97$8.5049.9%14.8%41.1%24.1%51.1%8.0%0.8%656.7K-11.8M-78.2K0.7989.152,3931,89448,28712,306
2016-02-02$8.65$8.5055.3%17.3%43.2%30.1%60.1%3.6%3.4%557.2K-9.7M-75.6K0.2082.5610,0442,01748,83912,549
2016-02-03$9.19$8.5055.7%17.7%47.3%30.5%61.7%6.0%-0.2%835.8K-18.1M-87.9K0.7383.794,5793,32154,27812,874
2016-02-04$9.30$8.0053.2%15.4%40.9%27.8%51.7%6.1%-1.7%868.5K-19.8M-90.7K0.098.0135,6763,19255,85713,957
2016-02-05$8.95$8.0055.7%15.4%43.9%30.5%53.9%7.7%-2.5%975.1K-21.8M-125.7K1.1211.943,0343,39375,33414,264
2016-02-08$8.87$8.0059.3%16.5%44.1%34.6%58.4%6.0%-1.9%938.0K-18.6M-120.5K0.7310.233,3752,45773,57014,408
2016-02-09$8.71$8.0062.6%16.1%44.6%38.2%56.3%7.8%-7.6%861.3K-17.1M-115.1K0.589.365,0922,95373,34314,538
2016-02-10$8.58$8.0057.1%16.2%44.5%32.1%55.5%6.7%0.1%854.5K-15.2M-117.5K0.559.635,2942,90976,49815,179
2016-02-11$8.42$8.0057.8%17.7%44.0%32.9%59.1%6.3%5.8%764.5K-12.2M-110.6K0.718.205,1023,60077,08715,227
2016-02-12$8.63$8.0055.8%15.9%44.7%30.6%56.7%5.7%-0.5%854.8K-15.0M-120.4K1.057.632,4582,58279,60316,035
2016-02-16$9.10$8.0055.8%16.0%46.7%30.7%56.0%5.7%-1.6%1.2M-21.8M-120.0K1.095.922,3782,59677,02315,874
2016-02-17$9.30$8.0057.5%16.5%44.0%32.6%56.2%7.1%-4.7%1.3M-25.6M-124.6K0.6512.154,0362,63577,68316,263
2016-02-18$9.35$8.0056.5%16.5%44.0%31.5%59.5%7.2%-7.8%1.3M-27.6M-125.4K1.059.572,8593,00078,94616,920
2016-02-19$9.18$8.0053.4%15.8%44.6%28.1%53.4%6.1%-4.7%745.4K-25.1M-118.2K0.515.017,0003,55279,69117,364
2016-02-22$9.30$9.0047.0%13.9%44.6%20.9%51.9%5.5%-1.9%853.0K-18.6M-116.6K0.925.002,5752,36857,81311,956
2016-02-23$9.26$9.0047.6%14.5%44.6%21.6%54.2%5.7%-1.3%838.7K-18.1M-116.2K0.667.123,5312,34258,06312,611
2016-02-24$9.46$9.0048.7%14.6%44.7%22.8%55.3%5.3%-2.9%899.6K-20.9M-119.1K0.887.502,4082,12658,35313,261
2016-02-25$9.53$9.0049.4%14.7%44.0%23.6%58.0%6.6%-1.5%941.9K-21.9M-120.8K0.808.342,4181,93358,69113,559
2016-02-26$9.54$9.0049.0%14.6%43.8%23.2%55.2%4.8%-1.9%842.9K-22.7M-119.8K0.688.513,0262,06258,69913,746
2016-02-29$9.58$9.0046.3%14.4%43.4%20.1%54.9%5.4%-0.7%919.7K-22.2M-116.9K0.346.675,2151,78157,63213,494