MRVL Options History — March 2016

In March 2016, MRVL traded between $9.74 and $10.50. ATM implied volatility averaged 45.6%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 17.1% (HV 20d: 28.6%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-03-04: Highest Volume — 13,210 contracts
  • 2016-03-07: Largest IV spike — 9.2% change
  • 2016-03-14: Highest IV Rank — 26.0%
  • 2016-03-14: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.16$9.74$10.50$9.74$10.33
Max Pain$9.91$9.00$10.00$9.00$10.00
ATM IV45.6%41.7%51.6%45.7%43.8%
Expected Move13.3%12.0%15.0%14.1%14.1%
HV 20d28.6%23.5%40.7%40.7%23.5%
HV 60d37.3%35.7%41.1%41.1%35.7%
IV Rank19.4%15.0%26.0%19.5%17.4%
IV Percentile43.1%31.0%58.7%46.0%35.3%
Term Structure-1.6%-4.1%1.8%-1.7%-1.1%
VWIV47.1%43.0%53.8%53.8%51.2%
Skew 25d4.8%3.0%8.2%5.0%4.4%
Skew 10d16.9%3.3%34.1%10.2%18.6%
Call IV 25d44.9%41.1%50.1%43.5%43.7%
Put IV 25d49.7%46.0%56.1%48.5%48.1%
Bid-Ask Spread %14.816.0834.446.0815.57
Gamma HHI0.650.490.760.660.49
Net GEX1.4M1.0M1.7M1.0M1.6M
Net DEX-36.5M-49.2M-25.6M-25.6M-38.4M
Net VEX-134.6K-144.3K-124.8K-124.8K-134.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.192.450.902.45
Total Volume7,163.4553,03413,2103,9786,205
Total OI87,349.59174,64398,37874,64389,673

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$9.74$9.0045.7%14.1%40.7%19.5%53.8%5.0%-1.7%1.0M-25.6M-124.8K0.906.082,0891,88960,95413,689
2016-03-02$9.94$9.0044.4%13.2%38.1%18.0%50.7%4.6%-0.9%1.1M-29.1M-125.6K1.187.272,6103,07761,47813,951
2016-03-03$9.80$10.0044.8%12.6%33.1%18.4%44.2%5.1%-1.0%1.1M-26.2M-126.4K0.3210.009,0572,90262,22015,152
2016-03-04$9.77$10.0043.2%12.0%33.0%16.6%43.0%4.4%-0.8%1.2M-28.6M-134.0K0.2711.4510,4432,76769,11315,217
2016-03-07$10.15$10.0047.1%12.8%31.6%21.0%43.9%6.1%-1.9%1.3M-36.3M-136.1K0.2015.0010,3202,03469,77114,845
2016-03-08$9.86$10.0046.4%12.7%33.6%20.2%43.8%4.9%-2.1%1.4M-32.3M-134.9K0.2015.189,2111,88271,88915,290
2016-03-09$9.87$10.0046.2%13.1%32.5%20.0%44.3%4.9%-0.6%1.4M-31.9M-136.2K0.2316.498,9172,09572,87015,447
2016-03-10$10.01$10.0045.3%12.9%31.6%19.0%44.3%4.0%0.2%1.5M-34.8M-135.5K0.2016.589,8071,97773,00315,671
2016-03-11$10.26$10.0048.4%14.1%30.5%22.4%49.2%4.8%1.8%1.4M-41.9M-136.3K0.1916.3310,1751,95774,12416,126
2016-03-14$10.28$10.0051.6%15.0%30.1%26.0%52.6%6.0%-4.1%1.5M-44.3M-144.3K0.9710.262,4892,40880,04315,902
2016-03-15$10.21$10.0050.4%14.4%25.6%24.6%50.8%5.4%-3.8%1.6M-43.3M-143.2K0.9512.812,8872,73580,30317,166
2016-03-16$10.34$10.0050.0%14.3%25.1%24.3%48.5%8.2%-3.9%1.7M-46.4M-140.5K1.0918.792,4662,69680,75617,136
2016-03-17$10.28$10.0048.9%14.2%25.4%23.0%48.7%4.5%-3.9%1.6M-44.1M-139.7K1.2017.472,2532,69680,91917,249
2016-03-18$10.38$10.0045.9%13.4%23.9%19.7%46.4%6.4%-3.6%1.2M-49.2M-136.6K0.5111.083,9492,02880,99217,386
2016-03-21$10.50$10.0042.0%12.1%23.8%15.4%43.6%3.9%-1.4%1.3M-37.8M-135.0K0.5113.033,9282,02068,10413,020
2016-03-22$10.42$10.0041.7%12.2%24.1%15.0%43.1%3.2%-1.0%1.5M-37.4M-134.3K1.1011.321,5221,66770,87813,591
2016-03-23$10.30$10.0042.1%12.0%24.1%15.5%43.1%5.8%-0.4%1.5M-35.0M-133.9K1.028.821,4991,53571,00613,816
2016-03-24$10.22$10.0044.2%13.0%24.4%17.8%45.6%3.0%-2.1%1.3M-33.4M-132.7K1.6834.441,2162,04370,74513,861
2016-03-28$10.18$10.0043.9%13.9%24.6%17.5%48.1%4.3%-0.5%1.3M-32.4M-127.7K0.3128.966,4471,98468,49413,722
2016-03-29$10.32$10.0043.4%13.6%24.8%16.9%49.2%4.1%-1.2%1.5M-37.5M-135.3K0.7717.432,1271,63973,93013,892
2016-03-30$10.33$10.0044.2%13.2%24.4%17.8%48.7%3.0%-1.0%1.5M-38.2M-134.2K0.9811.381,9981,95074,27914,018
2016-03-31$10.33$10.0043.8%14.1%23.5%17.4%51.2%4.4%-1.1%1.6M-38.4M-134.2K2.4515.571,8014,40475,36314,310