MRVL Options History — April 2016

In April 2016, MRVL traded between $9.61 and $10.89. ATM implied volatility averaged 46.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 4.9% (HV 20d: 51.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-04-05: Highest Volume — 52,834 contracts
  • 2016-04-05: Largest IV spike — 8.4% change
  • 2016-04-25: Highest IV Rank — 23.7%
  • 2016-04-29: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.26$9.61$10.89$9.87$9.96
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.6%44.0%49.5%45.2%47.7%
Expected Move13.4%12.0%14.4%14.2%14.4%
HV 20d51.5%28.5%57.5%28.5%57.5%
HV 60d41.8%34.7%43.1%36.6%41.0%
IV Rank20.5%17.6%23.7%18.9%21.7%
IV Percentile43.9%32.5%54.4%41.3%47.6%
Term Structure-0.4%-3.6%1.9%-2.2%-1.3%
VWIV46.8%43.9%51.8%51.8%48.5%
Skew 25d4.8%2.4%7.5%2.4%3.6%
Skew 10d10.3%-2.0%21.9%5.2%-2.0%
Call IV 25d45.2%43.3%48.6%45.1%46.7%
Put IV 25d50.0%47.4%54.4%47.5%50.4%
Bid-Ask Spread %12.655.2998.2198.216.61
Gamma HHI0.330.250.540.540.27
Net GEX1.8M1.3M2.4M1.5M2.1M
Net DEX-43.9M-63.7M-20.2M-24.9M-34.5M
Net VEX-212.4K-247.5K-121.3K-131.6K-227.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.113.301.970.89
Total Volume9,771.9053,64952,8346,3516,964
Total OI135,191.38191,426156,04093,295156,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$9.87$10.0045.2%14.2%28.5%18.9%51.8%2.4%-2.2%1.5M-24.9M-131.6K1.9798.212,1414,21075,84617,449
2016-04-04$9.61$10.0045.2%12.0%30.0%18.9%44.9%3.8%-1.1%1.4M-20.2M-121.3K1.3510.642,3883,23474,86816,558
2016-04-05$10.89$10.0049.0%14.1%52.5%23.2%49.5%5.8%1.5%1.3M-49.7M-131.6K0.1611.0545,3667,46875,73217,835
2016-04-06$10.83$10.0047.7%13.1%51.2%21.7%47.3%7.5%-1.8%1.9M-62.8M-236.4K1.1110.703,2343,605111,59422,102
2016-04-07$10.70$10.0047.1%13.1%51.5%21.0%46.2%4.3%1.9%1.9M-60.8M-239.3K0.989.882,5252,472112,44323,144
2016-04-08$10.50$10.0046.4%13.8%52.0%20.2%46.1%6.3%1.0%2.0M-54.8M-234.3K0.898.762,5582,281112,46223,198
2016-04-11$10.70$10.0046.6%13.2%51.7%20.4%46.7%2.7%-0.5%2.0M-61.2M-224.9K0.749.072,1001,549111,32022,262
2016-04-12$10.66$10.0046.0%12.8%51.7%19.8%45.0%5.5%-1.1%2.0M-59.9M-223.7K0.946.252,4742,335111,33022,377
2016-04-13$10.76$10.0044.0%12.9%51.7%17.6%43.9%5.0%1.2%2.0M-63.7M-224.2K0.225.298,9851,956111,57123,222
2016-04-14$10.47$10.0045.0%13.3%52.6%18.7%46.6%5.2%1.5%2.1M-55.4M-230.5K3.308.242,6218,642118,67023,396
2016-04-15$10.21$10.0046.7%12.7%53.4%20.6%44.5%6.3%-3.6%1.7M-46.8M-225.4K1.1511.043,1543,625119,13829,314
2016-04-18$9.94$10.0045.5%12.8%54.0%19.3%44.6%4.9%1.3%1.3M-29.1M-215.3K0.649.046,4264,092110,22630,212
2016-04-19$9.80$10.0046.7%13.4%53.9%20.6%48.4%4.9%-0.7%1.4M-25.2M-207.9K1.127.702,5422,853109,20927,893
2016-04-20$9.87$10.0046.5%13.3%54.0%20.3%46.3%3.6%0.8%1.5M-27.4M-212.6K0.897.572,5082,227109,88128,931
2016-04-21$9.82$10.0046.9%13.4%53.9%20.8%46.9%5.3%0.1%1.5M-25.5M-205.4K0.728.712,7321,980110,34428,987
2016-04-22$10.16$10.0047.5%13.7%55.4%21.4%44.9%5.3%-0.1%1.5M-43.2M-219.9K0.117.7626,0712,815111,26929,305
2016-04-25$9.97$10.0049.5%13.9%55.8%23.7%48.6%4.5%-1.9%1.8M-36.5M-229.7K0.597.034,2622,506125,67424,562
2016-04-26$9.98$10.0047.0%13.7%55.5%20.9%48.3%4.6%-0.9%1.8M-37.3M-230.5K1.027.022,6812,722127,48625,056
2016-04-27$10.31$10.0046.1%13.3%56.8%19.9%47.2%4.3%-1.9%2.2M-47.7M-241.5K0.565.904,3572,429127,60025,504
2016-04-28$10.46$10.0046.2%13.7%57.1%20.0%46.4%4.4%-0.7%2.4M-55.6M-247.5K0.629.223,7812,339129,24125,768
2016-04-29$9.96$10.0047.7%14.4%57.5%21.7%48.5%3.6%-1.3%2.1M-34.5M-227.6K0.896.613,6773,287129,92526,115