MRVL Options History — May 2016

In May 2016, MRVL traded between $9.49 and $10.22. ATM implied volatility averaged 50.2%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 18.9% (HV 20d: 31.3%). 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 6 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-05-23: Highest Volume — 14,822 contracts
  • 2016-05-09: Largest IV spike — 12.0% change
  • 2016-05-16: Highest IV Rank — 29.7%
  • 2016-05-16: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.79$9.49$10.22$9.72$10.22
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV50.2%42.9%54.9%50.0%45.3%
Expected Move14.8%13.0%15.8%15.4%14.5%
HV 20d31.3%17.3%57.3%57.3%17.3%
HV 60d39.0%38.0%41.3%41.3%38.1%
IV Rank24.2%15.2%29.7%24.2%17.9%
IV Percentile52.5%15.9%72.6%55.6%27.0%
Term Structure-0.8%-3.3%3.7%-1.7%-1.1%
VWIV51.7%46.0%56.3%50.9%53.5%
Skew 25d3.9%0.6%5.4%3.2%3.7%
Skew 10d9.0%-0.8%19.1%9.2%14.5%
Call IV 25d48.7%41.8%55.1%47.5%43.8%
Put IV 25d52.6%44.8%59.5%50.8%47.5%
Bid-Ask Spread %9.985.3520.116.045.47
Gamma HHI0.380.280.560.280.34
Net GEX1.7M1.2M2.5M1.8M1.6M
Net DEX-29.2M-36.4M-22.4M-29.8M-35.3M
Net VEX-195.0K-209.9K-180.8K-209.3K-193.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.201.300.660.88
Total Volume8,089.4295,69514,8225,6957,965
Total OI144,204.714107,321159,356153,453117,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$9.72$10.0050.0%15.4%57.3%24.2%50.9%3.2%-1.7%1.8M-29.8M-209.3K0.666.043,4322,263129,79223,661
2016-05-03$9.68$10.0049.1%14.9%33.5%23.2%50.7%4.2%-2.0%1.7M-27.1M-208.6K0.655.723,7812,450129,92023,798
2016-05-04$9.49$10.0050.2%15.4%33.9%24.5%51.2%4.5%-2.8%1.5M-22.4M-196.7K0.536.193,8162,033130,28623,915
2016-05-05$9.54$10.0048.2%13.9%34.1%22.2%49.9%4.7%-1.1%1.5M-23.0M-195.0K0.518.493,8921,993130,63423,890
2016-05-06$9.56$10.0047.3%13.5%33.8%21.2%46.7%5.0%-1.1%1.6M-23.8M-193.9K0.449.484,2021,861130,90023,935
2016-05-09$9.66$10.0053.0%15.1%33.1%27.6%53.3%3.7%0.1%1.7M-29.0M-201.3K0.3413.136,8042,285123,97123,002
2016-05-10$9.73$10.0051.9%15.0%33.4%26.4%52.8%5.0%0.9%1.7M-28.6M-195.9K0.2110.5110,5852,270126,48223,950
2016-05-11$9.74$10.0051.5%14.8%33.1%26.0%52.0%3.5%-0.4%1.9M-33.4M-209.9K0.2010.2910,8502,198133,65024,331
2016-05-12$9.53$10.0052.5%14.9%32.7%27.0%52.6%3.8%-0.4%1.7M-27.4M-196.1K0.4510.534,2631,907134,07224,411
2016-05-13$9.51$10.0052.3%15.5%31.8%26.8%54.8%4.5%3.7%1.7M-25.8M-193.3K0.6215.463,5662,203134,71524,486
2016-05-16$9.70$10.0054.9%15.8%31.5%29.7%55.1%5.0%-2.2%2.0M-30.5M-193.5K1.3013.123,2654,236133,70924,094
2016-05-17$9.75$10.0054.3%15.6%31.2%29.0%56.3%2.2%1.2%2.1M-30.3M-191.0K1.3020.113,2684,236133,89624,009
2016-05-18$9.80$10.0053.7%15.4%31.2%28.3%53.5%3.9%1.0%2.5M-32.8M-192.8K0.8814.994,7884,209134,37724,486
2016-05-19$9.73$10.0052.6%15.2%31.2%27.1%54.1%5.4%-0.8%2.5M-26.9M-186.6K0.4910.736,4243,136134,98624,370
2016-05-20$9.93$10.0051.3%14.8%29.6%25.7%51.8%0.6%-1.9%1.2M-26.1M-186.1K0.7513.594,3303,236134,13124,360
2016-05-23$9.93$10.0048.1%14.6%28.8%22.1%50.0%2.8%0.1%1.3M-26.9M-180.8K0.229.8912,1162,70692,58114,740
2016-05-24$10.00$10.0048.8%14.6%28.9%21.9%51.3%4.2%-1.8%1.4M-27.6M-180.8K0.648.254,2162,68593,29115,380
2016-05-25$10.05$10.0049.9%14.5%26.4%23.2%50.2%3.3%-3.3%1.7M-33.8M-195.1K0.666.113,5832,358102,59615,415
2016-05-26$10.14$10.0047.1%13.8%26.0%20.0%49.7%4.3%-2.2%2.0M-36.3M-198.7K0.925.353,9583,636103,25215,602
2016-05-27$10.08$10.0042.9%13.0%19.2%15.2%46.0%3.0%-0.6%1.6M-36.4M-197.5K0.796.114,9563,917104,81617,119
2016-05-31$10.22$10.0045.3%14.5%17.3%17.9%53.5%3.7%-1.1%1.6M-35.3M-193.2K0.885.474,2313,734100,39516,893