MRVL Options History — June 2016

In June 2016, MRVL traded between $9.12 and $10.41. ATM implied volatility averaged 44.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 18.0% (HV 20d: 26.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-06-16: Highest Volume — 32,562 contracts
  • 2016-06-14: Largest IV spike — 8.2% change
  • 2016-06-27: Highest IV Rank — 19.9%
  • 2016-06-27: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.96$9.12$10.41$10.24$9.53
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV44.1%41.3%48.1%46.7%43.5%
Expected Move12.7%12.0%14.9%14.9%12.7%
HV 20d26.1%14.8%44.2%17.1%44.2%
HV 60d37.8%33.4%42.4%37.3%33.5%
IV Rank16.3%13.5%19.9%19.6%14.6%
IV Percentile19.5%7.5%42.1%35.7%12.7%
Term Structure-0.5%-3.0%2.3%-3.0%2.0%
VWIV44.0%34.0%53.8%53.8%42.9%
Skew 25d4.4%2.1%7.1%4.4%4.6%
Skew 10d12.1%-8.4%23.7%16.7%12.5%
Call IV 25d42.3%39.5%45.5%44.3%40.2%
Put IV 25d46.7%43.3%50.2%48.6%44.8%
Bid-Ask Spread %9.065.1315.215.456.59
Gamma HHI0.380.280.470.330.29
Net GEX1.2M311.7K1.9M1.7M589.1K
Net DEX-22.3M-38.1M5.5M-35.9M-5.0M
Net VEX-167.2K-193.3K-124.8K-193.3K-151.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.172.541.150.36
Total Volume8,583.4554,13432,5627,30010,340
Total OI121,751.864116,734146,284117,836129,669

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$10.24$10.0046.7%14.9%17.1%19.6%53.8%4.4%-3.0%1.7M-35.9M-193.3K1.155.453,3923,908100,97016,866
2016-06-02$10.28$10.0045.8%12.3%14.8%18.5%42.6%2.5%-1.3%1.7M-36.8M-192.1K1.4713.512,4033,537101,28217,006
2016-06-03$10.17$10.0044.5%12.0%15.7%17.0%41.9%4.2%-3.0%1.6M-34.1M-188.4K0.826.332,4412,007101,41117,003
2016-06-06$10.01$10.0044.8%12.2%17.1%17.4%42.7%2.1%-2.7%1.6M-29.9M-174.6K0.7314.843,1392,303100,16416,603
2016-06-07$10.10$10.0044.9%12.3%17.0%17.5%43.7%4.2%-1.0%1.6M-31.2M-173.0K0.659.454,0402,63099,90516,829
2016-06-08$10.17$10.0042.5%12.0%17.0%14.8%34.0%4.3%-0.8%1.6M-33.2M-178.9K1.0515.212,2562,371100,38817,750
2016-06-09$10.28$10.0041.3%12.3%17.3%13.5%44.8%3.0%2.3%1.7M-35.1M-176.1K1.158.481,9242,210100,79318,153
2016-06-10$9.86$10.0042.8%12.2%21.9%15.2%42.3%4.7%-0.7%1.5M-24.8M-166.0K0.456.857,4743,345100,89918,215
2016-06-13$9.70$10.0042.3%12.0%22.8%14.6%43.0%4.4%0.1%1.6M-23.1M-161.1K0.786.744,4433,472104,47317,162
2016-06-14$9.90$10.0045.8%13.0%22.8%18.5%44.7%4.6%0.4%1.6M-26.5M-159.1K0.566.666,9043,871100,52117,928
2016-06-15$10.05$10.0045.5%13.0%23.3%18.2%44.1%5.2%-0.7%1.9M-30.4M-161.4K0.676.935,0043,371101,02719,252
2016-06-16$10.30$10.0045.2%13.0%24.7%17.8%44.6%4.0%-2.1%1.9M-38.1M-168.7K2.5411.099,19223,370102,05819,713
2016-06-17$10.00$10.0042.8%12.2%27.0%15.1%46.5%4.4%1.8%712.2K-17.3M-182.9K0.448.088,6323,812106,45439,830
2016-06-20$10.13$10.0042.1%12.0%26.5%14.4%45.8%5.6%1.3%727.5K-20.1M-174.5K1.4813.492,7784,11585,66636,499
2016-06-21$10.10$10.0041.9%12.1%26.5%14.1%43.2%6.0%-0.8%742.7K-19.8M-174.0K0.4311.626,0342,58186,40837,129
2016-06-22$10.23$10.0042.6%12.6%26.8%14.9%41.3%2.1%-0.9%889.7K-23.3M-180.3K1.1611.242,1872,54089,32537,245
2016-06-23$10.41$10.0041.8%12.3%27.4%14.0%40.6%4.1%-1.3%856.8K-26.7M-170.5K0.9610.432,5582,45483,52337,262
2016-06-24$9.82$10.0044.6%13.3%34.5%16.9%46.1%7.1%-0.5%544.2K-9.8M-162.8K0.959.342,5272,40883,90337,302
2016-06-27$9.12$10.0048.1%14.9%43.0%19.9%50.0%5.8%-0.8%311.7K5.5M-125.3K0.546.574,2822,32482,47736,299
2016-06-28$9.21$10.0045.9%13.8%42.8%17.4%45.7%3.4%0.1%371.9K4.3M-124.8K0.675.243,2812,18284,78336,459
2016-06-29$9.42$10.0044.2%13.3%43.9%15.5%43.0%6.1%0.9%419.1K10.9K-138.8K0.175.1312,6632,13185,44536,492
2016-06-30$9.53$10.0043.5%12.7%44.2%14.6%42.9%4.6%2.0%589.1K-5.0M-151.5K0.366.597,6192,72192,93936,730