MRVL Options History — July 2016

In July 2016, MRVL traded between $9.39 and $11.89. ATM implied volatility averaged 43.1%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 4.7% (HV 20d: 47.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-07-18: Highest Volume — 28,869 contracts
  • 2016-07-19: Largest IV drop — 12.2% change
  • 2016-07-07: Highest IV Rank — 18.0%
  • 2016-07-12: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.54$9.39$11.89$9.54$11.75
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV43.1%32.5%48.9%43.6%32.5%
Expected Move12.4%9.2%14.1%13.4%9.2%
HV 20d47.7%40.5%61.4%44.1%49.1%
HV 60d36.1%32.4%41.2%33.4%39.5%
IV Rank8.8%0.0%18.0%14.7%0.0%
IV Percentile17.0%0.0%45.2%13.1%0.0%
Term Structure-0.1%-3.3%4.8%-0.3%0.2%
VWIV43.9%35.4%49.7%42.0%35.4%
Skew 25d2.9%-0.9%5.9%3.6%0.8%
Skew 10d5.6%-15.2%31.4%9.1%-5.2%
Call IV 25d43.0%35.2%49.9%41.0%35.2%
Put IV 25d45.8%36.0%52.0%44.6%36.0%
Bid-Ask Spread %47.566.1289.397.4974.11
Gamma HHI0.290.250.410.280.28
Net GEX1.3M-379.1K2.5M631.7K2.0M
Net DEX-44.9M-98.3M2.7M-5.5M-93.2M
Net VEX-162.1K-190.0K-139.0K-148.1K-160.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.133.313.311.04
Total Volume14,915.556,74928,86916,6777,551
Total OI136,839.6599,807144,330130,934143,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$9.54$10.0043.6%13.4%44.1%14.7%42.0%3.6%-0.3%631.7K-5.5M-148.1K3.317.493,86812,80993,50437,430
2016-07-05$9.39$10.0046.0%12.8%44.1%17.5%44.4%3.5%-1.6%366.2K2.7M-147.0K2.386.125,39512,82392,31347,260
2016-07-06$9.44$10.0045.8%12.7%44.0%17.3%43.8%5.9%-1.3%342.3K1.8M-147.4K0.7513.154,5863,41992,47347,333
2016-07-07$9.76$10.0046.8%13.1%45.8%18.0%45.2%4.2%-2.0%347.1K-7.8M-156.5K0.4981.486,6843,29993,08447,895
2016-07-08$9.98$10.0046.1%13.2%46.4%17.3%46.2%4.3%-1.4%510.7K-17.7M-166.3K0.4033.816,4082,59495,39647,927
2016-07-11$9.99$10.0046.6%12.8%43.9%17.9%45.6%2.4%-3.3%353.2K-19.8M-161.0K0.5622.264,3972,48195,21147,361
2016-07-12$10.06$10.0047.3%14.1%43.5%14.6%49.7%1.7%1.9%459.5K-23.5M-160.7K1.3838.059,39612,98096,76647,564
2016-07-13$10.02$10.0044.4%13.8%42.9%10.9%49.4%3.5%4.8%363.2K-24.6M-153.5K0.7620.173,8342,915101,28238,784
2016-07-14$10.09$10.0046.2%14.0%42.7%12.5%45.9%4.4%3.3%-379.1K-30.3M-150.2K0.9122.254,2983,897101,38838,810
2016-07-15$10.01$10.0046.3%13.7%41.8%12.5%47.6%4.4%1.8%1.4M-28.3M-139.0K0.3389.3910,6483,534102,44938,729
2016-07-18$10.07$10.0048.9%13.9%40.5%11.8%48.2%2.1%-1.9%1.5M-28.0M-141.8K0.1345.3725,6343,23585,87613,931
2016-07-19$9.85$10.0043.0%12.2%40.9%4.2%43.0%3.1%1.3%2.0M-29.4M-160.3K0.5247.3012,4276,436107,91914,608
2016-07-20$11.16$10.0039.8%11.4%60.7%0.2%40.4%0.7%1.9%2.5M-73.1M-182.5K0.7676.1113,63110,347110,99617,467
2016-07-21$11.26$10.0041.1%11.8%60.6%1.6%41.8%0.1%-1.1%2.4M-76.6M-190.0K1.0982.344,5885,016115,31624,199
2016-07-22$11.66$10.0040.4%11.6%61.4%0.7%42.9%-0.9%-0.9%2.1M-90.4M-183.5K0.3283.1618,1385,834116,53024,405
2016-07-25$11.53$10.0041.1%11.6%57.0%1.7%41.7%3.6%-2.8%2.3M-83.4M-184.2K0.4512.5116,0117,139114,75422,416
2016-07-26$11.68$10.0041.5%12.1%48.1%2.1%46.5%4.8%-0.0%2.1M-86.7M-180.3K0.5480.1813,6417,408114,53724,812
2016-07-27$11.64$10.0038.9%11.5%48.4%0.0%41.7%3.2%-0.6%2.2M-86.4M-174.0K0.8034.156,4595,192115,12925,531
2016-07-28$11.89$10.0034.7%9.7%48.4%0.0%36.5%2.1%-0.6%2.2M-98.3M-155.0K0.7481.695,3733,986116,23126,141
2016-07-29$11.75$10.0032.5%9.2%49.1%0.0%35.4%0.8%0.2%2.0M-93.2M-160.7K1.0474.113,6993,852116,22426,812