MRVL Options History — August 2016

In August 2016, MRVL traded between $11.28 and $12.44. ATM implied volatility averaged 37.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.5% (HV 20d: 40.0%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-08-15: Highest Volume — 34,327 contracts
  • 2016-08-19: Largest IV spike — 37.2% change
  • 2016-08-19: Highest IV Rank — 20.1%
  • 2016-08-31: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.80$11.28$12.44$11.86$12.43
Max Pain$10.09$10.00$11.00$10.00$11.00
ATM IV37.4%32.9%49.7%32.9%40.9%
Expected Move10.8%8.5%13.3%9.1%13.3%
HV 20d40.0%23.4%52.0%49.0%23.4%
HV 60d41.0%39.5%42.0%39.5%41.7%
IV Rank5.8%0.4%20.1%0.4%9.9%
IV Percentile6.6%0.4%53.2%0.4%10.3%
Term Structure3.1%-1.7%63.7%4.2%-1.2%
VWIV38.8%30.8%47.0%31.7%47.0%
Skew 25d3.1%-1.1%4.9%3.1%3.6%
Skew 10d5.9%-45.7%23.4%-4.9%8.7%
Call IV 25d38.3%35.2%50.1%40.1%39.0%
Put IV 25d41.4%37.2%53.3%43.2%42.5%
Bid-Ask Spread %29.656.39132.6860.7869.20
Gamma HHI0.290.180.470.290.19
Net GEX1.6M406.3K2.7M1.9M1.0M
Net DEX-66.1M-96.8M-31.1M-95.2M-35.2M
Net VEX-122.0K-157.2K-88.1K-149.2K-138.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.093.050.870.39
Total Volume7,87286634,3276,7508,025
Total OI112,154.69654,891139,651137,10678,743

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$11.86$10.0032.9%9.1%49.0%0.4%31.7%3.1%4.2%1.9M-95.2M-149.2K0.8760.783,6013,149112,21724,889
2016-08-02$11.38$10.0034.1%9.1%51.6%1.9%32.8%4.8%2.8%2.5M-80.9M-157.2K0.6621.214,4542,944113,02725,268
2016-08-03$11.28$10.0034.0%8.5%52.0%1.7%30.8%-1.1%2.7%2.7M-76.9M-157.0K0.6215.024,2242,624112,57325,825
2016-08-04$11.43$10.0034.3%10.5%51.2%2.1%35.8%4.8%3.3%2.4M-80.5M-154.1K0.8421.273,1802,683113,01325,890
2016-08-05$11.41$10.0035.1%10.2%51.0%3.1%35.1%0.1%0.8%2.5M-82.3M-148.4K1.0820.602,6232,821113,66125,990
2016-08-08$11.41$10.0035.2%10.4%51.1%3.2%37.1%3.1%0.9%2.5M-79.5M-136.2K1.0912.212,2162,426108,43025,343
2016-08-09$11.60$10.0035.7%10.0%51.2%3.7%38.1%3.2%-1.7%2.1M-85.8M-130.3K1.0777.242,1292,276108,52125,560
2016-08-10$11.46$10.0036.7%10.4%51.5%4.9%36.9%4.2%0.4%2.4M-82.6M-129.4K1.1022.241,9412,126108,81625,566
2016-08-11$11.42$10.0037.1%10.9%51.6%5.4%38.0%3.3%1.2%2.6M-79.8M-130.5K3.0524.881,6114,915108,99125,632
2016-08-12$11.39$10.0036.9%10.8%51.5%5.2%37.2%3.8%1.3%2.6M-80.8M-126.7K1.5214.061,7512,653109,09928,445
2016-08-15$11.69$10.0036.7%10.4%51.9%4.9%38.2%4.5%-0.7%2.0M-86.2M-124.0K0.0914.0131,5652,762109,04228,556
2016-08-16$11.54$10.0037.5%10.7%51.3%5.8%38.2%3.5%0.6%1.9M-80.9M-94.0K0.2115.9513,8672,936100,38428,821
2016-08-17$11.61$10.0036.4%10.4%27.0%4.5%37.7%4.9%0.4%1.3M-84.1M-90.4K0.8427.17470396100,55729,168
2016-08-18$11.65$10.0036.2%10.4%26.9%4.4%36.4%3.6%-0.0%859.6K-85.7M-88.5K0.3712.461,395522100,60029,394
2016-08-19$12.16$10.0049.7%9.2%28.3%20.1%45.1%3.3%63.7%406.3K-96.8M-88.1K0.65132.684,0682,633101,33629,775
2016-08-22$12.44$10.0038.8%11.6%28.7%7.4%40.8%3.0%-0.5%482.5K-31.1M-91.7K0.1518.5914,0622,04142,07112,820
2016-08-23$12.17$10.0038.7%11.7%29.9%7.3%42.0%1.3%-1.5%852.0K-33.0M-104.8K0.446.395,2872,33552,44313,909
2016-08-24$12.11$10.0039.4%11.7%29.9%8.1%41.2%1.6%-1.3%827.7K-31.9M-106.7K0.338.602,89095953,90714,556
2016-08-25$12.17$10.0038.7%11.8%29.1%7.2%41.3%3.7%-0.8%811.6K-33.2M-109.3K1.339.072,5033,31855,41115,347
2016-08-26$12.28$10.0038.3%11.7%28.8%6.8%42.7%3.5%-0.8%748.9K-34.6M-114.4K0.5156.034,3592,24055,96516,789
2016-08-29$12.29$10.0039.5%12.6%28.7%8.2%44.1%1.7%-1.5%830.7K-31.6M-115.4K0.4612.344,5102,05253,52416,170
2016-08-30$12.29$11.0038.2%12.4%23.8%6.6%44.7%3.6%-0.8%899.2K-32.3M-120.9K0.589.886,0403,47456,67816,836
2016-08-31$12.43$11.0040.9%13.3%23.4%9.9%47.0%3.6%-1.2%1.0M-35.2M-138.4K0.3969.205,7922,23359,69719,046