MRVL Options History — September 2016

In September 2016, MRVL traded between $12.27 and $13.29. ATM implied volatility averaged 36.2%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 10.2% (HV 20d: 26.0%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-09-02: Highest Volume — 28,227 contracts
  • 2016-09-06: Largest IV drop — 20.2% change
  • 2016-09-30: Highest IV Rank — 14.5%
  • 2016-09-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.80$12.27$13.29$12.86$13.29
Max Pain$12.81$11.00$13.00$11.00$13.00
ATM IV36.2%33.3%43.0%42.1%37.8%
Expected Move10.8%9.7%14.7%13.9%10.9%
HV 20d26.0%22.8%28.7%25.5%22.8%
HV 60d39.0%35.2%42.1%42.1%35.2%
IV Rank8.1%0.9%14.5%11.2%14.5%
IV Percentile6.9%0.8%18.3%13.9%13.5%
Term Structure0.3%-1.8%3.1%-1.8%0.3%
VWIV37.6%34.3%52.1%49.2%38.1%
Skew 25d2.1%-3.3%5.8%4.1%0.1%
Skew 10d8.2%-15.5%29.9%10.7%1.4%
Call IV 25d35.5%32.3%44.5%41.7%37.4%
Put IV 25d37.6%34.1%45.8%45.8%37.5%
Bid-Ask Spread %35.784.7178.3378.3337.42
Gamma HHI0.320.210.660.280.24
Net GEX1.0M597.1K2.8M1.3M1.1M
Net DEX-28.6M-50.8M-18.5M-43.9M-37.1M
Net VEX-156.3K-191.5K-143.6K-143.6K-191.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.101.740.210.18
Total Volume9,254.3813,98828,22715,44814,384
Total OI81,147.14362,66698,34882,35080,670

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$12.86$11.0042.1%13.9%25.5%11.2%49.2%4.1%-1.8%1.3M-43.9M-143.6K0.2178.3312,8172,63162,39919,951
2016-09-02$12.96$11.0043.0%14.7%25.3%12.2%52.1%0.7%-1.5%2.8M-50.8M-146.8K0.7869.4715,81912,40868,73021,183
2016-09-06$12.78$13.0034.3%10.1%26.2%2.1%36.0%0.0%0.8%1.2M-34.5M-167.6K1.586.077,95412,53164,13830,330
2016-09-07$12.60$13.0033.4%9.8%26.8%1.1%34.3%1.3%0.5%1.1M-28.7M-164.2K1.7449.493,0315,27165,70432,405
2016-09-08$12.60$13.0033.3%9.7%26.2%0.9%34.4%2.1%0.2%1.2M-29.5M-160.6K0.665.874,1722,76465,65931,260
2016-09-09$12.27$13.0033.3%10.2%28.3%0.9%35.5%1.8%0.3%861.1K-19.5M-157.5K1.095.494,2274,59666,44731,901
2016-09-12$12.49$13.0034.6%10.4%28.7%2.5%36.0%2.8%1.9%1.1M-25.7M-154.9K0.8410.993,4072,85562,94728,376
2016-09-13$12.43$13.0035.0%10.4%27.7%6.9%36.2%2.8%1.1%883.9K-22.9M-154.9K0.866.792,9342,52264,00528,559
2016-09-14$12.43$13.0035.3%10.5%27.1%7.7%36.0%-3.3%1.9%770.8K-23.4M-152.3K0.736.303,0532,23064,34428,778
2016-09-15$12.56$13.0036.6%10.7%27.2%11.3%37.3%1.6%0.9%702.4K-27.4M-151.8K0.7019.473,3402,34464,17328,946
2016-09-16$12.80$13.0035.3%10.7%27.7%7.8%37.2%5.8%3.1%621.9K-33.4M-153.1K0.5665.224,1402,33864,42528,943
2016-09-19$12.94$13.0037.6%10.8%23.9%14.0%38.9%3.1%-0.3%655.6K-22.9M-150.8K0.654.713,4292,21845,76117,759
2016-09-20$12.59$13.0037.8%10.8%25.0%14.5%38.3%2.4%0.3%597.1K-18.5M-147.8K0.6646.313,2332,12545,93218,148
2016-09-21$12.93$13.0036.3%10.4%25.2%10.6%36.3%1.9%-0.4%704.1K-23.1M-149.3K0.9049.722,3732,13446,42618,350
2016-09-22$12.97$13.0035.5%10.2%25.0%8.2%35.8%2.5%-0.6%769.7K-23.7M-147.7K0.5950.374,0032,35646,68218,590
2016-09-23$13.04$13.0035.4%10.2%25.0%7.9%35.3%2.6%-0.2%1.0M-25.6M-147.3K0.7258.813,0462,19547,57918,864
2016-09-26$12.90$13.0035.5%10.3%25.4%8.2%34.9%4.0%-0.0%769.6K-22.0M-144.6K0.4951.812,6761,31245,38217,284
2016-09-27$13.06$13.0036.1%10.5%25.6%10.1%36.7%3.3%-0.3%843.6K-24.0M-145.7K0.1054.8613,9991,44745,52217,451
2016-09-28$13.16$13.0036.3%10.5%25.7%10.4%36.3%1.6%0.0%1.1M-31.5M-174.8K0.488.644,1892,01956,23517,718
2016-09-29$13.24$13.0035.2%10.1%25.5%7.6%34.8%2.1%-0.0%1.1M-33.3M-176.6K0.3365.177,3842,43657,76118,373
2016-09-30$13.29$13.0037.8%10.9%22.8%14.5%38.1%0.1%0.3%1.1M-37.1M-191.5K0.1837.4212,1402,24461,89318,777