MRVL Options History — October 2016

In October 2016, MRVL traded between $12.84 and $13.38. ATM implied volatility averaged 35.2%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 15.1% (HV 20d: 20.1%). 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 11 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-10-27: Highest Volume — 25,025 contracts
  • 2016-10-28: Largest IV spike — 20.1% change
  • 2016-10-28: Highest IV Rank — 21.3%
  • 2016-10-04: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.05$12.84$13.38$13.03$13.05
Max Pain$12.05$11.00$13.00$13.00$12.00
ATM IV35.2%31.4%39.4%38.3%35.3%
Expected Move10.1%9.3%11.9%11.4%9.9%
HV 20d20.1%16.6%23.9%23.9%18.3%
HV 60d28.3%22.5%35.9%35.4%22.8%
IV Rank8.2%0.0%21.3%16.1%10.3%
IV Percentile7.7%0.0%23.8%14.7%9.9%
Term Structure0.3%-1.8%2.5%-0.1%2.2%
VWIV35.7%32.3%42.1%39.6%35.5%
Skew 25d2.4%-0.4%7.2%0.7%2.2%
Skew 10d5.0%-7.0%18.1%-6.6%18.1%
Call IV 25d35.4%31.0%38.5%38.3%38.5%
Put IV 25d37.8%33.9%44.7%39.0%40.7%
Bid-Ask Spread %8.812.2759.7915.157.20
Gamma HHI0.290.220.530.230.30
Net GEX1.8M1.1M4.3M1.4M2.4M
Net DEX-33.4M-47.9M-24.3M-33.5M-39.4M
Net VEX-179.2K-194.3K-162.6K-193.6K-189.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.130.740.520.74
Total Volume7,686.813,36125,0255,5564,862
Total OI83,874.14370,677101,06881,95496,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$13.03$13.0038.3%11.4%23.9%16.1%39.6%0.7%-0.1%1.4M-33.5M-193.6K0.5215.153,6661,89064,57117,383
2016-10-04$13.04$13.0038.8%11.9%23.3%17.4%42.1%2.2%-0.3%1.4M-34.4M-194.1K0.3344.134,3171,43965,74217,698
2016-10-05$13.16$13.0037.9%11.3%22.7%14.8%39.7%3.8%0.5%1.5M-36.6M-194.3K0.4759.793,2711,54466,89318,045
2016-10-06$13.19$11.0037.1%10.5%22.7%12.8%37.2%3.0%1.4%1.6M-36.6M-192.8K0.372.283,2771,19867,20818,499
2016-10-07$13.10$11.0036.7%10.4%20.3%11.7%37.0%0.2%1.8%1.6M-35.6M-190.6K0.412.473,1891,30867,65718,531
2016-10-10$13.18$12.0036.8%10.3%19.6%11.9%36.4%3.2%-0.9%1.7M-36.5M-188.9K0.442.513,8881,72966,68017,995
2016-10-11$12.84$12.0034.9%10.0%22.0%6.6%34.9%3.0%0.5%1.5M-27.6M-179.5K0.162.327,3921,21266,11318,721
2016-10-12$12.96$12.0035.4%10.1%22.2%8.1%35.2%3.4%-0.2%1.4M-29.9M-177.9K0.462.562,6151,21263,34518,729
2016-10-13$13.03$12.0035.7%10.5%22.0%8.9%37.3%5.7%1.2%1.4M-31.6M-178.3K0.402.432,40795463,68818,758
2016-10-14$13.05$12.0035.1%10.2%21.1%7.2%35.9%1.9%0.6%1.6M-32.5M-177.5K0.332.715,1731,68264,19018,818
2016-10-17$12.88$12.0035.5%10.2%21.3%8.3%36.1%1.0%-1.2%1.7M-28.3M-170.5K0.372.473,9771,45864,53418,096
2016-10-18$13.00$12.0034.3%9.8%18.9%4.8%34.5%1.7%-0.3%1.9M-30.7M-169.9K0.422.512,4891,04664,29418,322
2016-10-19$12.91$12.0034.6%9.9%16.6%6.0%35.4%1.6%-1.8%1.9M-28.4M-168.1K0.502.272,4571,22764,62518,407
2016-10-20$13.01$12.0032.4%9.3%16.8%0.0%32.9%1.0%-0.5%2.5M-31.3M-167.4K0.482.752,8261,37064,95318,488
2016-10-21$12.84$12.0032.8%9.5%17.3%1.0%33.8%-0.4%-1.3%1.1M-24.3M-162.6K0.682.863,4692,34765,36118,781
2016-10-24$13.05$12.0032.1%9.3%17.9%0.0%33.1%2.2%0.5%1.2M-27.8M-163.2K0.564.142,4781,38856,15114,526
2016-10-25$13.19$12.0032.8%9.5%17.8%2.0%32.3%1.9%1.6%1.2M-30.7M-166.9K0.187.8714,5702,61156,74814,887
2016-10-26$13.38$12.0031.4%9.3%18.3%0.0%32.9%3.9%-0.1%1.8M-41.0M-173.6K0.263.3312,1213,20165,21716,233
2016-10-27$13.11$12.0032.8%9.3%19.6%3.7%32.6%1.0%2.5%2.0M-37.4M-173.2K0.133.4922,1382,88768,65516,719
2016-10-28$13.08$12.0039.4%9.7%19.6%21.3%34.5%7.2%1.1%4.3M-47.9M-190.2K0.139.8317,0092,12984,05017,018
2016-10-31$13.05$12.0035.3%9.9%18.3%10.3%35.5%2.2%2.2%2.4M-39.4M-189.9K0.747.202,7892,07379,37216,656