MRVL Options History — November 2016

In November 2016, MRVL traded between $12.50 and $14.78. ATM implied volatility averaged 36.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.0% (HV 20d: 30.8%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-11-18: Highest Volume — 40,475 contracts
  • 2016-11-18: Largest IV drop — 21.2% change
  • 2016-11-04: Highest IV Rank — 34.1%
  • 2016-11-10: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.57$12.50$14.78$12.92$14.39
Max Pain$12.90$12.00$13.00$12.00$13.00
ATM IV36.8%28.9%44.2%43.2%29.6%
Expected Move10.4%8.2%11.9%11.6%8.6%
HV 20d30.8%18.4%44.6%18.6%43.9%
HV 60d26.2%22.7%31.1%22.9%30.4%
IV Rank17.7%0.0%34.1%31.7%2.0%
IV Percentile18.1%0.0%39.7%35.3%0.8%
Term Structure-0.5%-3.5%2.5%-0.1%-0.0%
VWIV35.5%27.1%41.9%40.3%31.0%
Skew 25d2.5%0.5%4.9%1.8%2.8%
Skew 10d7.0%2.0%16.7%16.7%3.6%
Call IV 25d36.2%28.0%43.3%41.8%29.0%
Put IV 25d38.7%30.7%45.9%43.6%31.8%
Bid-Ask Spread %9.613.6131.5712.8513.05
Gamma HHI0.310.250.430.290.31
Net GEX1.9M962.0K2.9M2.1M1.1M
Net DEX-45.0M-104.9M-23.4M-37.3M-45.5M
Net VEX-199.1K-209.9K-177.8K-189.3K-197.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.241.020.240.94
Total Volume11,085.5716,13240,47512,0517,034
Total OI113,106.90596,502129,41296,502102,713

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$12.92$12.0043.2%11.6%18.6%31.7%40.3%1.8%-0.1%2.1M-37.3M-189.3K0.2412.859,6802,37179,52616,976
2016-11-02$12.98$12.0035.8%10.7%18.4%11.9%37.4%4.9%2.5%2.8M-39.7M-185.3K0.758.7714,81311,11584,34517,444
2016-11-03$12.61$13.0042.8%11.7%20.9%30.5%40.4%3.7%-0.4%2.1M-28.4M-209.9K0.637.304,8783,07293,55326,741
2016-11-04$12.53$13.0044.2%11.9%20.9%34.1%38.4%2.8%-3.5%2.1M-26.0M-206.7K0.735.524,4543,26793,78227,395
2016-11-07$12.82$13.0041.3%11.4%22.5%26.6%41.9%3.2%-1.0%2.1M-33.6M-209.8K0.657.813,7232,40990,46026,797
2016-11-08$12.78$13.0041.5%11.5%20.6%27.1%39.5%2.0%-1.2%2.2M-32.0M-202.8K0.915.373,6723,32991,38627,101
2016-11-09$12.71$13.0041.3%11.2%20.3%29.0%39.0%3.0%-2.1%2.1M-29.5M-203.7K1.023.613,4383,49492,05128,361
2016-11-10$12.50$13.0042.0%11.9%20.9%31.1%33.5%0.5%-0.6%1.8M-23.4M-194.4K0.904.664,0513,64592,05229,111
2016-11-11$12.95$13.0041.0%11.7%24.8%28.1%40.7%2.1%-0.6%2.5M-36.6M-207.5K0.696.195,1763,58692,47230,026
2016-11-14$13.17$13.0041.8%11.8%25.0%30.6%39.6%2.6%-0.9%2.5M-44.0M-204.4K0.345.447,0652,43092,22429,939
2016-11-15$13.52$13.0040.6%11.6%26.4%27.5%39.3%2.6%-1.0%2.7M-56.8M-206.2K0.545.474,7832,57792,88430,019
2016-11-16$13.45$13.0040.2%11.5%26.4%26.3%34.3%2.0%-1.8%2.9M-54.9M-202.6K0.335.2111,7903,83493,57330,303
2016-11-17$13.29$13.0039.3%11.4%26.7%23.6%39.0%1.3%-1.7%2.9M-48.4M-197.1K0.627.129,2685,72795,25831,744
2016-11-18$14.74$13.0031.0%8.7%44.6%0.0%30.9%2.9%1.7%1.2M-104.9M-177.8K0.633.7124,90115,57494,78734,625
2016-11-21$14.73$13.0030.0%8.6%44.6%0.0%30.0%2.2%-0.1%1.1M-54.7M-199.0K0.606.547,1024,27163,54736,471
2016-11-22$14.78$13.0028.9%8.2%44.5%0.0%29.4%2.1%-0.2%1.1M-54.6M-198.5K0.9024.743,9283,54563,92337,658
2016-11-23$14.71$13.0029.3%8.2%44.6%1.2%27.1%2.7%0.1%962.0K-52.6M-199.1K0.9716.903,5933,48163,97338,161
2016-11-25$14.66$13.0029.7%8.2%43.7%2.3%30.1%2.2%-0.2%962.5K-52.7M-197.2K0.997.143,2463,21964,87038,472
2016-11-28$14.48$13.0030.0%8.7%44.1%3.4%32.4%2.3%-0.0%968.0K-45.7M-193.3K0.7112.794,8443,41962,23536,889
2016-11-29$14.35$13.0030.3%8.7%44.3%4.2%31.2%2.4%0.2%999.9K-43.7M-199.6K0.8331.573,8213,17263,68137,717
2016-11-30$14.39$13.0029.6%8.6%43.9%2.0%31.0%2.8%-0.0%1.1M-45.5M-197.1K0.9413.053,6213,41364,81837,895