MRVL Options History — December 2016

In December 2016, MRVL traded between $13.91 and $14.49. ATM implied volatility averaged 28.8%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 4.1% (HV 20d: 32.9%). 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 19 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-12-30: Highest Volume — 7,656 contracts
  • 2016-12-12: Largest IV spike — 4.7% change
  • 2016-12-30: Highest IV Rank — 7.2%
  • 2016-12-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.23$13.91$14.49$13.91$13.91
Max Pain$12.10$12.00$13.00$13.00$12.00
ATM IV28.8%26.7%31.3%31.1%29.3%
Expected Move8.4%7.6%9.3%9.1%8.3%
HV 20d32.9%16.0%46.1%46.1%16.0%
HV 60d30.2%29.6%31.1%31.1%29.7%
IV Rank2.7%0.0%7.2%6.4%7.2%
IV Percentile1.8%0.0%6.3%3.2%6.3%
Term Structure0.6%-0.3%1.6%-0.1%0.6%
VWIV29.3%26.7%32.4%32.2%29.0%
Skew 25d2.5%1.5%3.9%2.7%2.8%
Skew 10d5.2%-1.3%9.8%-1.3%4.1%
Call IV 25d28.3%26.3%30.8%30.6%28.7%
Put IV 25d30.8%28.3%33.4%33.4%31.5%
Bid-Ask Spread %13.192.1443.092.8113.76
Gamma HHI0.320.230.360.360.33
Net GEX1.0M916.3K1.1M1.0M1.1M
Net DEX-34.7M-46.5M-19.5M-32.7M-19.5M
Net VEX-176.1K-202.3K-156.2K-201.9K-165.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.671.390.840.76
Total Volume5,248.813,3157,6567,1847,656
Total OI91,39076,091104,005104,00582,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$13.91$13.0031.1%9.1%46.1%6.4%32.2%2.7%-0.1%1.0M-32.7M-201.9K0.842.813,9123,27265,66038,345
2016-12-02$14.05$13.0030.6%8.7%44.5%5.1%30.6%3.4%-0.3%1.0M-34.4M-202.3K0.843.173,2882,75763,65539,072
2016-12-05$14.02$12.0031.3%9.3%44.4%7.0%32.4%2.0%0.6%956.2K-34.0M-195.3K0.672.444,1682,77462,20137,128
2016-12-06$14.07$12.0031.1%9.2%43.9%6.5%31.2%2.7%0.4%1.1M-36.0M-195.0K1.042.142,4422,52962,85737,481
2016-12-07$14.40$12.0029.7%9.0%44.3%2.4%30.9%2.9%0.6%1.1M-45.1M-186.8K0.682.533,6942,49963,15537,598
2016-12-08$14.28$12.0029.3%8.8%44.4%1.1%30.5%2.2%0.4%1.1M-43.0M-187.1K0.952.882,6522,52063,31937,800
2016-12-09$14.36$12.0029.2%8.8%43.6%0.8%30.7%1.7%0.4%1.1M-44.1M-184.8K1.282.462,3212,98063,29937,804
2016-12-12$14.18$12.0030.5%8.8%42.8%4.9%30.9%3.9%0.1%991.3K-39.6M-180.4K0.962.582,5502,44262,42437,510
2016-12-13$14.26$12.0029.1%8.9%42.6%0.7%30.3%2.5%1.6%1.0M-41.8M-179.0K1.052.652,1652,26662,69637,706
2016-12-14$14.33$12.0028.2%8.4%41.7%0.0%29.3%2.7%1.0%1.0M-43.3M-177.5K0.7143.093,3682,38062,96137,846
2016-12-15$14.49$12.0027.8%8.2%41.7%0.0%28.5%2.9%1.1%1.1M-46.5M-174.0K0.8116.862,7752,23462,96138,036
2016-12-16$14.36$12.0028.1%8.3%41.6%1.1%28.5%1.6%1.5%919.9K-43.5M-172.4K0.9310.432,6412,44462,73538,208
2016-12-19$14.22$12.0027.6%7.9%18.7%0.0%27.3%2.5%0.6%991.0K-26.5M-166.7K1.3913.061,3891,92649,50326,588
2016-12-20$14.37$12.0026.9%7.7%19.2%0.0%26.9%1.9%0.8%972.5K-29.9M-165.1K1.1111.231,8982,10449,79927,112
2016-12-21$14.40$12.0026.8%7.7%19.2%0.0%26.9%1.9%0.7%996.3K-31.0M-164.7K1.2035.691,9202,30350,52927,614
2016-12-22$14.28$12.0027.0%7.7%19.3%0.3%26.7%1.5%0.9%916.3K-27.8M-162.6K0.7918.912,4921,98150,71227,889
2016-12-23$14.33$12.0026.7%7.6%19.4%0.0%26.9%2.0%0.8%1.1M-28.9M-164.2K0.7817.172,3041,80151,49028,002
2016-12-27$14.36$12.0027.8%7.9%19.0%3.0%28.0%2.8%0.7%1.1M-30.4M-158.0K1.2710.571,6422,07850,86726,752
2016-12-28$14.16$12.0028.4%8.1%19.3%4.7%28.5%2.5%0.4%1.1M-25.6M-158.9K0.9639.052,1562,07251,06027,344
2016-12-29$14.13$12.0028.5%8.0%19.3%5.1%28.1%2.4%0.6%1.1M-24.2M-156.2K0.9623.473,7913,63951,41127,393
2016-12-30$13.91$12.0029.3%8.3%16.0%7.2%29.0%2.8%0.6%1.1M-19.5M-165.1K0.7613.764,3483,30853,82028,848