MRVL Options History — January 2017

In January 2017, MRVL traded between $14.00 and $15.21. ATM implied volatility averaged 30.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 11.5% (HV 20d: 18.5%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2017-01-25: Highest Volume — 58,322 contracts
  • 2017-01-25: Largest IV spike — 22.6% change
  • 2017-01-31: Highest IV Rank — 41.7%
  • 2017-01-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.47$14.00$15.21$14.05$14.88
Max Pain$13.80$12.00$14.00$12.00$14.00
ATM IV30.0%26.2%41.4%30.0%41.4%
Expected Move8.4%7.4%9.6%8.4%9.6%
HV 20d18.5%15.1%26.3%16.0%25.3%
HV 60d30.0%29.3%31.3%29.8%31.3%
IV Rank9.7%0.0%41.7%9.1%41.7%
IV Percentile10.8%0.0%49.6%7.9%49.6%
Term Structure1.0%-0.3%2.8%0.0%-0.3%
VWIV29.5%25.0%34.6%29.3%34.6%
Skew 25d2.8%0.4%4.4%4.1%3.1%
Skew 10d5.0%-12.5%25.2%6.3%-12.5%
Call IV 25d29.1%24.2%41.0%28.1%41.0%
Put IV 25d31.9%27.8%44.0%32.3%44.0%
Bid-Ask Spread %37.587.1185.9514.2624.50
Gamma HHI0.360.180.720.310.39
Net GEX1.4M-175.6K3.1M1.2M2.0M
Net DEX-31.4M-51.0M-6.4M-23.6M-42.3M
Net VEX-170.2K-252.4K-132.3K-166.6K-252.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.060.900.780.29
Total Volume9,348.054,35358,3226,3927,192
Total OI85,958.954,090112,94783,088112,313

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$14.05$12.0030.0%8.4%16.0%9.1%29.3%4.1%0.0%1.2M-23.6M-166.6K0.7814.263,5822,81053,96629,122
2017-01-04$14.23$12.0029.1%8.3%16.6%6.5%28.5%4.1%1.2%1.2M-27.5M-167.5K0.8632.982,7192,33054,58529,880
2017-01-05$14.06$14.0029.1%8.7%17.1%6.6%31.9%2.4%0.4%1.2M-24.3M-164.4K0.907.112,5042,26354,91930,138
2017-01-06$14.20$14.0027.9%8.3%15.3%3.2%29.0%3.0%1.5%1.3M-27.8M-164.3K0.6714.773,3842,25155,06930,342
2017-01-09$14.34$14.0027.5%8.3%15.4%2.3%28.5%2.8%1.4%1.4M-30.8M-159.9K0.4312.864,4111,88754,19229,756
2017-01-10$14.54$14.0027.4%7.8%16.1%2.0%28.7%3.0%-0.1%1.4M-36.5M-158.0K0.5527.483,0821,70854,66329,931
2017-01-11$14.56$14.0026.5%7.8%15.3%0.0%28.9%3.3%0.3%1.4M-37.5M-154.6K0.6010.273,4192,03554,61930,067
2017-01-12$14.46$14.0026.9%8.5%15.5%1.2%28.0%3.6%2.8%1.5M-34.4M-153.4K0.5853.803,2441,87254,79930,262
2017-01-13$14.49$14.0026.9%8.1%15.4%1.0%27.4%2.7%1.8%1.6M-35.5M-152.4K0.7431.502,5001,85355,31330,361
2017-01-17$14.24$14.0027.9%8.0%16.1%3.8%27.7%3.3%1.1%2.0M-29.4M-145.7K0.4812.283,3191,59354,94529,967
2017-01-18$14.21$14.0027.7%7.9%15.8%3.3%27.6%2.9%0.9%2.1M-28.1M-143.4K0.3233.154,9221,57155,36330,047
2017-01-19$14.12$14.0027.8%7.9%15.6%3.6%27.2%4.4%1.3%3.1M-26.4M-139.4K0.6711.522,7291,83455,57030,153
2017-01-20$14.16$14.0026.2%7.4%15.1%0.0%25.0%4.0%0.8%-64.5K-32.4M-135.3K0.1457.9013,4081,92155,82830,370
2017-01-23$14.00$14.0027.8%7.8%15.6%4.3%26.6%2.1%0.2%-175.6K-6.4M-132.3K0.3110.704,5121,39130,50523,585
2017-01-24$14.48$14.0027.5%7.7%19.7%3.5%27.4%1.9%1.3%247.7K-14.8M-139.4K0.4985.953,4761,70632,81224,230
2017-01-25$15.21$14.0033.7%9.3%26.2%20.7%33.4%0.4%0.8%415.4K-26.5M-143.3K0.0685.1655,1303,19234,38824,929
2017-01-26$15.14$14.0036.2%9.4%26.3%27.4%34.5%1.6%1.9%2.6M-51.0M-241.3K0.2372.9910,8112,44881,40826,483
2017-01-27$15.07$14.0034.6%8.9%25.7%23.1%32.5%1.7%1.7%2.3M-50.4M-243.8K0.2369.087,3001,71185,32727,620
2017-01-30$14.91$14.0037.2%9.3%26.1%30.2%33.7%1.2%1.2%2.2M-42.4M-247.2K0.5183.385,9163,02582,80228,549
2017-01-31$14.88$14.0041.4%9.6%25.3%41.7%34.6%3.1%-0.3%2.0M-42.3M-252.4K0.2924.505,5721,62083,20829,105