MRVL Options History — February 2017

In February 2017, MRVL traded between $15.32 and $16.27. ATM implied volatility averaged 38.5%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.7% (HV 20d: 24.8%). Max pain ranged from $14.00 to $15.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-02-27: Highest Volume — 36,953 contracts
  • 2017-02-03: Largest IV drop — 10.2% change
  • 2017-02-13: Highest IV Rank — 44.0%
  • 2017-02-28: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.76$15.32$16.27$15.32$15.60
Max Pain$14.97$14.00$15.50$14.00$15.50
ATM IV38.5%35.5%42.0%42.0%37.4%
Expected Move11.2%9.1%12.8%9.1%12.8%
HV 20d24.8%19.1%26.8%26.8%21.2%
HV 60d26.6%20.7%31.1%31.1%22.2%
IV Rank38.6%31.7%44.0%43.5%39.0%
IV Percentile42.5%31.3%53.6%53.2%39.7%
Term Structure-1.5%-3.2%0.9%-3.2%-1.9%
VWIV39.3%32.3%44.4%32.3%44.4%
Skew 25d1.7%0.2%4.6%4.6%0.5%
Skew 10d4.3%-13.4%15.4%-13.4%2.6%
Call IV 25d38.4%35.0%43.9%38.0%37.9%
Put IV 25d40.1%37.3%44.5%42.6%38.4%
Bid-Ask Spread %32.785.0881.8481.845.08
Gamma HHI0.620.440.710.440.62
Net GEX3.0M2.5M3.4M2.5M2.7M
Net DEX-60.8M-67.3M-37.3M-55.0M-37.3M
Net VEX-244.7K-273.2K-226.1K-252.1K-273.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.261.370.260.64
Total Volume8,383.8424,98036,9539,9438,250
Total OI114,886.21197,070127,212113,276127,212

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$15.32$14.0042.0%9.1%26.8%43.5%32.3%4.6%-3.2%2.5M-55.0M-252.1K0.2681.847,9152,02883,56429,712
2017-02-02$15.41$15.0042.0%11.5%26.6%43.5%39.6%0.7%-3.0%2.7M-58.1M-255.7K0.3121.194,5931,40984,43030,458
2017-02-03$15.71$15.0037.8%10.8%26.5%31.8%38.0%0.6%-0.3%2.8M-66.8M-258.4K0.3350.405,3621,74584,73430,873
2017-02-06$15.74$15.0038.4%10.9%26.4%33.5%38.4%1.2%-0.4%2.9M-66.6M-248.5K0.3924.734,1011,59683,77430,017
2017-02-07$15.72$15.0039.8%10.8%26.5%37.3%38.3%2.2%-2.4%3.1M-67.2M-247.1K0.5314.593,9732,10984,61330,550
2017-02-08$15.71$15.0037.8%11.0%26.3%31.7%38.7%0.2%0.9%3.1M-66.3M-244.3K0.6223.523,0651,91584,72031,432
2017-02-09$15.63$15.0039.3%11.2%26.5%41.5%40.1%1.2%-0.3%3.0M-63.7M-246.8K1.3742.084,1315,64685,21732,022
2017-02-10$15.50$15.0039.9%11.2%26.6%43.4%38.7%0.2%-0.7%2.5M-58.1M-248.2K0.6233.904,4002,72086,21935,572
2017-02-13$15.70$15.0040.0%11.3%26.8%44.0%39.5%0.9%-2.1%3.0M-64.8M-245.8K0.7845.953,4052,65786,49736,180
2017-02-14$15.57$15.0039.6%11.3%26.0%42.7%39.3%1.9%-1.7%3.1M-60.9M-245.3K0.6825.383,3482,29187,60237,172
2017-02-15$15.77$15.0039.4%11.3%26.0%42.2%40.7%1.4%-1.8%3.2M-67.3M-244.1K1.0436.283,4013,52287,12837,610
2017-02-16$15.77$15.0037.6%10.9%25.7%37.5%38.4%2.8%-1.8%3.4M-66.5M-243.3K0.6728.363,0302,03587,58139,230
2017-02-17$15.79$15.0037.6%11.0%25.8%39.7%38.6%1.6%-1.5%2.8M-66.7M-240.7K0.5811.384,2662,46287,58139,533
2017-02-21$16.24$15.0035.5%10.9%26.2%32.5%38.7%2.4%-1.0%3.1M-62.0M-229.4K0.5531.644,6782,55273,26723,803
2017-02-22$16.27$15.0037.5%11.0%24.3%39.2%39.5%3.0%-2.5%3.2M-63.0M-233.6K0.6567.853,8722,52474,98824,843
2017-02-23$16.01$15.0036.0%11.2%19.4%34.1%39.4%1.7%-1.3%3.1M-55.9M-233.0K1.2034.493,0153,62775,75625,143
2017-02-24$15.99$15.0036.5%11.4%19.3%36.0%40.2%1.6%-2.1%2.9M-54.3M-233.2K1.1038.573,1823,51576,45326,408
2017-02-27$16.01$15.0037.6%12.4%19.1%39.7%43.6%3.1%-2.4%3.1M-54.0M-226.1K0.755.4921,14515,80875,46025,484
2017-02-28$15.60$15.5037.4%12.8%21.2%39.0%44.4%0.5%-1.9%2.7M-37.3M-273.2K0.645.085,0343,21687,77939,433