MRVL Options History — March 2017

In March 2017, MRVL traded between $15.33 and $16.41. ATM implied volatility averaged 27.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.5% (HV 20d: 22.5%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2017-03-01: Highest Volume — 48,429 contracts
  • 2017-03-03: Largest IV drop — 19.5% change
  • 2017-03-01: Highest IV Rank — 33.1%
  • 2017-03-02: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.93$15.33$16.41$15.94$15.33
Max Pain$15.93$15.50$16.00$15.50$16.00
ATM IV27.0%22.7%35.7%35.7%25.6%
Expected Move7.8%6.5%12.6%12.4%6.6%
HV 20d22.5%19.6%25.3%22.2%22.1%
HV 60d22.2%21.0%23.3%21.3%23.2%
IV Rank7.9%0.0%33.1%33.1%8.8%
IV Percentile5.8%0.0%32.1%32.1%3.2%
Term Structure-0.1%-2.1%1.7%-2.1%1.1%
VWIV27.3%23.2%43.8%43.5%23.3%
Skew 25d1.4%0.5%1.9%1.7%1.3%
Skew 10d2.1%-15.1%7.4%4.5%-15.1%
Call IV 25d26.9%22.3%35.5%35.3%26.0%
Put IV 25d28.2%23.8%36.9%36.9%27.3%
Bid-Ask Spread %5.823.6010.315.027.98
Gamma HHI0.460.220.890.620.24
Net GEX4.1M144.2K15.5M3.2M483.5K
Net DEX-38.2M-93.2M-1.6M-51.2M-1.6M
Net VEX-229.9K-277.5K-189.0K-277.5K-189.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.051.860.051.06
Total Volume13,440.5223,59548,42948,4296,322
Total OI110,702.26178,417146,674129,16082,829

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$15.94$15.5035.7%12.4%22.2%33.1%43.5%1.7%-2.1%3.2M-51.2M-277.5K0.055.0246,0052,42489,06040,100
2017-03-02$15.86$15.5035.6%12.6%20.2%32.7%43.8%1.3%-1.9%2.0M-35.5M-253.3K0.425.6319,9278,30674,16240,837
2017-03-03$16.08$15.5028.7%8.5%20.6%8.5%29.8%1.7%-0.2%9.8M-58.3M-259.5K0.364.3319,1006,95388,71848,646
2017-03-06$16.06$16.0028.7%8.1%19.6%8.6%28.3%1.4%-0.5%3.0M-43.2M-254.7K0.113.6037,3064,13977,95741,210
2017-03-07$15.97$16.0027.5%7.9%19.7%4.3%27.4%0.7%-0.4%5.1M-51.1M-268.7K0.715.925,1083,64994,37443,384
2017-03-08$15.88$16.0027.1%7.6%19.8%3.2%26.9%0.7%-0.7%5.5M-44.6M-261.7K0.765.212,5261,92995,38443,776
2017-03-09$15.86$16.0027.7%7.9%19.8%5.3%28.1%1.2%0.1%5.3M-44.5M-259.2K0.2310.3111,4212,61795,92643,899
2017-03-10$16.41$16.0028.1%7.9%23.0%6.4%28.2%0.8%-0.6%6.4M-93.2M-249.0K0.259.7218,6064,619102,11544,559
2017-03-13$16.22$16.0028.7%8.0%23.2%8.8%27.8%0.5%-0.8%8.1M-71.4M-242.4K0.134.2925,7123,25695,66843,600
2017-03-14$16.02$16.0027.1%7.6%23.4%3.2%26.5%1.9%-0.4%8.9M-49.1M-236.3K0.333.849,0362,97289,83344,470
2017-03-15$16.02$16.0026.5%7.4%23.2%0.8%25.5%1.9%-0.8%13.0M-48.3M-231.7K0.484.714,7992,30888,52344,617
2017-03-16$16.09$16.0025.6%7.1%22.8%0.0%24.8%1.0%-0.9%15.5M-58.6M-224.3K0.634.034,4412,81288,47944,813
2017-03-17$16.11$16.0025.0%6.9%22.8%0.0%24.3%1.1%-1.3%947.1K-76.6M-217.8K0.355.156,4592,23389,21145,504
2017-03-20$16.27$16.0022.7%6.5%23.0%0.0%23.5%1.5%1.2%1.1M-28.0M-213.7K0.576.533,6742,09848,90029,517
2017-03-21$15.68$16.0025.0%7.1%24.6%7.2%24.6%1.8%1.7%775.3K-13.2M-209.6K0.864.853,1962,73450,19429,867
2017-03-22$15.92$16.0024.5%7.0%25.3%5.5%24.8%1.5%0.3%902.6K-19.1M-212.2K0.783.962,6192,04650,56329,908
2017-03-23$15.95$16.0024.9%7.1%24.7%6.7%25.1%1.6%1.0%920.4K-19.9M-211.2K1.104.261,8432,02550,83930,026
2017-03-24$15.90$16.0025.3%7.2%24.7%8.0%25.3%1.8%1.1%971.9K-17.8M-210.3K1.019.812,6632,69251,08530,178
2017-03-27$15.75$16.0026.0%7.2%24.9%10.2%24.9%1.8%0.3%892.9K-14.7M-203.3K0.754.102,9022,17150,10429,178
2017-03-28$15.72$16.0025.8%6.9%23.1%9.5%24.0%1.2%0.6%904.2K-13.9M-201.8K1.164.272,0372,37150,60329,703
2017-03-29$15.78$16.0024.5%6.9%21.7%5.5%24.7%1.7%-0.4%825.3K-15.0M-202.3K1.869.221,9153,56650,79030,261
2017-03-30$15.60$16.0024.3%6.6%22.0%4.9%23.2%1.3%0.4%144.2K-9.0M-197.5K0.797.052,0071,58850,95631,826
2017-03-31$15.33$16.0025.6%6.6%22.1%8.8%23.3%1.3%1.1%483.5K-1.6M-189.0K1.067.983,0683,25450,96431,865