MRVL Options History — May 2017

In May 2017, MRVL traded between $14.75 and $17.64. ATM implied volatility averaged 33.1%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.4% (HV 20d: 30.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2017-05-25: Highest Volume — 43,666 contracts
  • 2017-05-26: Largest IV drop — 28.9% change
  • 2017-05-24: Highest IV Rank — 54.8%
  • 2017-05-24: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.92$14.75$17.64$14.98$17.26
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV33.1%26.1%38.4%30.2%26.4%
Expected Move9.5%7.5%11.7%8.2%7.6%
HV 20d30.7%25.4%38.2%25.9%33.7%
HV 60d25.2%22.6%28.4%22.8%28.4%
IV Rank34.2%12.7%54.8%23.2%13.8%
IV Percentile40.8%7.5%68.3%29.8%8.7%
Term Structure-1.0%-3.6%2.3%0.5%-1.0%
VWIV33.3%26.6%41.6%29.3%27.7%
Skew 25d2.0%-0.8%3.9%1.4%2.4%
Skew 10d5.6%-3.9%13.5%8.7%3.0%
Call IV 25d32.5%25.8%38.2%30.5%26.0%
Put IV 25d34.5%27.6%40.4%31.9%28.4%
Bid-Ask Spread %7.414.9810.484.996.81
Gamma HHI0.240.180.570.200.23
Net GEX1.4M899.6K3.5M1.1M1.6M
Net DEX-43.8M-121.6M-13.8M-19.2M-65.1M
Net VEX-243.8K-264.8K-215.5K-236.1K-250.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.101.150.310.48
Total Volume11,819.0455,09843,6667,4519,493
Total OI107,197.63694,317141,92496,163122,442

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$14.98$15.0030.2%8.2%25.9%23.2%29.3%1.4%0.5%1.1M-19.2M-236.1K0.314.995,7061,74559,00137,162
2017-05-02$14.75$15.0030.3%8.3%25.4%23.7%29.2%2.9%2.3%915.3K-13.8M-229.0K0.315.706,1321,88459,19437,473
2017-05-03$14.97$15.0030.0%8.3%26.0%22.7%26.6%1.4%1.7%1.0M-17.5M-230.1K0.326.665,7451,81558,92037,798
2017-05-04$15.05$15.0033.1%8.9%26.0%32.2%32.4%2.6%-2.0%921.4K-19.3M-231.7K0.309.585,2701,60558,93637,887
2017-05-05$15.15$15.0032.4%8.8%26.1%30.1%31.7%-0.8%-0.0%899.6K-22.0M-229.2K0.339.825,1111,66758,97337,984
2017-05-08$15.12$15.0032.8%9.0%26.0%31.2%32.1%1.8%-1.0%925.4K-21.3M-215.5K0.336.304,7831,58356,64037,677
2017-05-09$15.51$15.0032.4%9.5%27.5%30.1%31.6%2.1%-1.2%1.1M-30.4M-227.6K0.109.5017,8511,79656,88337,852
2017-05-10$15.71$15.0032.6%9.0%26.7%30.8%32.3%1.3%-1.4%1.6M-43.8M-262.0K0.596.845,3443,14867,62937,990
2017-05-11$15.72$15.0033.0%9.0%26.7%32.0%32.9%2.5%-3.5%1.7M-45.6M-262.3K0.377.674,8141,76269,26539,340
2017-05-12$15.52$15.0032.6%9.1%27.2%30.6%32.4%2.1%-1.1%1.8M-39.6M-262.9K0.747.645,1673,83069,88839,361
2017-05-15$16.08$15.0033.7%9.7%29.6%34.2%33.7%1.7%-1.3%1.6M-54.0M-255.8K0.399.637,2652,81869,34939,443
2017-05-16$16.23$15.0033.9%9.6%29.5%34.6%33.9%1.9%-1.1%1.7M-59.5M-255.5K1.158.725,6636,53971,67440,442
2017-05-17$15.34$15.0037.5%10.7%36.6%46.8%36.4%3.9%-3.6%1.1M-29.8M-264.8K0.1810.489,8351,72873,47244,301
2017-05-18$15.49$15.0037.4%10.8%36.7%47.4%37.4%2.2%-1.4%987.9K-29.1M-254.6K0.625.813,1551,94369,89845,039
2017-05-19$16.01$15.0038.4%11.2%38.2%52.5%39.0%2.2%-1.7%3.5M-46.2M-249.3K0.668.465,1883,42070,16345,101
2017-05-22$16.15$15.0037.3%11.2%38.2%51.0%39.0%1.7%-1.9%987.3K-42.1M-241.7K0.665.214,0492,69058,85539,331
2017-05-23$16.36$15.0037.4%11.4%37.1%54.0%40.4%2.0%-1.7%1.1M-48.4M-245.5K0.535.824,7892,51860,94540,335
2017-05-24$16.80$15.0037.6%11.7%32.2%54.8%41.6%1.6%-1.7%1.2M-59.5M-240.1K0.376.138,6413,21262,82740,646
2017-05-25$17.00$15.0036.8%11.4%31.8%51.8%40.1%3.4%-1.5%1.5M-67.7M-237.7K0.229.7935,7587,90867,38540,978
2017-05-26$17.64$15.0026.2%7.5%33.5%12.9%26.6%1.3%0.3%1.8M-121.6M-232.7K0.636.5421,77913,80695,58346,341
2017-05-30$17.32$15.0026.1%7.5%34.5%12.7%27.3%1.9%0.1%1.7M-68.8M-247.3K0.624.986,8394,22568,92449,021
2017-05-31$17.26$15.0026.4%7.6%33.7%13.8%27.7%2.4%-1.0%1.6M-65.1M-250.9K0.486.816,4333,06070,98051,462