MRVL Options History — June 2017

In June 2017, MRVL traded between $16.61 and $17.82. ATM implied volatility averaged 27.7%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.6% (HV 20d: 30.2%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2017-06-28: Highest Volume — 22,550 contracts
  • 2017-06-12: Largest IV spike — 7.5% change
  • 2017-06-29: Highest IV Rank — 26.8%
  • 2017-06-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.46$16.61$17.82$17.75$16.61
Max Pain$16.18$15.00$17.00$15.00$17.00
ATM IV27.7%25.6%29.9%25.9%29.8%
Expected Move8.0%7.2%8.5%7.3%8.5%
HV 20d30.2%21.3%37.0%34.3%25.6%
HV 60d28.6%27.9%29.5%28.8%29.5%
IV Rank18.3%10.6%26.8%11.8%26.4%
IV Percentile20.7%6.0%37.7%6.7%37.7%
Term Structure0.4%-0.5%1.5%-0.5%1.4%
VWIV28.0%26.0%31.6%26.3%28.4%
Skew 25d2.1%0.9%2.8%1.7%2.8%
Skew 10d4.2%2.1%8.3%3.6%4.9%
Call IV 25d27.3%25.6%29.5%25.7%29.0%
Put IV 25d29.3%26.7%31.9%27.4%31.8%
Bid-Ask Spread %5.753.748.495.436.94
Gamma HHI0.210.160.270.190.27
Net GEX885.0K242.9K1.9M1.7M242.9K
Net DEX-46.7M-75.5M-15.8M-75.5M-15.8M
Net VEX-290.2K-331.2K-239.9K-242.5K-331.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.463.910.462.00
Total Volume11,862.2275,31922,55010,03810,708
Total OI121,629106,518141,993123,242128,586

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$17.75$15.0025.9%7.3%34.3%11.8%26.3%1.7%-0.5%1.7M-75.5M-242.5K0.465.436,8623,17670,69852,544
2017-06-02$17.60$15.0025.6%7.2%34.9%10.6%26.0%0.9%-0.1%1.9M-71.4M-244.9K1.193.745,4206,45170,98653,028
2017-06-05$17.55$17.0026.2%7.5%35.1%12.9%26.5%1.7%0.8%1.3M-64.0M-245.8K0.854.373,4792,96166,37948,758
2017-06-06$17.80$17.0026.3%7.6%35.0%13.3%27.2%1.8%0.3%1.3M-69.9M-239.9K0.474.827,9983,77366,57249,325
2017-06-07$17.74$16.0026.0%7.5%34.6%12.1%26.7%1.4%0.5%1.3M-68.2M-245.7K2.784.245,08114,12968,09850,530
2017-06-08$17.82$16.0026.1%7.5%34.5%12.6%28.8%1.8%0.4%895.6K-62.3M-290.9K2.214.556,35414,04568,23061,823
2017-06-09$17.27$16.0026.9%8.1%37.0%15.6%27.3%2.4%1.5%720.3K-47.9M-296.7K2.577.115,95015,28769,59462,517
2017-06-12$17.38$16.0028.9%8.5%36.4%23.0%29.1%2.5%0.7%807.3K-50.8M-300.9K3.917.524,48517,55569,01461,507
2017-06-13$17.79$16.0027.4%8.0%35.3%17.4%27.7%2.1%0.1%305.5K-58.5M-298.3K0.645.287,0114,50669,53565,708
2017-06-14$17.52$16.0027.6%7.9%36.0%17.9%28.4%2.7%0.1%613.7K-51.3M-303.6K2.046.992,6575,40971,95066,092
2017-06-15$17.39$16.0028.1%8.3%28.6%20.1%28.1%2.5%0.9%720.1K-45.3M-305.5K1.696.514,3347,31972,08368,392
2017-06-16$17.36$16.0028.8%8.4%28.7%22.6%29.2%2.1%0.8%599.3K-45.0M-308.5K1.115.645,4546,06673,74368,250
2017-06-19$17.48$16.0027.2%7.8%26.8%16.7%27.5%2.2%-0.1%813.4K-34.4M-300.1K0.717.355,3123,77156,42850,090
2017-06-20$17.50$16.0027.8%8.0%26.8%18.9%28.1%1.6%0.3%904.8K-35.2M-302.5K0.595.735,2683,12258,10050,868
2017-06-21$17.55$16.0028.0%8.0%26.6%19.4%27.7%2.2%0.3%1.1M-36.3M-305.4K0.635.635,6763,55959,78251,007
2017-06-22$17.60$16.0027.7%7.9%25.1%18.5%28.2%1.8%-0.0%1.2M-38.3M-301.8K1.486.162,4583,63360,09050,886
2017-06-23$17.71$16.0027.2%7.7%24.9%16.5%27.4%1.8%0.6%1.1M-40.8M-299.5K1.485.312,1443,17560,25051,003
2017-06-26$17.66$16.0027.7%7.7%21.3%18.6%26.8%1.8%0.5%1.1M-42.3M-293.0K1.154.923,2913,77658,62148,780
2017-06-27$16.87$17.0029.4%8.5%26.1%24.8%29.8%2.8%-0.3%271.0K-21.9M-298.8K0.596.095,4493,20059,51449,565
2017-06-28$17.15$17.0029.6%8.5%26.8%25.5%29.0%2.5%-0.0%328.0K-28.2M-298.3K0.583.7614,2658,28559,62950,757
2017-06-29$16.91$17.0029.9%8.5%25.0%26.8%31.6%2.4%0.0%330.0K-23.9M-329.4K0.808.494,4963,61970,58055,946
2017-06-30$16.61$17.0029.8%8.5%25.6%26.4%28.4%2.8%1.4%242.9K-15.8M-331.2K2.006.943,5657,14371,73656,850