MRVL Options History — August 2017

In August 2017, MRVL traded between $15.08 and $17.92. ATM implied volatility averaged 36.4%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 13.9% (HV 20d: 22.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-08-25: Highest Volume — 19,452 contracts
  • 2017-08-25: Largest IV drop — 27.3% change
  • 2017-08-24: Highest IV Rank — 82.6%
  • 2017-08-24: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.03$15.08$17.92$15.71$17.92
Max Pain$15.78$15.00$16.00$16.00$16.00
ATM IV36.4%27.0%40.9%36.5%27.0%
Expected Move10.3%7.3%12.5%8.9%7.3%
HV 20d22.6%16.2%33.8%18.9%32.8%
HV 60d26.4%23.4%28.6%28.6%27.8%
IV Rank54.2%20.0%82.6%51.0%20.0%
IV Percentile72.7%15.5%93.7%72.6%15.5%
Term Structure-0.8%-2.1%0.7%-0.6%0.6%
VWIV35.9%25.4%44.0%31.7%25.4%
Skew 25d2.3%1.4%3.4%2.2%3.4%
Skew 10d5.1%0.1%10.0%5.0%10.0%
Call IV 25d35.9%25.6%41.0%36.0%25.6%
Put IV 25d38.3%28.2%43.5%38.2%28.9%
Bid-Ask Spread %7.024.1010.607.516.90
Gamma HHI0.180.140.290.160.18
Net GEX755.9K-242.1K2.1M536.9K1.2M
Net DEX-13.8M-54.7M10.1M-3.8M-54.7M
Net VEX-244.7K-271.8K-228.6K-269.7K-239.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.193.620.650.68
Total Volume7,569.5225,00419,4525,9395,004
Total OI117,715.1395,168133,225132,19298,619

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$15.71$16.0036.5%8.9%18.9%51.0%31.7%2.2%-0.6%536.9K-3.8M-269.7K0.657.513,6102,32978,63753,555
2017-08-02$15.70$16.0037.2%9.2%18.1%53.6%31.6%1.8%-1.5%521.4K-3.8M-271.8K1.215.332,2712,75778,75553,566
2017-08-03$15.45$16.0037.0%10.3%18.1%53.1%37.0%1.4%-1.5%234.2K4.6M-257.7K1.0910.603,1493,41878,78153,789
2017-08-04$15.57$16.0036.9%10.2%18.3%52.4%36.7%1.9%-0.8%271.5K2.7M-254.3K2.555.342,0045,10178,82854,090
2017-08-07$15.67$16.0038.1%10.6%18.5%57.0%37.0%2.1%-0.7%524.5K-3.9M-250.7K1.325.592,7583,63578,38251,576
2017-08-08$15.62$16.0037.6%10.5%18.5%55.2%37.0%1.9%-0.7%437.0K-2.4M-246.2K1.397.422,4853,45179,40952,026
2017-08-09$15.48$16.0037.5%10.7%16.2%54.9%36.8%1.8%0.3%143.7K758.5K-248.3K1.245.122,7723,42479,92251,985
2017-08-10$15.08$16.0039.0%10.9%17.9%60.5%38.2%2.0%-1.4%-242.1K10.1M-234.0K3.626.072,4919,02280,49652,133
2017-08-11$15.37$16.0040.9%11.5%19.6%67.4%40.0%2.7%-0.8%21.4K2.9M-237.1K0.797.694,1743,28880,94252,283
2017-08-14$15.56$15.0038.1%10.7%19.4%57.1%38.4%2.0%-0.5%790.4K-4.2M-233.2K1.125.532,5882,90079,32345,868
2017-08-15$15.84$15.0039.8%11.3%20.6%63.1%39.8%2.6%-2.1%901.2K-11.2M-246.5K0.947.003,2303,05079,55145,878
2017-08-16$15.96$15.0038.7%11.1%19.5%59.2%39.2%2.7%-1.4%1.0M-14.6M-240.2K0.337.115,3591,75380,17845,976
2017-08-17$15.53$15.0040.8%11.7%21.5%66.8%41.6%2.5%-1.7%772.5K-3.0M-228.6K0.566.593,5021,95981,80646,210
2017-08-18$15.70$15.0040.0%11.6%21.4%63.9%40.6%1.6%-1.1%842.3K-5.5M-236.3K0.867.085,2124,47883,51946,510
2017-08-21$15.62$16.0039.1%11.6%21.4%60.9%38.7%3.1%-1.1%909.0K-10.0M-232.6K0.478.574,0911,93555,54139,774
2017-08-22$15.91$16.0039.5%11.9%22.1%78.3%40.9%2.8%-1.3%909.3K-15.4M-240.1K0.806.463,1442,50954,91440,254
2017-08-23$15.91$16.0040.3%12.1%22.1%81.9%42.2%2.5%-1.7%880.2K-14.6M-239.5K0.828.832,8572,35355,58241,369
2017-08-24$15.86$16.0040.4%12.5%21.8%82.6%44.0%3.1%-1.3%804.8K-13.9M-239.0K0.429.5112,7175,32855,95342,438
2017-08-25$17.05$16.0029.4%8.3%32.9%31.2%29.8%2.6%0.5%2.1M-47.3M-252.4K0.194.1016,3813,07162,16045,428
2017-08-28$17.17$16.0029.1%7.8%32.9%30.0%27.5%2.1%-0.4%1.3M-38.5M-244.5K0.825.703,1822,60456,10840,160
2017-08-29$17.25$16.0028.1%7.8%32.8%25.3%26.7%2.4%0.7%1.3M-40.9M-244.7K0.668.853,7242,47256,73440,756
2017-08-30$17.75$16.0027.2%7.6%33.8%20.7%25.6%2.5%0.1%1.3M-51.0M-242.0K0.548.454,2692,28856,67241,012
2017-08-31$17.92$16.0027.0%7.3%32.8%20.0%25.4%3.4%0.6%1.2M-54.7M-239.5K0.686.902,9802,02457,18541,434