MRVL Options History — September 2017

In September 2017, MRVL traded between $17.27 and $18.43. ATM implied volatility averaged 26.9%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.8% (HV 20d: 28.6%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-09-11: Highest Volume — 12,566 contracts
  • 2017-09-13: Largest IV drop — 6.5% change
  • 2017-09-12: Highest IV Rank — 27.2%
  • 2017-09-11: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.85$17.27$18.43$17.86$17.89
Max Pain$17.65$16.00$18.00$16.00$18.00
ATM IV26.9%25.3%28.6%26.4%25.9%
Expected Move7.8%7.1%8.5%7.1%7.3%
HV 20d28.6%17.6%33.7%33.0%17.6%
HV 60d26.5%24.4%27.8%27.8%24.4%
IV Rank19.3%11.8%27.2%17.1%14.9%
IV Percentile17.2%4.8%33.7%11.1%8.3%
Term Structure0.3%-0.8%1.8%1.8%0.5%
VWIV27.2%24.6%29.7%24.6%26.3%
Skew 25d2.3%1.3%3.3%2.3%1.3%
Skew 10d4.8%1.5%9.9%3.3%2.6%
Call IV 25d26.5%24.6%28.3%25.5%26.4%
Put IV 25d28.8%26.9%30.6%27.8%27.7%
Bid-Ask Spread %7.244.7811.716.827.07
Gamma HHI0.200.170.270.230.21
Net GEX908.7K216.3K1.5M1.1M216.3K
Net DEX-43.2M-60.8M-27.9M-54.1M-35.5M
Net VEX-243.1K-259.6K-235.1K-236.1K-235.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.184.110.490.83
Total Volume6,466.953,31212,5665,7654,588
Total OI102,100.3595,669110,84299,263104,812

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$17.86$16.0026.4%7.1%33.0%17.1%24.6%2.3%1.8%1.1M-54.1M-236.1K0.496.823,8711,89457,64041,623
2017-09-05$17.84$17.0027.6%8.2%33.2%22.7%27.9%3.2%-0.3%1.1M-47.8M-237.4K0.385.305,3312,02754,77940,890
2017-09-06$17.61$17.0027.3%8.2%33.7%21.5%28.4%2.9%-0.2%1.1M-43.9M-238.3K0.786.422,8842,25555,96241,354
2017-09-07$17.49$17.0028.4%8.4%33.6%26.4%28.3%2.2%0.7%1.0M-40.3M-237.8K0.184.7810,1941,79356,09341,629
2017-09-08$17.27$17.0028.1%8.3%32.2%24.9%28.6%3.3%-0.2%1.3M-38.9M-251.2K0.596.373,4532,03161,15741,803
2017-09-11$17.38$17.0028.3%8.5%31.9%26.2%29.7%2.3%1.3%1.4M-42.5M-248.8K2.5411.713,5499,01761,57641,255
2017-09-12$17.60$18.0028.6%8.4%31.9%27.2%29.3%2.6%0.7%1.3M-42.2M-259.6K1.405.242,7203,79562,33846,499
2017-09-13$17.82$18.0026.7%7.8%31.7%18.6%27.5%2.0%0.3%1.5M-47.1M-259.5K1.095.622,6902,94262,70148,141
2017-09-14$18.29$18.0025.9%7.5%32.5%14.6%26.3%1.9%0.6%1.3M-59.9M-252.3K0.405.806,6382,66562,51548,073
2017-09-15$18.35$18.0025.3%7.6%29.9%11.8%26.5%2.3%1.7%836.3K-60.8M-249.9K0.608.854,5382,70762,48947,793
2017-09-18$18.43$18.0025.4%7.3%29.9%12.7%26.2%2.3%1.5%916.7K-51.1M-239.8K1.1010.113,9184,32855,21142,804
2017-09-19$18.13$18.0026.3%7.5%30.8%16.7%26.6%2.2%0.2%1.0M-46.5M-238.3K0.899.202,4872,21355,55440,756
2017-09-20$18.02$18.0027.2%7.8%30.9%20.8%28.1%2.3%-0.6%1.0M-43.0M-241.5K0.717.702,1651,53055,72440,457
2017-09-21$18.03$18.0027.4%7.9%30.9%21.6%27.7%2.1%-0.7%1.1M-44.0M-236.4K4.117.272,1628,88056,16140,608
2017-09-22$17.86$18.0026.0%7.4%31.2%15.3%25.9%2.5%0.2%434.0K-34.6M-246.9K0.877.321,9771,72756,47046,886
2017-09-25$17.61$18.0026.6%7.6%19.8%18.2%26.3%1.5%-0.0%356.5K-27.9M-240.0K0.876.362,1421,85855,77646,315
2017-09-26$17.64$18.0027.2%7.7%19.7%21.1%27.1%2.2%-0.8%346.8K-29.3M-238.2K1.007.561,6541,65855,94446,335
2017-09-27$17.92$18.0026.3%7.6%20.4%16.7%26.4%2.1%-0.4%412.2K-36.4M-239.2K0.809.532,2051,77456,20246,445
2017-09-28$17.98$18.0026.3%7.2%17.8%16.5%26.8%1.8%-0.1%448.6K-38.5M-235.1K1.405.822,1142,96556,68146,556
2017-09-29$17.89$18.0025.9%7.3%17.6%14.9%26.3%1.3%0.5%216.3K-35.5M-235.3K0.837.072,5042,08456,80648,006