MRVL Options History — November 2017

In November 2017, MRVL traded between $18.27 and $23.80. ATM implied volatility averaged 35.0%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 0.6% (HV 20d: 34.5%). Max pain ranged from $17.00 to $20.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2017-11-20: Highest Volume — 33,974 contracts
  • 2017-11-06: Largest IV spike — 19.0% change
  • 2017-11-07: Highest IV Rank — 82.2%
  • 2017-11-27: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.96$18.27$23.80$18.27$22.37
Max Pain$19.26$17.00$20.50$17.00$20.50
ATM IV35.0%28.7%39.4%33.6%28.7%
Expected Move10.2%7.6%12.5%7.6%8.5%
HV 20d34.5%11.5%49.8%11.8%49.3%
HV 60d27.9%22.6%31.8%23.4%31.6%
IV Rank62.5%31.1%82.2%50.8%31.1%
IV Percentile74.0%44.0%90.5%68.7%44.0%
Term Structure-1.9%-5.8%0.5%-1.3%0.5%
VWIV35.7%30.0%43.9%30.6%30.0%
Skew 25d2.2%-1.5%4.8%3.5%1.3%
Skew 10d5.7%0.6%14.9%6.9%1.2%
Call IV 25d34.8%29.2%38.7%33.2%29.2%
Put IV 25d37.0%30.5%40.8%36.6%30.5%
Bid-Ask Spread %10.833.1526.8910.6512.57
Gamma HHI0.160.100.200.190.14
Net GEX1.5M493.5K2.9M1.5M685.0K
Net DEX-94.0M-151.2M-49.4M-49.4M-109.1M
Net VEX-145.9K-193.0K-107.8K-171.3K-190.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.250.960.960.70
Total Volume13,435.2864,86933,9746,23719,324
Total OI103,441.95277,154152,50490,945152,504

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$18.27$17.0033.6%7.6%11.8%50.8%30.6%3.5%-1.3%1.5M-49.4M-171.3K0.9610.653,1773,06053,63537,310
2017-11-02$18.29$18.0033.3%9.3%11.5%49.3%32.9%3.4%-0.5%1.8M-50.3M-165.6K0.764.752,7682,10153,70437,403
2017-11-03$18.50$18.0033.1%9.4%11.6%48.3%32.8%2.9%-1.5%2.7M-55.9M-160.7K0.356.653,9451,38153,91637,498
2017-11-06$20.20$18.0039.4%10.3%32.9%77.7%35.5%2.8%-2.3%1.5M-85.0M-131.5K0.286.0710,2162,82253,77536,047
2017-11-07$20.11$18.0038.6%10.1%33.1%82.2%35.5%3.0%-2.9%1.4M-81.7M-134.7K0.375.144,5961,70053,99437,792
2017-11-08$20.12$19.0035.3%9.8%33.1%64.9%34.6%1.1%-1.1%1.3M-82.7M-127.2K0.365.894,3341,57454,18138,277
2017-11-09$20.11$19.0036.2%10.2%32.6%69.8%35.8%3.1%-1.5%1.3M-81.3M-134.3K0.435.164,4041,90154,23638,486
2017-11-10$20.13$19.0035.3%10.0%32.5%65.2%34.0%1.4%-1.2%1.4M-82.4M-132.9K0.343.994,5101,53654,84138,529
2017-11-13$20.12$19.0034.4%9.7%32.5%60.7%33.7%2.6%-0.1%1.3M-82.8M-125.7K0.534.044,3382,30554,74638,508
2017-11-14$20.12$19.0037.0%10.5%32.5%73.8%36.4%4.8%-3.4%1.3M-82.8M-129.0K0.469.264,0571,86355,84239,428
2017-11-15$20.06$19.0035.9%10.3%32.7%68.1%35.6%4.1%-2.0%1.1M-81.2M-131.2K0.703.873,3792,34956,20440,193
2017-11-16$20.27$19.0033.7%9.7%32.6%56.9%34.0%2.6%-1.3%1.2M-86.4M-126.8K0.773.153,5812,77456,70740,689
2017-11-17$20.27$19.0033.6%9.9%32.6%56.3%34.2%2.6%-2.2%1.2M-86.4M-125.4K0.483.395,8992,80856,97141,557
2017-11-20$21.62$20.0035.3%10.6%38.9%65.1%37.0%-1.5%-1.3%1.1M-85.7M-110.5K0.4426.8923,58210,39248,56328,591
2017-11-21$23.19$20.5034.2%11.2%44.7%59.1%39.4%1.6%-3.6%1.0M-125.7M-107.8K0.4312.1020,2408,75962,38336,137
2017-11-22$23.80$20.5037.4%11.1%44.3%75.8%39.8%2.1%-2.5%2.0M-142.9M-125.8K0.2519.1724,5766,15672,35140,344
2017-11-24$23.80$20.5036.1%11.3%44.3%69.4%40.8%1.0%-5.8%2.9M-151.2M-173.6K0.5525.488,7214,77984,09941,987
2017-11-27$23.40$20.5037.2%12.5%45.4%74.8%43.9%2.6%-1.6%2.0M-135.4M-175.4K0.3919.679,8873,85979,90339,481
2017-11-28$23.24$20.5036.8%12.2%45.2%72.8%40.3%0.6%-3.1%2.4M-133.1M-193.0K0.6425.0020,56713,10383,71140,596
2017-11-29$22.17$20.5030.7%9.7%49.8%41.1%33.4%0.6%-0.3%493.5K-102.4M-189.6K0.4814.6614,1026,71696,49250,670
2017-11-30$22.37$20.5028.7%8.5%49.3%31.1%30.0%1.3%0.5%685.0K-109.1M-190.7K0.7012.5711,3887,936100,98551,519