MRVL Options History — December 2017

In December 2017, MRVL traded between $21.50 and $22.37. ATM implied volatility averaged 26.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 9.1% (HV 20d: 35.1%). Max pain ranged from $17.00 to $20.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-12-01: Highest Volume — 12,364 contracts
  • 2017-12-08: Largest IV drop — 6.5% change
  • 2017-12-04: Highest IV Rank — 41.3%
  • 2017-12-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.00$21.50$22.37$22.20$21.50
Max Pain$17.77$17.00$20.50$20.50$20.00
ATM IV26.0%23.6%30.7%30.2%24.2%
Expected Move7.4%6.6%8.9%8.9%6.8%
HV 20d35.1%17.0%49.6%49.6%17.6%
HV 60d31.5%31.3%31.7%31.6%31.7%
IV Rank16.9%4.5%41.3%38.8%7.6%
IV Percentile15.4%0.4%55.6%52.4%1.6%
Term Structure0.5%-0.7%2.6%-0.3%1.0%
VWIV25.8%23.3%30.5%30.5%23.6%
Skew 25d1.7%0.7%2.9%2.9%2.1%
Skew 10d4.3%-2.0%12.5%5.6%0.7%
Call IV 25d25.7%23.2%31.0%29.9%23.3%
Put IV 25d27.4%24.1%32.8%32.8%25.4%
Bid-Ask Spread %5.233.2011.718.569.78
Gamma HHI0.130.090.460.100.46
Net GEX2.0M1.4M3.8M2.2M3.8M
Net DEX-88.4M-114.1M-28.5M-106.9M-28.5M
Net VEX-164.8K-191.1K-152.7K-189.4K-152.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.471.020.560.73
Total Volume7,303.954,46312,36412,3647,606
Total OI116,616.1577,436152,933152,93380,522

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$22.20$20.5030.2%8.9%49.6%38.8%30.5%2.9%-0.3%2.2M-106.9M-189.4K0.568.567,9394,425102,93549,998
2017-12-04$22.31$17.0030.7%8.2%49.6%41.3%28.8%1.3%0.1%2.5M-114.1M-191.1K0.5611.715,7403,22090,82640,208
2017-12-05$21.99$17.0029.3%8.2%40.6%33.9%29.4%2.2%-0.1%2.2M-106.3M-179.7K0.625.645,0963,17491,80241,035
2017-12-06$21.81$17.0027.9%7.9%40.8%26.8%28.1%1.9%0.2%2.1M-100.4M-175.8K0.624.675,0913,15692,28342,041
2017-12-07$22.03$17.0027.8%7.7%40.8%26.5%27.5%1.7%-0.1%2.2M-106.7M-173.4K0.574.315,0552,86593,41442,724
2017-12-08$22.04$17.0026.0%7.5%40.8%17.1%26.2%1.6%0.4%1.8M-106.2M-165.4K0.664.164,6193,06493,52743,240
2017-12-11$22.05$17.0026.6%7.6%40.8%20.2%26.3%1.7%0.1%2.2M-106.5M-161.3K0.593.354,5422,66189,99942,523
2017-12-12$22.24$17.0026.4%7.5%40.8%19.0%26.2%2.4%-0.3%2.3M-109.9M-163.9K0.605.053,8072,26691,02542,905
2017-12-13$21.83$17.0026.0%7.4%41.6%16.9%25.7%2.1%-0.5%1.9M-101.3M-161.2K0.524.054,2772,23591,45343,010
2017-12-14$21.64$17.0025.7%7.3%41.8%15.5%25.7%0.7%-0.4%1.7M-97.3M-157.6K0.473.205,0712,40292,63643,045
2017-12-15$21.59$17.0024.8%7.0%41.8%10.8%24.6%0.9%-0.7%1.6M-97.1M-157.1K0.723.944,6863,38793,92143,364
2017-12-18$22.15$17.0024.8%7.1%42.5%10.8%24.7%1.4%1.3%1.6M-95.2M-156.5K0.563.215,5563,11968,35132,112
2017-12-19$22.37$17.0024.3%7.0%36.2%8.2%24.3%1.0%1.1%1.7M-99.8M-160.4K0.683.393,5502,42369,93433,206
2017-12-20$22.32$17.0023.8%6.8%25.6%5.8%24.1%1.1%1.9%1.8M-99.4M-163.2K0.874.133,3342,90770,84033,645
2017-12-21$22.06$17.0023.6%6.6%23.6%4.5%23.3%0.9%2.6%1.5M-93.2M-160.2K0.824.583,3572,76570,96934,169
2017-12-22$22.01$17.0023.9%6.7%23.6%6.0%23.7%1.2%1.6%1.7M-91.9M-164.1K0.804.293,4712,77671,32434,635
2017-12-26$21.83$20.0025.1%7.1%23.1%12.1%24.8%1.8%-0.3%1.4M-33.4M-155.2K0.624.273,5492,21643,81833,618
2017-12-27$22.06$20.0024.2%6.9%23.6%7.7%24.4%1.9%1.4%1.4M-38.4M-154.3K1.024.032,2042,25944,55233,777
2017-12-28$21.89$20.0024.5%6.9%17.0%9.1%24.0%2.6%1.7%1.4M-34.7M-152.7K0.518.194,1002,10944,72334,214
2017-12-29$21.50$20.0024.2%6.8%17.6%7.6%23.6%2.1%1.0%3.8M-28.5M-152.9K0.739.784,3993,20746,39034,132