MRVL Options History — September 2019

In September 2019, MRVL traded between $23.38 and $25.98. ATM implied volatility averaged 31.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 4.1% (HV 20d: 35.5%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2019-09-11: Highest Volume — 16,553 contracts
  • 2019-09-24: Largest IV spike — 9.0% change
  • 2019-09-27: Highest IV Rank — 30.3%
  • 2019-09-27: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.05$23.38$25.98$23.38$24.95
Max Pain$24.85$24.00$25.00$24.50$25.00
ATM IV31.4%29.1%35.4%34.8%32.2%
Expected Move9.0%8.3%10.1%9.9%9.0%
HV 20d35.5%32.1%39.4%36.8%34.6%
HV 60d32.2%30.1%33.9%30.1%33.8%
IV Rank15.6%6.8%30.3%28.3%18.5%
IV Percentile16.3%3.2%43.7%34.9%21.0%
Term Structure0.4%-0.2%2.1%-0.1%0.4%
VWIV31.4%28.8%35.1%34.1%34.2%
Skew 25d4.6%3.4%6.7%4.8%6.1%
Skew 10d9.2%6.5%13.3%9.8%12.0%
Call IV 25d29.7%27.7%32.9%32.9%30.2%
Put IV 25d34.3%31.9%39.0%37.8%36.3%
Bid-Ask Spread %2.992.294.642.414.64
Gamma HHI0.120.080.230.080.10
Net GEX3.9M817.2K7.7M817.2K2.8M
Net DEX-64.3M-109.9M-16.9M-16.9M-51.5M
Net VEX-904.3K-941.1K-862.5K-862.5K-885.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.202.820.652.82
Total Volume8,063.953,26416,5539,1617,827
Total OI230,751.65216,970243,015240,915216,970

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$23.38$24.5034.8%9.9%36.8%28.3%34.1%4.8%-0.1%817.2K-16.9M-862.5K0.652.415,5393,622146,41494,501
2019-09-04$23.97$24.5033.2%9.4%37.9%22.3%32.1%5.6%0.2%2.3M-37.5M-881.8K0.352.414,1291,438146,93394,675
2019-09-05$24.88$24.0031.6%9.1%39.4%16.0%31.4%4.8%-0.2%4.7M-75.1M-941.1K0.233.008,6401,985147,56195,008
2019-09-06$24.95$24.0030.0%8.7%38.5%10.2%30.8%4.6%0.4%6.2M-72.4M-912.4K0.472.293,3911,610147,16395,852
2019-09-09$24.95$25.0030.9%9.0%38.0%13.6%31.0%4.7%0.8%3.8M-68.3M-898.3K0.463.102,9151,336136,26488,682
2019-09-10$24.70$25.0031.8%9.1%35.7%16.7%31.8%4.7%-0.2%3.4M-58.8M-891.1K1.122.911,5421,722137,32989,299
2019-09-11$25.95$25.0030.4%8.8%36.4%11.5%29.5%4.2%0.3%5.8M-107.9M-935.0K0.203.3813,8082,745137,77790,304
2019-09-12$25.98$25.0029.9%8.6%36.0%9.9%28.8%3.4%0.2%6.4M-109.9M-931.7K0.272.598,6132,363142,86192,137
2019-09-13$25.85$25.0029.1%8.4%34.5%6.8%28.8%4.1%0.3%7.7M-100.8M-924.5K0.232.469,0662,042146,00793,084
2019-09-16$25.45$25.0031.1%9.0%33.5%14.3%29.6%3.9%0.0%4.5M-77.7M-900.9K0.522.614,4312,288136,96388,982
2019-09-17$25.87$25.0029.9%8.6%33.7%9.9%29.8%4.4%0.6%5.2M-93.4M-908.7K0.322.345,8911,884136,58490,684
2019-09-18$25.64$25.0029.6%8.5%33.7%8.6%30.4%3.9%2.1%4.7M-79.2M-901.5K0.252.785,4131,358139,26491,994
2019-09-19$25.63$25.0029.3%8.3%33.6%7.4%30.3%4.1%1.3%4.9M-81.6M-915.3K0.412.8011,2384,653141,37092,441
2019-09-20$24.84$25.0030.5%8.6%35.6%12.0%30.2%4.1%1.3%3.9M-44.8M-893.9K0.984.084,4924,405146,30096,173
2019-09-23$25.07$25.0031.1%8.8%32.1%14.4%30.7%3.8%0.0%2.4M-50.7M-904.8K0.463.515,6792,604126,40991,879
2019-09-24$24.24$25.0033.9%9.8%34.2%24.8%34.8%5.1%0.1%1.8M-22.4M-871.4K1.103.103,7254,093129,23693,032
2019-09-25$24.95$25.0031.7%9.0%35.5%16.5%32.3%4.8%0.7%2.2M-46.3M-911.1K0.703.012,4261,688128,99194,799
2019-09-26$25.05$25.0032.5%9.3%35.5%19.4%32.3%4.2%0.2%2.5M-52.1M-908.1K0.873.042,4402,118129,65894,962
2019-09-27$24.70$25.0035.4%10.1%34.8%30.3%35.1%6.7%-0.1%2.1M-39.6M-907.7K2.043.442,0144,106131,07395,418
2019-09-30$24.95$25.0032.2%9.0%34.6%18.5%34.2%6.1%0.4%2.8M-51.5M-885.0K2.824.642,0485,779126,94390,027