MRVL Options History — September 2020

In September 2020, MRVL traded between $37.60 and $41.09. ATM implied volatility averaged 43.8%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.1% (HV 20d: 43.7%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-09-02: Highest Volume — 68,494 contracts
  • 2020-09-02: Largest IV spike — 14.1% change
  • 2020-09-02: Highest IV Rank — 25.2%
  • 2020-09-03: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.75$37.60$41.09$39.03$39.61
Max Pain$37.33$36.00$38.00$36.00$38.00
ATM IV43.8%40.0%49.6%43.5%41.1%
Expected Move12.5%11.3%14.7%11.9%11.3%
HV 20d43.7%35.2%46.8%35.2%42.1%
HV 60d34.9%31.2%36.1%31.2%35.1%
IV Rank18.9%14.9%25.2%18.6%16.1%
IV Percentile55.0%34.9%80.2%56.3%40.5%
Term Structure1.4%-4.1%5.8%5.6%3.0%
VWIV44.0%39.5%54.9%42.1%39.5%
Skew 25d1.1%-13.2%15.4%6.7%3.9%
Skew 10d5.6%-4.1%51.2%4.9%11.6%
Call IV 25d44.5%38.9%57.3%41.2%39.5%
Put IV 25d45.6%37.5%60.4%47.9%43.4%
Bid-Ask Spread %9.103.6720.769.555.07
Gamma HHI0.130.100.190.120.12
Net GEX9.5M6.0M13.4M9.9M13.4M
Net DEX-329.4M-496.5M-255.1M-385.3M-364.9M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.110.880.110.21
Total Volume25,813.61911,32068,49462,53415,024
Total OI286,162.857254,161301,732268,729298,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$39.03$36.0043.5%11.9%35.2%18.6%42.1%6.7%5.6%9.9M-385.3M-1.4M0.119.5556,1906,344186,04882,681
2020-09-02$41.09$36.0049.6%13.0%39.2%25.2%45.4%-1.7%-0.3%12.4M-496.5M-1.5M0.1716.6558,6819,813198,02386,650
2020-09-03$38.28$36.0046.8%14.7%45.2%22.2%54.9%-8.3%5.8%9.1M-338.7M-1.5M0.4117.8327,68711,283205,42587,713
2020-09-04$37.60$37.0048.1%14.5%45.5%23.5%53.3%3.8%-1.7%7.2M-292.0M-1.5M0.4020.5523,6059,357210,75590,977
2020-09-08$37.67$37.0049.5%14.2%45.0%25.0%52.1%-13.2%2.5%8.1M-287.9M-1.4M0.299.8916,9814,995194,95485,938
2020-09-09$39.19$37.0045.6%13.0%46.4%20.9%45.7%15.4%0.8%11.0M-370.7M-1.4M0.5012.9512,1316,099196,69587,535
2020-09-10$38.65$37.0044.0%12.8%46.8%19.1%45.6%3.4%0.4%10.8M-341.4M-1.4M0.3320.7617,5825,719198,50489,265
2020-09-11$38.60$37.0043.6%12.4%45.8%18.8%43.6%2.9%1.6%9.3M-337.0M-1.4M0.307.2718,3235,472200,95490,634
2020-09-14$39.43$37.0041.5%11.9%44.0%16.5%40.5%2.8%1.7%10.9M-366.0M-1.4M0.254.5419,1204,750200,47486,292
2020-09-15$38.89$37.0041.7%11.9%44.7%16.7%41.8%1.6%1.0%10.8M-334.6M-1.3M0.555.838,8674,848202,61787,454
2020-09-16$38.34$37.0042.3%12.1%44.9%17.4%42.0%1.2%-1.3%9.4M-304.2M-1.4M0.5914.688,8495,181203,90088,982
2020-09-17$38.66$38.0043.1%12.4%44.6%18.2%43.6%0.9%-0.7%10.3M-325.1M-1.4M0.884.249,2848,132207,02990,059
2020-09-18$38.61$38.0041.5%11.6%44.4%16.5%40.6%1.3%5.1%6.9M-319.2M-1.3M0.393.678,1583,162208,66392,310
2020-09-21$38.25$38.0043.0%12.2%44.8%18.1%42.6%1.6%5.7%6.0M-260.4M-1.3M0.187.2022,9274,020174,49979,662
2020-09-22$38.61$38.0045.7%12.0%43.3%21.0%41.9%-8.1%-4.1%8.5M-288.9M-1.3M0.455.5012,4975,661185,42181,315
2020-09-23$37.89$38.0042.5%12.3%43.8%17.6%43.0%-0.9%-1.5%6.9M-255.1M-1.3M0.264.7512,3083,181188,67284,971
2020-09-24$38.02$38.0043.8%12.4%43.7%18.9%42.7%-0.2%-0.9%7.9M-262.7M-1.4M0.195.4923,2374,379194,06386,181
2020-09-25$38.01$38.0040.0%11.9%43.4%14.9%41.7%0.7%-1.4%7.6M-264.1M-1.3M0.585.7412,5397,216205,53987,418
2020-09-28$39.80$38.0041.5%11.8%42.3%16.6%41.7%6.6%4.8%11.2M-364.9M-1.4M0.204.8926,2525,136200,40586,452
2020-09-29$39.51$38.0041.1%11.7%42.1%16.0%40.9%3.1%3.6%12.6M-357.9M-1.4M0.203.9414,2362,860207,79487,860
2020-09-30$39.61$38.0041.1%11.3%42.1%16.1%39.5%3.9%3.0%13.4M-364.9M-1.3M0.215.0712,3922,632209,75188,886