MRVL Options History — November 2020

In November 2020, MRVL traded between $36.66 and $46.18. ATM implied volatility averaged 49.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 6.7% (HV 20d: 56.4%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-11-06: Highest Volume — 136,924 contracts
  • 2020-11-03: Largest IV drop — 9.2% change
  • 2020-11-02: Highest IV Rank — 31.8%
  • 2020-11-30: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.60$36.66$46.18$36.66$46.18
Max Pain$39.05$37.00$40.00$37.00$40.00
ATM IV49.7%47.1%55.9%55.9%48.7%
Expected Move14.2%12.6%15.0%14.2%15.0%
HV 20d56.4%37.4%64.0%37.4%54.3%
HV 60d45.0%38.2%47.9%38.2%42.6%
IV Rank25.2%22.5%31.8%31.8%24.1%
IV Percentile77.2%68.3%88.9%88.9%71.8%
Term Structure-1.0%-3.8%1.4%-0.1%1.2%
VWIV49.8%44.8%53.4%48.9%53.4%
Skew 25d2.3%-3.1%19.5%9.1%-1.8%
Skew 10d4.0%-5.3%37.2%37.2%0.1%
Call IV 25d49.0%36.6%53.6%47.6%50.6%
Put IV 25d51.3%40.0%66.6%56.7%48.8%
Bid-Ask Spread %7.774.2314.015.374.36
Gamma HHI0.130.090.270.110.10
Net GEX18.0M5.3M32.1M5.3M18.0M
Net DEX-523.8M-710.5M-149.0M-149.0M-655.2M
Net VEX-1.9M-2.1M-1.5M-1.5M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.140.500.170.15
Total Volume40,753.9518,097136,92426,63629,865
Total OI397,608.25327,115456,427327,115379,782

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$36.66$37.0055.9%14.2%37.4%31.8%48.9%9.1%-0.1%5.3M-149.0M-1.5M0.175.3722,7383,898214,092113,023
2020-11-03$37.22$37.0050.7%13.7%37.6%26.3%47.0%19.5%-3.3%6.0M-176.6M-1.5M0.354.7014,3465,007214,092113,023
2020-11-04$38.96$37.0047.2%12.6%41.5%22.6%44.8%3.4%1.4%9.3M-273.3M-1.6M0.197.7828,4245,485220,713118,684
2020-11-05$41.24$38.0047.1%13.5%46.9%22.5%46.9%3.5%-1.5%13.3M-446.0M-1.6M0.3814.0133,92912,953233,612120,122
2020-11-06$45.12$38.0049.6%14.1%54.5%25.1%49.5%14.4%-3.3%16.2M-710.5M-1.7M0.1412.44119,92516,999242,927119,068
2020-11-09$42.64$39.0050.0%13.9%57.4%25.6%49.1%0.1%-2.0%14.9M-513.0M-1.8M0.2211.5037,3638,051257,053121,330
2020-11-10$40.36$39.0051.4%14.7%60.4%27.1%51.4%0.6%-2.0%12.7M-376.9M-1.8M0.268.9170,97318,508271,667122,777
2020-11-11$42.10$39.0050.2%14.3%62.6%25.7%50.3%-0.8%0.7%19.3M-548.4M-2.0M0.268.5138,61710,104306,632130,869
2020-11-12$41.65$39.0051.0%13.8%62.6%26.6%49.9%-3.1%-2.6%17.4M-489.4M-2.0M0.309.6224,1267,341308,270137,225
2020-11-13$43.16$39.0050.2%14.5%64.0%25.8%50.7%0.2%1.4%21.9M-636.9M-2.1M0.266.7838,85310,262315,895140,532
2020-11-16$43.20$39.0050.0%14.2%63.2%25.6%50.8%0.0%-0.5%20.9M-614.7M-2.0M0.307.9829,0288,797302,417133,004
2020-11-17$42.94$40.0050.6%14.5%63.1%26.2%50.4%0.3%-2.2%20.5M-584.2M-2.0M0.319.2313,8254,272304,930136,303
2020-11-18$43.08$40.0050.0%14.3%61.9%25.6%50.5%-0.5%-0.7%20.3M-596.4M-2.0M0.368.9913,6914,861309,315138,882
2020-11-19$44.00$40.0049.8%14.3%62.1%25.4%50.5%-0.2%-0.5%25.2M-679.0M-2.0M0.304.7820,9586,316310,658141,465
2020-11-20$44.34$40.0049.1%14.4%62.1%24.6%50.8%-1.2%-3.8%22.7M-697.9M-2.0M0.309.5027,3718,227311,728141,976
2020-11-23$44.66$40.0048.0%14.3%61.6%23.4%49.8%0.9%0.8%17.8M-557.1M-2.0M0.254.2333,1908,335248,016101,670
2020-11-24$44.64$40.0047.9%14.3%61.1%23.3%50.1%-0.2%-0.3%21.1M-568.9M-2.1M0.206.5632,5486,509270,075107,312
2020-11-25$44.80$40.0048.1%14.3%58.0%23.5%50.9%1.0%-2.6%24.5M-591.6M-2.1M0.504.9212,6846,402283,586110,003
2020-11-27$45.03$40.0048.4%14.4%55.8%23.8%51.4%0.7%0.1%32.1M-610.2M-2.1M0.395.3114,5865,712286,024113,413
2020-11-30$46.18$40.0048.7%15.0%54.3%24.1%53.4%-1.8%1.2%18.0M-655.2M-2.1M0.154.3626,0563,809271,356108,426