MRVL Options History — September 2021

In September 2021, MRVL traded between $60.16 and $63.80. ATM implied volatility averaged 30.3%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 7.5% (HV 20d: 22.8%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2021-09-20: Highest Volume — 23,815 contracts
  • 2021-09-20: Largest IV spike — 24.7% change
  • 2021-09-20: Highest IV Rank — 18.7%
  • 2021-09-20: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.76$60.16$63.80$60.95$60.49
Max Pain$62.07$60.00$62.50$60.00$62.00
ATM IV30.3%27.4%36.1%28.6%33.8%
Expected Move8.7%7.7%10.5%7.7%10.1%
HV 20d22.8%20.9%25.4%22.0%25.2%
HV 60d24.7%23.8%25.3%25.3%24.8%
IV Rank5.2%0.0%18.7%0.0%15.0%
IV Percentile6.9%0.0%25.4%0.4%22.6%
Term Structure0.0%-1.8%1.7%1.5%-0.3%
VWIV30.8%27.7%37.0%28.2%34.7%
Skew 25d4.0%2.5%5.6%2.6%5.6%
Skew 10d10.6%5.4%27.4%6.1%9.2%
Call IV 25d29.1%26.2%34.1%27.9%32.3%
Put IV 25d33.0%29.9%39.0%30.5%37.8%
Bid-Ask Spread %61.384.4979.004.4952.75
Gamma HHI0.110.070.300.070.09
Net GEX10.4M-145.3K25.5M7.8M4.1M
Net DEX-357.9M-470.3M-259.1M-326.4M-259.1M
Net VEX-1.7M-1.8M-1.6M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.181.610.600.55
Total Volume14,455.819,47723,8159,81411,324
Total OI264,994.19238,364286,076269,533271,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$60.95$60.0028.6%7.7%22.0%0.0%28.2%2.6%1.5%7.8M-326.4M-1.8M0.604.496,1443,670148,991120,542
2021-09-02$61.19$62.5029.1%8.5%21.4%1.1%29.2%2.7%0.8%8.6M-340.6M-1.7M0.9269.525,0254,647149,521121,239
2021-09-03$61.59$62.5028.2%8.2%21.4%0.0%28.8%3.3%1.7%9.3M-357.3M-1.8M1.2568.295,9137,408150,061123,228
2021-09-07$61.41$62.5028.6%8.2%21.5%1.0%28.9%2.8%-0.4%8.8M-355.7M-1.7M1.1772.508,3539,786141,325116,929
2021-09-08$60.48$62.5030.9%8.5%21.8%6.4%29.5%3.6%-1.8%5.6M-295.9M-1.7M0.7568.507,7435,821142,467118,837
2021-09-09$61.45$62.5029.6%8.3%22.5%3.3%29.7%3.1%-0.8%6.0M-354.4M-1.7M0.7569.178,0906,088146,343127,017
2021-09-10$61.34$62.5030.0%8.5%22.4%4.3%31.0%2.5%-0.4%-145.3K-348.6M-1.7M1.1679.008,2849,592148,663130,570
2021-09-13$62.10$62.5029.8%8.6%22.8%3.9%30.8%5.1%0.7%9.2M-374.2M-1.7M0.3068.5113,1603,958139,539124,474
2021-09-14$62.07$62.5029.8%8.5%21.4%3.8%30.3%4.4%1.2%9.3M-370.7M-1.7M0.4874.356,9273,320140,789127,468
2021-09-15$62.41$62.5029.3%8.4%20.9%2.5%29.8%4.7%0.2%13.5M-419.4M-1.6M0.1876.4712,8482,251146,559128,765
2021-09-16$63.24$62.5029.4%8.4%21.0%2.8%29.4%5.4%-0.2%17.4M-470.3M-1.6M0.4574.736,5152,962147,845130,006
2021-09-17$62.27$62.5028.9%8.4%21.9%1.7%29.8%4.8%-0.3%19.2M-426.0M-1.6M0.7471.3112,5079,251155,555130,521
2021-09-20$60.16$62.5036.1%10.5%25.2%18.7%37.0%4.9%-0.5%6.6M-275.2M-1.7M1.6149.959,14014,675129,572108,792
2021-09-21$61.15$62.5033.0%9.4%22.3%11.3%32.9%4.6%-0.8%8.8M-305.2M-1.7M0.4757.757,5493,560130,727111,002
2021-09-22$62.73$61.0030.4%8.7%24.0%5.2%31.7%5.2%-0.2%13.5M-371.6M-1.7M0.3964.919,9503,843134,406119,845
2021-09-23$63.51$61.0028.2%8.1%24.2%0.0%28.7%3.1%-1.0%18.2M-434.8M-1.6M0.2456.1513,4893,193137,009121,802
2021-09-24$63.80$61.0027.4%7.8%24.2%0.0%27.7%4.6%0.2%25.5M-463.1M-1.6M0.2450.7514,3833,383141,128122,659
2021-09-27$63.15$62.0028.4%8.2%22.1%2.5%29.4%2.6%0.8%13.2M-399.5M-1.6M0.4055.547,0412,837134,986117,667
2021-09-28$61.00$62.0032.9%9.9%25.4%12.8%35.1%3.2%0.4%7.7M-297.8M-1.7M0.9351.768,3857,787142,023118,878
2021-09-29$60.55$62.0033.0%9.9%25.4%13.2%33.9%4.3%0.1%5.9M-270.0M-1.7M0.4152.489,0563,714145,337120,001
2021-09-30$60.49$62.0033.8%10.1%25.2%15.0%34.7%5.6%-0.3%4.1M-259.1M-1.7M0.5552.757,2884,036146,712125,078