AMRN Options History — December 2010

In December 2010, AMRN traded between $5.48 and $8.49. ATM implied volatility averaged 76.1%. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 88.1% (HV 20d: 164.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2010-12-06: Highest Volume — 5,326 contracts
  • 2010-12-06: Largest IV drop — 16.2% change
  • 2010-12-17: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.78$5.48$8.49$5.48$8.20
Max Pain$5.68$5.00$7.50$5.00$7.50
ATM IV76.1%52.3%91.6%66.7%83.4%
Expected Move22.0%15.7%26.3%19.1%23.9%
HV 20d164.2%67.6%187.4%185.3%68.2%
HV 60d131.2%131.2%131.2%131.2%131.2%
Term Structure10.0%-5.6%37.1%13.0%11.2%
VWIV82.5%63.3%94.2%67.0%84.8%
Skew 25d-1.0%-5.8%1.9%-5.8%1.9%
Skew 10d1.9%-6.9%7.3%-6.9%7.3%
Call IV 25d95.8%94.2%98.9%96.2%98.9%
Put IV 25d94.8%90.4%100.8%90.4%100.8%
Bid-Ask Spread %30.8211.9966.3321.6325.05
Gamma HHI0.730.540.930.620.56
Net GEX47.8K12.4K92.6K12.4K92.6K
Net DEX-6.2M-10.4M-1.6M-1.6M-9.7M
Net VEX-22.7K-31.6K-9.0K-9.0K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.012.970.310.60
Total Volume1,568.7271205,3262,994440
Total OI21,201.72713,65624,53613,65624,361

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$5.48$5.0066.7%19.1%185.3%0.0%67.0%0.0%13.0%12.4K-1.6M-9.0K0.3121.632,2877077,9865,670
2010-12-02$5.49$5.0064.1%18.4%185.4%0.0%64.4%0.0%10.9%14.9K-2.1M-12.1K0.1536.06482709,8186,124
2010-12-03$5.54$5.0065.1%18.7%184.5%0.0%66.2%0.0%6.0%14.5K-2.3M-12.1K0.1725.881,7012869,7986,181
2010-12-06$5.95$5.0054.5%18.2%185.0%0.0%92.5%0.0%37.1%15.5K-3.5M-13.0K0.0430.585,11920711,2316,368
2010-12-07$5.87$5.0052.3%20.7%185.7%0.0%86.6%0.0%14.0%27.8K-4.4M-18.2K0.0819.697135914,8636,296
2010-12-08$5.95$5.0054.0%15.7%183.6%0.0%63.3%0.0%32.7%27.4K-4.5M-18.3K0.0242.819321715,0656,316
2010-12-09$5.82$5.0056.6%19.9%183.6%0.0%83.3%0.0%17.7%31.0K-4.7M-19.7K0.1529.391322015,8786,320
2010-12-10$5.58$5.0065.0%19.1%185.2%0.0%67.8%0.0%6.5%35.8K-4.0M-19.3K0.6627.2118912515,8946,331
2010-12-13$5.80$5.0073.4%19.6%185.3%0.0%78.5%0.0%12.4%29.3K-4.6M-19.5K0.2156.523417016,0136,438
2010-12-14$5.92$5.0081.1%15.7%185.2%0.0%0.0%0.0%33.3%27.1K-4.9M-19.7K0.1442.141051516,2356,463
2010-12-15$6.29$5.0082.8%23.7%185.4%0.0%84.1%0.0%-0.2%32.6K-5.6M-20.6K0.0445.572,76110116,1996,458
2010-12-16$6.35$5.0087.6%25.1%184.1%0.0%88.5%0.0%-5.6%37.4K-6.0M-21.9K0.0140.091,4031117,1396,501
2010-12-17$7.16$5.0091.6%26.3%187.0%0.0%90.4%0.0%-1.3%43.9K-7.9M-24.2K0.1717.972,13237318,0356,501
2010-12-20$7.83$5.0090.0%25.8%187.4%0.0%89.8%-5.8%-1.9%56.5K-7.6M-26.9K0.4211.993,6791,54314,8233,687
2010-12-21$7.75$5.0082.9%23.8%186.6%0.0%82.6%0.0%9.6%67.2K-8.0M-29.0K0.3720.4367625116,4943,996
2010-12-22$7.87$5.0087.9%25.2%185.3%0.0%94.2%0.2%2.1%68.0K-8.5M-29.9K0.4414.041,91184916,8284,197
2010-12-23$7.88$7.5087.8%25.2%185.8%0.0%89.9%-1.5%1.5%78.5K-8.9M-31.0K0.5212.9372037218,2794,439
2010-12-27$7.91$7.5086.3%24.7%184.8%0.0%88.5%0.0%4.0%81.5K-8.8M-31.0K2.9715.3221864718,3934,667
2010-12-28$7.85$7.5088.9%25.5%68.9%0.0%91.4%0.0%5.7%79.9K-8.7M-30.6K0.1116.282222518,3454,729
2010-12-29$8.49$7.5086.4%24.8%72.1%0.0%93.2%0.0%0.8%87.2K-10.4M-31.0K0.2366.331,33830218,4494,733
2010-12-30$8.29$7.5084.7%24.3%67.6%0.0%84.4%0.0%9.4%90.4K-10.0M-30.8K0.3260.0173023118,8994,998
2010-12-31$8.20$7.5083.4%23.9%68.2%0.0%84.8%1.9%11.2%92.6K-9.7M-31.6K0.6025.0527516519,1435,218