AMRN Options History — March 2011

In March 2011, AMRN traded between $7.03 and $7.67. ATM implied volatility averaged 124.8%. The 30-day expected move averaged 38.4%. IV traded above realized volatility by 83.7% (HV 20d: 41.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.53.

Notable Days

  • 2011-03-10: Highest Volume — 40,337 contracts
  • 2011-03-10: Largest IV spike — 103.8% change
  • 2011-03-31: Largest Expected Move — 49.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.32$7.03$7.67$7.59$7.30
Max Pain$7.11$7.00$8.00$7.50$7.00
ATM IV124.8%63.3%171.3%119.9%171.3%
Expected Move38.4%22.3%49.1%34.4%49.1%
HV 20d41.0%36.9%47.4%37.4%38.1%
HV 60d56.0%47.8%61.9%61.9%47.8%
Term Structure33.1%12.4%65.5%12.4%15.8%
VWIV136.0%83.3%182.9%132.8%182.9%
Skew 25d-0.6%-24.6%12.7%-9.8%-21.3%
Skew 10d10.9%-43.3%76.8%15.2%-21.9%
Call IV 25d137.6%87.8%190.5%135.1%190.5%
Put IV 25d137.1%63.2%178.4%125.2%169.1%
Bid-Ask Spread %30.5616.5345.6519.3329.45
Gamma HHI0.170.140.270.270.14
Net GEX233.6K69.9K500.3K148.7K494.7K
Net DEX-24.0M-39.3M-11.9M-15.0M-39.3M
Net VEX-166.2K-243.4K-110.1K-110.9K-239.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.043.000.120.14
Total Volume12,846.6961,86740,33712,89311,118
Total OI148,950.65288,072224,78288,072223,965

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$7.59$7.50119.9%34.4%37.4%0.0%132.8%-9.8%12.4%148.7K-15.0M-110.9K0.1219.3311,5511,34260,56127,511
2011-03-02$7.67$7.5096.5%27.7%37.9%0.0%98.1%5.8%42.3%180.5K-17.2M-118.5K0.6227.863,0851,91867,01128,501
2011-03-03$7.51$7.5077.7%22.3%38.3%0.0%83.3%-24.6%45.1%139.1K-15.3M-114.5K0.5816.532,3761,37866,59230,222
2011-03-04$7.60$7.0069.4%34.9%38.9%0.0%125.5%1.6%20.3%124.2K-15.2M-116.4K0.2425.033,70590468,01731,501
2011-03-07$7.64$7.0076.4%35.8%39.1%0.0%125.2%1.9%25.1%145.1K-17.1M-119.2K0.2525.831,49637170,37331,993
2011-03-08$7.36$7.0073.9%35.5%40.7%0.0%126.1%-2.0%23.4%98.6K-14.3M-114.8K0.1828.942,62047571,34532,306
2011-03-09$7.09$7.0063.3%35.0%41.8%0.0%123.2%-1.1%33.5%69.9K-11.9M-110.1K0.2831.343,34594173,32532,460
2011-03-10$7.49$7.00129.0%37.0%47.4%0.0%130.5%-0.9%38.0%111.2K-16.7M-118.3K0.2330.1232,8977,44075,33932,742
2011-03-11$7.34$7.00129.3%37.1%47.1%0.0%130.0%0.1%37.0%154.1K-21.6M-153.1K0.7133.544,9243,518100,15239,490
2011-03-14$7.32$7.00135.5%38.8%47.1%0.0%137.2%1.1%34.6%139.6K-22.4M-154.8K1.0733.464,1314,424100,46339,434
2011-03-15$7.13$7.00141.8%40.6%43.3%0.0%144.1%4.6%24.9%148.3K-21.1M-153.9K3.0036.731,7085,117103,90441,307
2011-03-16$7.19$7.00143.1%41.0%43.7%0.0%143.8%9.3%33.4%120.6K-20.2M-158.9K0.4042.1818,6617,481104,82445,863
2011-03-17$7.07$7.00139.3%39.9%43.0%0.0%132.5%9.2%33.9%199.6K-22.7M-174.8K1.2043.881,7952,150117,37552,732
2011-03-18$7.18$7.00129.1%37.0%41.8%0.0%130.7%-1.6%48.3%145.5K-22.2M-179.4K1.2645.651,3201,669118,58654,648
2011-03-21$7.07$7.00108.7%31.2%41.3%0.0%107.6%5.1%60.8%255.2K-25.5M-178.0K0.4031.7114,1315,690104,64145,619
2011-03-22$7.03$7.00106.1%30.4%39.4%0.0%107.2%11.5%65.5%303.4K-26.7M-188.6K0.3724.8214,2075,326115,87548,968
2011-03-23$7.07$8.00143.2%41.1%36.9%0.0%141.6%-1.3%36.5%317.6K-28.4M-194.3K0.0623.8319,6781,090120,10949,928
2011-03-24$7.44$7.00163.2%46.8%41.8%0.0%162.5%12.7%39.1%382.1K-35.9M-210.7K0.5639.0817,87910,098125,67250,658
2011-03-25$7.43$7.00154.5%44.3%41.8%0.0%157.6%-4.8%22.4%382.0K-34.6M-217.9K0.4028.8712,5224,955129,78059,035
2011-03-28$7.31$7.00160.8%46.1%39.2%0.0%165.8%-7.3%27.2%400.6K-34.5M-225.4K0.0431.3921,059772138,21263,368
2011-03-29$7.28$7.00168.0%48.2%38.8%0.0%167.3%5.6%21.8%412.7K-34.4M-227.3K0.0527.1419,704888142,77363,903
2011-03-30$7.23$7.00169.6%48.6%38.5%0.0%173.0%-6.6%20.0%500.3K-38.9M-243.4K0.1126.203,245370159,93864,844
2011-03-31$7.30$7.00171.3%49.1%38.1%0.0%182.9%-21.3%15.8%494.7K-39.3M-239.3K0.1429.459,7581,360159,02864,937