AMRN Options History — April 2011

In April 2011, AMRN traded between $7.39 and $17.10. ATM implied volatility averaged 120.8%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 39.8%. IV traded below realized volatility by 10.1% (HV 20d: 130.9%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2011-04-18: Highest Volume — 111,141 contracts
  • 2011-04-18: Largest IV drop — 54.9% change
  • 2011-04-28: Highest IV Rank — 20.4%
  • 2011-04-12: Largest Expected Move — 58.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.79$7.39$17.10$7.43$16.00
Max Pain$8.10$7.00$10.00$7.00$10.00
ATM IV120.8%66.7%192.2%178.7%75.1%
Expected Move39.8%19.1%58.2%51.2%21.5%
HV 20d130.9%38.4%242.6%38.4%242.6%
HV 60d89.4%42.3%144.9%47.9%144.9%
IV Rank19.6%18.7%20.4%20.4%18.7%
IV Percentile33.2%29.1%37.3%37.3%29.1%
Term Structure-11.2%-34.7%7.6%7.3%4.2%
VWIV135.1%66.7%193.0%192.3%81.0%
Skew 25d13.1%-19.0%61.4%-19.0%-14.4%
Skew 10d14.9%-25.1%113.1%-11.6%-19.2%
Call IV 25d125.0%74.5%198.5%198.5%87.0%
Put IV 25d138.1%64.3%204.8%179.5%72.7%
Bid-Ask Spread %22.0311.1835.4635.4621.99
Gamma HHI0.170.130.330.150.14
Net GEX1.1M565.9K1.4M565.9K1.4M
Net DEX-151.1M-281.7M-44.2M-44.2M-240.7M
Net VEX-303.6K-422.3K-162.7K-253.9K-422.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.050.860.110.08
Total Volume23,205.453,647111,1419,8507,786
Total OI281,244.8236,800332,313236,800326,668

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$7.43$7.00178.7%51.2%38.4%0.0%192.3%-19.0%7.3%565.9K-44.2M-253.9K0.1135.468,895955170,75066,050
2011-04-04$7.39$7.00185.4%55.0%38.4%0.0%187.3%24.2%-22.9%602.6K-47.7M-255.1K0.2922.454,1701,227177,38866,631
2011-04-05$7.81$7.00171.0%54.2%41.0%0.0%184.1%25.6%-12.2%691.0K-52.9M-265.0K0.2622.437,5351,947180,57667,544
2011-04-06$8.43$7.00167.9%55.2%45.7%0.0%174.2%24.3%-27.7%839.1K-66.3M-281.1K0.3525.1015,7405,542184,17468,521
2011-04-07$8.28$7.00145.4%56.3%43.2%0.0%188.9%39.6%-33.7%902.7K-67.8M-284.8K0.2223.0515,8563,519190,44470,880
2011-04-08$8.44$7.00129.7%54.8%42.4%0.0%185.2%36.7%-26.8%1.0M-73.0M-289.9K0.2825.074,6491,323196,20569,129
2011-04-11$8.50$7.00137.1%54.6%42.3%0.0%182.6%37.4%-22.6%1.0M-71.6M-276.4K0.2126.607,6271,577189,58870,251
2011-04-12$8.50$7.00126.9%58.2%40.5%0.0%180.3%51.5%-31.5%1.2M-74.2M-278.1K0.1118.6329,2103,147194,30970,589
2011-04-13$8.46$7.00127.9%57.3%40.8%0.0%193.0%51.2%-34.7%1.2M-77.6M-288.9K0.6416.002,2201,427209,78572,022
2011-04-14$8.53$7.00192.2%55.1%39.7%0.0%179.7%51.4%-28.3%1.3M-77.1M-284.6K0.1515.928,4161,298208,58873,149
2011-04-15$8.77$7.00188.9%54.2%40.2%0.0%181.2%61.4%-24.8%1.4M-83.8M-283.3K0.3211.1815,8285,088209,82273,139
2011-04-18$17.10$7.0085.1%24.4%236.2%0.0%84.7%-8.4%-0.7%1.1M-281.7M-162.7K0.7323.5764,31946,822179,59263,077
2011-04-19$15.82$9.0075.1%21.5%239.6%0.0%74.8%-13.8%-0.9%1.2M-248.5M-221.5K0.2319.4158,79213,419187,31284,657
2011-04-20$15.97$9.0069.4%19.9%239.6%0.0%66.7%-9.5%6.5%1.3M-271.9M-299.8K0.8618.5116,97914,592212,62894,245
2011-04-21$16.92$10.0074.8%21.5%239.6%0.0%72.8%-14.8%1.6%1.2M-271.3M-342.6K0.2420.3021,2155,074201,166103,016
2011-04-25$16.10$10.0072.4%20.8%241.3%0.0%74.4%-15.6%5.3%1.2M-249.0M-370.3K0.2222.9220,9984,523207,050107,218
2011-04-26$15.87$10.0069.0%19.8%241.3%0.0%72.3%-16.0%5.8%1.3M-241.6M-399.1K0.2023.258,7861,782212,739109,106
2011-04-27$15.22$10.0066.7%19.1%242.6%0.0%69.2%-17.1%7.6%1.3M-221.3M-402.4K0.0526.6616,647818215,010109,565
2011-04-28$16.19$10.0077.5%22.2%242.1%20.4%76.9%-12.4%5.0%1.4M-259.4M-410.2K0.1522.0312,4511,910222,332109,981
2011-04-29$16.00$10.0075.1%21.5%242.6%18.7%81.0%-14.4%4.2%1.4M-240.7M-422.3K0.0821.997,241545215,698110,970