AMRN Options History — May 2011

In May 2011, AMRN traded between $15.46 and $19.50. ATM implied volatility averaged 83.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 66.7% (HV 20d: 150.6%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2011-05-19: Highest Volume — 28,996 contracts
  • 2011-05-12: Largest IV spike — 21.9% change
  • 2011-05-19: Highest IV Rank — 31.9%
  • 2011-05-19: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.29$15.46$19.50$16.18$19.07
Max Pain$9.19$9.00$10.00$10.00$9.00
ATM IV83.9%70.2%94.0%79.3%89.0%
Expected Move24.6%20.9%27.0%22.7%25.5%
HV 20d150.6%42.0%244.2%242.7%43.6%
HV 60d144.7%144.0%145.1%144.9%144.2%
IV Rank24.8%15.3%31.9%21.6%28.4%
IV Percentile49.7%18.9%68.1%43.0%62.8%
Term Structure2.4%-4.8%11.2%1.0%0.2%
VWIV86.7%73.1%93.0%79.5%90.0%
Skew 25d-7.5%-18.0%2.3%-12.0%0.7%
Skew 10d-6.1%-44.0%20.6%-17.9%9.0%
Call IV 25d90.6%79.9%98.8%85.4%91.6%
Put IV 25d83.2%67.3%92.3%73.4%92.3%
Bid-Ask Spread %20.9711.8434.7823.0721.98
Gamma HHI0.160.140.200.150.17
Net GEX2.0M1.4M2.7M1.4M1.4M
Net DEX-275.7M-357.7M-208.1M-248.4M-208.1M
Net VEX-464.2K-507.2K-414.2K-423.6K-414.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.041.090.040.47
Total Volume12,731.2862,30628,99623,4839,046
Total OI344,522.714258,751386,190329,270258,751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$16.18$10.0079.3%22.7%242.7%21.6%79.5%-12.0%1.0%1.4M-248.4M-423.6K0.0423.0722,4771,006218,507110,763
2011-05-03$15.76$10.0077.1%22.1%243.3%20.1%74.3%-18.0%8.2%1.5M-240.5M-454.4K1.0221.585,7375,861227,646111,321
2011-05-04$15.63$10.0072.8%20.9%243.8%17.1%73.1%-15.2%10.5%1.5M-234.3M-457.9K0.1628.067,4151,167229,489115,965
2011-05-05$15.46$10.0073.0%20.9%243.7%17.2%74.4%-9.0%6.7%1.6M-230.1M-466.9K0.2734.781,815491231,794116,005
2011-05-06$15.60$9.0070.2%24.0%243.2%15.3%86.8%-6.6%2.8%1.6M-232.9M-468.2K0.4919.976,4603,167232,109115,832
2011-05-09$16.34$9.0078.1%25.0%243.2%20.8%87.9%-4.6%2.2%1.7M-263.6M-466.3K0.1117.337,220781236,792114,727
2011-05-10$16.83$9.0076.4%24.6%243.0%19.6%82.7%-4.3%3.8%1.9M-285.8M-465.3K0.1525.616,6131,001239,943114,969
2011-05-11$16.93$9.0074.6%24.5%242.9%18.4%86.1%-5.4%4.7%1.9M-289.5M-459.2K0.1311.845,295662239,530115,491
2011-05-12$17.44$9.0090.9%26.1%242.5%29.7%93.0%-6.1%-4.8%2.0M-302.3M-457.9K0.2518.7314,2773,604238,650115,878
2011-05-13$17.00$9.0089.0%25.5%243.3%28.4%91.4%-5.7%-1.0%2.1M-292.7M-476.5K1.0923.043,7454,088248,617118,534
2011-05-16$16.61$9.0089.4%25.6%244.2%28.7%91.2%-5.6%-0.3%2.2M-281.2M-454.3K0.3818.154,8241,810250,003116,869
2011-05-17$16.41$9.0088.9%25.5%56.6%28.3%91.0%-9.5%-1.3%2.2M-268.6M-440.5K0.5224.336,9183,585250,530117,794
2011-05-18$16.57$9.0088.7%25.4%49.1%28.2%90.7%-7.1%-1.7%2.3M-275.9M-447.7K0.8316.097,6046,275254,248121,008
2011-05-19$17.87$9.0094.0%27.0%55.5%31.9%91.2%-9.3%-2.3%2.7M-330.5M-476.8K0.1614.5125,0913,905259,073124,681
2011-05-20$18.46$9.0092.5%26.5%53.0%30.8%92.8%-11.2%-4.4%2.3M-357.7M-477.0K0.0621.4126,8801,503259,842126,348
2011-05-23$18.77$9.0092.0%26.4%49.2%30.5%92.4%-10.4%-0.8%2.0M-287.1M-474.6K0.1614.2514,2662,321215,94198,022
2011-05-24$18.91$9.0087.9%25.2%48.5%27.6%90.6%-2.4%1.5%2.1M-290.4M-488.2K0.2219.495,1571,140220,77399,464
2011-05-25$18.54$9.0086.2%24.7%46.0%26.4%84.6%-10.7%11.2%2.1M-280.7M-480.0K0.1223.4717,3842,168222,622100,152
2011-05-26$19.13$9.0085.9%24.6%42.6%26.2%89.1%-7.2%6.4%2.3M-289.5M-490.7K0.4120.203,4821,418220,969101,381
2011-05-27$19.50$9.0085.6%24.5%42.0%26.0%87.5%2.3%8.8%2.4M-300.4M-507.2K0.1822.4716,6483,050222,335101,609
2011-05-31$19.07$9.0089.0%25.5%43.6%28.4%90.0%0.7%0.2%1.4M-208.1M-414.2K0.4721.986,1572,889167,74591,006