AMRN Options History — June 2011

In June 2011, AMRN traded between $13.64 and $18.67. ATM implied volatility averaged 76.2%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 28.8% (HV 20d: 47.3%). Max pain ranged from $9.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-06-10: Highest Volume — 53,844 contracts
  • 2011-06-10: Largest IV drop — 21.3% change
  • 2011-06-06: Highest IV Rank — 27.4%
  • 2011-06-03: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.42$13.64$18.67$18.67$14.43
Max Pain$15.41$9.00$18.00$9.00$15.00
ATM IV76.2%66.2%87.6%86.7%66.5%
Expected Move22.0%19.0%25.5%24.9%19.0%
HV 20d47.3%40.3%53.7%43.1%45.2%
HV 60d145.5%143.7%146.3%144.4%146.1%
IV Rank19.5%12.6%27.4%26.8%12.7%
IV Percentile31.4%9.5%57.9%56.4%10.0%
Term Structure6.6%-4.1%18.2%1.9%18.2%
VWIV77.8%63.9%89.1%89.1%63.9%
Skew 25d3.5%-4.3%12.1%5.8%8.0%
Skew 10d2.8%-33.3%22.7%11.1%10.8%
Call IV 25d76.7%59.4%89.2%86.9%59.4%
Put IV 25d80.2%67.4%94.5%92.7%67.4%
Bid-Ask Spread %37.8418.4856.1026.8543.44
Gamma HHI0.150.130.190.150.13
Net GEX1.7M749.9K2.7M2.6M1.2M
Net DEX-132.6M-276.7M-38.1M-276.7M-51.0M
Net VEX-422.5K-488.8K-351.8K-488.8K-440.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.052.040.520.38
Total Volume11,347.9551,56453,8442,7992,902
Total OI286,610.682172,250386,685333,323203,717

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$18.67$9.0086.7%24.9%43.1%26.8%89.1%5.8%1.9%2.6M-276.7M-488.8K0.5226.851,838961230,239103,084
2011-06-02$18.52$9.0083.5%23.9%43.1%24.5%84.0%5.1%5.2%2.6M-270.9M-480.3K0.0718.483,554258230,685103,683
2011-06-03$18.53$18.0083.1%25.5%42.6%24.3%88.2%1.1%-3.9%2.7M-274.1M-474.2K0.2433.281,266298232,692103,806
2011-06-06$17.18$18.0087.6%25.1%52.1%27.4%88.4%5.4%5.7%2.4M-227.9M-449.5K0.7256.1010,4957,565232,675103,860
2011-06-07$16.61$18.0078.5%24.3%51.4%21.1%85.5%-4.3%1.4%2.3M-209.1M-425.1K0.2630.5118,8364,873234,389102,811
2011-06-08$16.24$18.0080.5%24.2%50.9%22.5%86.5%-4.2%-0.3%2.2M-200.0M-437.6K0.1427.8123,3773,202241,424105,234
2011-06-09$16.31$18.0085.8%24.6%50.8%26.2%84.0%-1.9%-4.1%2.4M-209.1M-461.5K0.2434.423,820900250,047104,970
2011-06-10$15.63$18.0067.6%19.4%51.3%13.5%69.6%-3.9%5.9%2.1M-170.7M-377.5K0.3751.6239,28514,559244,332105,376
2011-06-13$15.15$16.0071.0%20.3%51.7%15.8%70.4%-0.4%2.2%1.9M-156.4M-390.8K0.1449.3511,2161,561258,914109,070
2011-06-14$15.03$16.0072.7%20.8%51.3%17.0%71.9%1.6%-2.0%2.0M-150.6M-387.6K0.4749.092,6031,225263,490109,317
2011-06-15$14.30$16.0075.5%21.7%53.7%19.0%74.5%1.3%3.9%1.4M-123.5M-351.8K0.2943.0716,2854,756258,944109,656
2011-06-16$13.93$15.0072.9%20.9%53.7%17.2%76.7%1.0%10.6%1.2M-114.9M-376.9K0.4842.2113,1506,283269,857112,376
2011-06-17$13.69$15.0080.2%23.0%43.5%22.2%82.8%5.8%3.1%749.9K-106.4M-392.5K0.7930.614,9403,917269,756116,929
2011-06-20$13.64$15.0081.1%23.2%40.3%22.9%81.6%-3.5%9.7%904.7K-38.1M-370.8K0.4825.442,7781,337136,38335,867
2011-06-21$14.45$15.0079.3%22.7%46.7%21.6%77.9%12.1%5.4%1.1M-48.3M-408.1K2.0436.833,6377,403138,84136,339
2011-06-22$14.32$15.0074.7%21.4%46.1%18.5%78.6%6.8%9.4%1.0M-42.4M-414.8K1.4829.06665981140,75642,415
2011-06-23$14.52$15.0069.7%20.0%47.1%15.0%72.7%12.0%15.5%1.1M-45.0M-422.1K0.3826.853,3811,276141,01642,474
2011-06-24$14.44$15.0072.8%20.9%44.3%17.1%78.3%9.3%14.1%1.1M-45.3M-423.3K0.1239.739,2361,115143,55842,744
2011-06-27$14.39$15.0071.7%20.5%42.7%16.3%70.6%11.3%13.1%1.2M-47.4M-425.6K0.0551.114,666235151,85342,873
2011-06-28$14.79$15.0068.7%19.7%45.2%14.3%69.3%2.1%13.5%1.3M-55.8M-447.6K0.6139.673,8812,365154,19842,850
2011-06-29$14.51$15.0066.2%19.0%45.1%12.6%68.1%6.9%17.0%1.2M-52.9M-449.0K0.0647.042,628146156,92245,013
2011-06-30$14.43$15.0066.5%19.0%45.2%12.7%63.9%8.0%18.2%1.2M-51.0M-440.3K0.3843.442,097805158,60945,108