AMRN Options History — July 2011

In July 2011, AMRN traded between $13.44 and $14.82. ATM implied volatility averaged 61.1%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 25.2% (HV 20d: 35.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2011-07-13: Highest Volume — 13,771 contracts
  • 2011-07-11: Largest IV spike — 34.3% change
  • 2011-07-11: Highest IV Rank — 14.8%
  • 2011-07-05: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.10$13.44$14.82$14.78$13.54
Max Pain$14.55$14.00$15.00$15.00$14.00
ATM IV61.1%51.8%69.5%62.0%62.4%
Expected Move19.0%16.1%23.7%17.8%17.9%
HV 20d35.9%28.9%46.8%46.8%33.1%
HV 60d84.7%41.7%146.0%145.5%42.4%
IV Rank9.0%2.5%14.8%9.6%9.9%
IV Percentile8.5%1.1%18.2%5.3%10.5%
Term Structure11.4%2.9%24.3%22.7%24.3%
VWIV66.8%57.1%80.4%65.8%57.1%
Skew 25d-1.4%-9.4%6.6%4.6%-7.4%
Skew 10d-2.0%-26.3%36.1%36.1%4.2%
Call IV 25d68.7%61.4%81.7%63.6%64.9%
Put IV 25d67.2%54.8%88.3%68.2%57.4%
Bid-Ask Spread %45.5332.4163.0243.8454.09
Gamma HHI0.120.110.130.130.11
Net GEX1.0M625.4K1.4M1.4M761.7K
Net DEX-32.7M-58.9M-13.7M-58.9M-16.8M
Net VEX-414.2K-483.3K-377.8K-458.0K-377.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.031.850.140.10
Total Volume5,956.251,87913,7718,9242,055
Total OI222,924.95205,045237,313205,045230,872

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$14.78$15.0062.0%17.8%46.8%9.6%65.8%4.6%22.7%1.4M-58.9M-458.0K0.1443.847,8171,107159,73545,310
2011-07-05$14.54$15.0065.0%23.7%40.3%11.7%79.5%6.6%6.2%1.4M-56.5M-461.9K0.0337.373,41497166,89246,323
2011-07-06$14.47$15.0069.3%23.5%39.2%14.7%80.4%5.6%4.6%1.3M-50.1M-435.7K1.8532.414,0167,435166,06146,377
2011-07-07$14.82$15.0055.6%21.7%40.2%5.2%75.0%4.4%5.1%1.3M-50.7M-483.3K0.3537.043,3591,185168,04858,512
2011-07-08$14.81$15.0051.8%21.3%40.1%2.5%73.4%-0.8%6.9%1.4M-50.3M-444.0K1.3740.001,6552,264164,49451,068
2011-07-11$14.18$15.0069.5%21.2%40.2%14.8%70.5%-1.5%6.0%1.1M-38.0M-410.1K1.2048.062,9753,576165,90151,218
2011-07-12$13.83$15.0054.8%20.2%39.7%4.6%73.4%3.4%11.4%802.1K-28.1M-390.2K0.9049.024,8084,315167,24054,390
2011-07-13$13.91$15.0055.7%19.8%39.8%5.3%67.7%0.3%7.3%787.5K-24.6M-382.8K1.2845.546,0417,730168,52356,160
2011-07-14$13.77$15.0064.5%18.5%36.1%11.3%66.1%0.9%7.4%625.4K-20.4M-410.1K0.7863.021,9661,532173,32862,548
2011-07-15$13.63$15.0063.1%18.1%35.1%10.4%63.7%-2.3%7.1%655.6K-13.7M-391.9K0.6249.742,1861,353173,79563,518
2011-07-18$13.99$15.0068.6%19.7%35.8%14.2%69.7%-1.0%2.9%961.8K-26.2M-407.4K0.5336.748,1444,341157,39756,502
2011-07-19$14.10$14.0064.8%18.6%35.8%11.6%66.4%-3.1%9.7%1.0M-28.4M-416.9K0.4443.251,358596161,78860,248
2011-07-20$14.06$14.0066.0%18.9%29.1%12.4%63.5%-7.5%8.0%945.9K-23.8M-396.9K0.9044.541,2471,117161,84560,762
2011-07-21$14.09$14.0059.9%17.2%28.9%8.2%60.8%-3.5%10.4%1.0M-28.2M-410.7K0.1447.525,008689162,26961,595
2011-07-22$14.45$14.0060.3%17.3%30.0%8.4%60.1%-1.5%13.6%1.2M-37.8M-431.1K0.3834.126,3162,377162,87161,166
2011-07-25$14.10$14.0057.5%16.5%31.1%6.5%59.0%-2.8%16.8%1.1M-30.9M-405.0K0.3152.882,045627165,01761,180
2011-07-26$14.09$14.0058.6%16.8%31.1%7.3%58.6%-5.5%17.9%1.1M-31.3M-403.2K0.3845.264,1971,606165,02661,622
2011-07-27$13.44$14.0057.3%16.4%33.3%6.4%65.0%-8.5%18.1%836.5K-18.9M-381.3K0.4545.934,6002,092167,00062,996
2011-07-28$13.45$14.0056.3%16.1%32.9%5.7%60.7%-9.4%21.1%827.8K-20.5M-385.0K0.5660.261,201678165,43663,466
2011-07-29$13.54$14.0062.4%17.9%33.1%9.9%57.1%-7.4%24.3%761.7K-16.8M-377.8K0.1054.091,869186166,87064,002