AMRN Options History — September 2011

In September 2011, AMRN traded between $8.95 and $11.26. ATM implied volatility averaged 89.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 22.6% (HV 20d: 66.3%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-09-20: Highest Volume — 6,152 contracts
  • 2011-09-12: Largest IV spike — 16.3% change
  • 2011-09-12: Highest IV Rank — 42.3%
  • 2011-09-13: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.48$8.95$11.26$10.96$9.20
Max Pain$10.90$10.00$14.00$14.00$10.00
ATM IV89.0%80.5%109.1%81.8%82.3%
Expected Move25.7%23.1%29.6%23.4%23.6%
HV 20d66.3%40.6%92.0%92.0%51.2%
HV 60d70.5%69.5%72.8%70.5%72.8%
IV Rank28.4%22.5%42.3%23.3%23.7%
IV Percentile61.6%45.8%81.4%50.5%47.0%
Term Structure0.5%-11.1%10.6%4.1%9.2%
VWIV90.1%80.7%101.9%86.8%84.2%
Skew 25d2.0%-7.8%11.9%-7.8%-2.0%
Skew 10d2.9%-29.2%43.6%-17.2%2.9%
Call IV 25d90.0%79.6%104.3%91.2%87.3%
Put IV 25d92.0%82.6%104.8%83.4%85.3%
Bid-Ask Spread %29.4913.5843.1720.0126.71
Gamma HHI0.120.090.170.090.16
Net GEX171.1K62.0K269.8K175.7K148.2K
Net DEX8.4M-5.4M21.2M10.4M5.4M
Net VEX-149.0K-191.0K-100.1K-191.0K-105.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.023.400.150.11
Total Volume2,825.818506,1521,588850
Total OI165,853.04889,679231,754225,663102,918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$10.96$14.0081.8%23.4%92.0%23.3%86.8%-7.8%4.1%175.7K10.4M-191.0K0.1520.011,383205163,88961,774
2011-09-02$10.83$14.0084.7%24.3%88.6%25.4%95.6%10.5%5.8%145.4K13.6M-183.4K0.0813.582,035162164,69561,860
2011-09-06$10.81$11.0098.3%27.7%87.6%34.8%97.2%0.1%-6.7%152.1K13.9M-172.5K0.1336.741,773236165,98261,910
2011-09-07$11.20$11.0091.7%27.4%88.5%30.2%95.3%0.1%-6.0%145.0K12.6M-179.0K0.3025.891,110335165,64861,946
2011-09-08$11.26$11.0090.4%26.0%88.5%29.3%90.8%4.2%0.5%151.9K12.8M-174.8K0.3927.61862334165,72362,072
2011-09-09$10.74$11.0093.8%27.1%79.5%31.7%92.7%11.9%-6.2%135.3K16.1M-165.4K0.1142.542,092225165,85062,118
2011-09-12$10.55$11.00109.1%29.3%75.9%42.3%101.9%0.5%-4.6%124.6K19.1M-153.1K1.5626.682,3123,612165,82362,154
2011-09-13$10.25$11.0094.4%29.6%75.8%32.1%96.0%2.6%-11.1%62.0K21.2M-146.4K0.6432.021,7681,126166,27563,974
2011-09-14$10.53$11.0085.3%28.0%76.9%25.8%98.7%-0.5%-9.3%116.2K20.3M-146.1K3.4037.194311,467166,48463,100
2011-09-15$10.65$11.0094.3%27.0%76.0%32.1%94.3%2.3%-3.1%142.1K19.8M-145.4K0.9938.972,0592,037166,58263,254
2011-09-16$10.56$11.0092.8%26.6%65.5%31.0%91.4%-3.3%-3.2%163.9K20.8M-146.7K0.4543.172,8581,291167,74064,014
2011-09-19$10.44$11.0086.6%24.8%56.2%26.7%85.9%-0.2%1.7%165.0K-788.9K-140.9K0.0528.113,60517762,35127,328
2011-09-20$10.80$11.0084.4%24.2%56.5%25.2%86.1%-0.1%4.9%208.2K-2.6M-146.5K0.0719.645,76338964,35627,484
2011-09-21$10.90$10.0080.5%23.1%48.9%22.5%81.2%3.6%2.6%269.8K-5.4M-152.9K0.0334.612,2826768,41227,345
2011-09-22$10.45$10.0088.5%25.4%51.0%28.1%89.0%5.6%6.0%240.1K-3.4M-146.5K0.2323.2992320868,64427,370
2011-09-23$10.63$10.0091.0%26.1%48.7%29.7%90.4%2.2%-1.1%252.8K-4.5M-148.3K0.0633.492,22114068,89427,404
2011-09-26$10.39$10.0088.8%25.5%45.3%28.2%87.8%7.2%1.3%246.6K-1.5M-134.2K0.2435.962,54161870,32727,544
2011-09-27$10.36$10.0083.7%24.0%40.6%24.7%80.7%8.5%7.7%245.3K-1.2M-134.2K0.0222.081,5882471,29328,075
2011-09-28$9.56$10.0082.4%23.6%48.8%23.8%81.5%0.6%10.6%177.6K3.1M-115.0K0.3521.193,1801,11271,16728,098
2011-09-29$8.95$10.0083.5%23.9%51.1%24.6%84.5%-3.3%6.6%124.5K6.7M-100.1K2.0029.731,3152,62672,06828,969
2011-09-30$9.20$10.0082.3%23.6%51.2%23.7%84.2%-2.0%9.2%148.2K5.4M-105.8K0.1126.717688272,67030,248