AMRN Options History — October 2011

In October 2011, AMRN traded between $8.12 and $9.95. ATM implied volatility averaged 92.0%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 27.2%. IV traded above realized volatility by 21.6% (HV 20d: 70.4%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2011-10-24: Highest Volume — 7,155 contracts
  • 2011-10-13: Largest IV spike — 28.4% change
  • 2011-10-19: Highest IV Rank — 45.4%
  • 2011-10-19: Largest Expected Move — 32.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.12$9.95$8.37$9.40
Max Pain$9.19$9.00$10.00$10.00$9.00
ATM IV92.0%76.4%113.5%93.4%90.3%
Expected Move27.2%23.4%32.5%26.8%25.9%
HV 20d70.4%59.2%76.8%59.6%63.9%
HV 60d78.0%71.7%81.1%74.9%71.7%
IV Rank30.5%19.6%45.4%31.4%29.3%
IV Percentile63.0%34.9%84.6%73.2%65.5%
Term Structure7.5%-1.7%20.1%20.1%15.6%
VWIV95.9%74.5%117.6%94.2%90.2%
Skew 25d0.9%-18.6%7.7%-18.6%-3.6%
Skew 10d-8.9%-43.4%25.8%-37.3%-30.6%
Call IV 25d96.4%84.7%115.4%89.0%97.4%
Put IV 25d97.3%70.4%117.5%70.4%93.8%
Bid-Ask Spread %35.4720.9748.3636.3521.74
Gamma HHI0.140.090.250.140.11
Net GEX91.4K-126.2K211.8K72.0K139.2K
Net DEX6.7M1.5M10.7M9.6M4.0M
Net VEX-91.4K-102.7K-74.7K-80.1K-88.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.041.440.131.04
Total Volume2,230.3811247,1552,1532,560
Total OI106,753.28697,148114,409103,352105,125

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$8.37$10.0093.4%26.8%59.6%31.4%94.2%-18.6%20.1%72.0K9.6M-80.1K0.1336.351,91024373,15230,200
2011-10-04$8.12$10.0087.2%25.0%59.7%27.1%90.8%-3.6%10.2%60.1K10.4M-74.7K0.3246.671,62752173,63730,296
2011-10-05$8.37$10.0086.6%24.8%59.2%26.7%74.5%4.4%7.8%57.3K10.7M-76.4K1.3131.5165685774,38130,734
2011-10-06$9.20$10.0081.6%23.4%70.5%23.2%85.1%0.7%14.0%139.7K5.9M-102.4K0.2223.591,22726874,05131,536
2011-10-07$9.15$9.0077.9%26.6%69.2%20.7%93.6%7.7%6.5%115.0K7.6M-94.7K0.4239.3281834174,35031,612
2011-10-10$9.47$9.0081.5%27.1%70.7%23.1%96.0%6.2%3.2%139.0K6.6M-96.5K0.9936.9866966074,42731,926
2011-10-11$9.32$9.0076.4%26.3%70.2%19.6%88.2%7.1%4.1%100.0K8.3M-90.7K0.2437.9445310974,10332,436
2011-10-12$9.04$9.0077.6%26.6%69.7%20.4%92.8%2.5%5.9%92.4K8.7M-88.6K0.0939.671,80716174,02132,526
2011-10-13$9.43$9.0099.6%28.6%71.7%35.7%102.6%0.1%2.2%181.1K5.1M-102.7K0.0743.542,89218975,30232,669
2011-10-14$9.68$9.0094.0%27.0%72.6%31.9%96.4%1.3%-0.5%211.8K4.8M-101.2K0.3737.8156520777,21532,762
2011-10-17$9.02$9.00105.7%30.3%76.3%40.0%105.5%2.1%2.8%91.0K8.0M-89.8K1.4448.361,3261,90677,31132,692
2011-10-18$9.16$9.00109.8%31.5%75.3%42.8%114.2%0.7%-0.2%59.8K6.8M-95.8K1.0042.7794694778,12534,238
2011-10-19$8.85$9.00113.5%32.5%75.5%45.4%114.1%2.0%-1.7%16.9K8.7M-89.3K0.3841.371,10542578,76834,762
2011-10-20$9.00$9.00111.0%31.8%75.1%43.7%117.6%3.2%-1.0%-26.7K8.0M-90.2K0.1039.428518679,14734,948
2011-10-21$9.09$9.00107.1%30.7%74.9%41.0%111.1%1.0%2.3%-126.2K8.5M-87.9K0.1339.316,04479679,43134,978
2011-10-24$9.47$9.0092.2%26.4%76.6%30.6%93.7%-1.8%11.2%65.7K6.1M-89.0K0.0426.966,86628965,16131,987
2011-10-25$9.27$9.0089.7%25.7%76.8%28.9%92.3%-3.1%10.3%103.2K5.2M-89.4K0.3031.9897128769,82332,190
2011-10-26$9.32$9.0091.3%26.2%71.6%30.0%89.9%5.9%13.0%107.3K5.3M-90.1K0.0632.311,74611270,57832,280
2011-10-27$9.90$9.0082.8%23.7%70.5%24.0%85.8%-0.9%17.8%154.6K1.7M-101.0K0.1826.302,77849371,56732,321
2011-10-28$9.95$9.0083.2%23.9%70.0%24.4%84.4%4.6%14.7%166.2K1.5M-100.8K0.1420.971091572,52432,527
2011-10-31$9.40$9.0090.3%25.9%63.9%29.3%90.2%-3.6%15.6%139.2K4.0M-88.7K1.0421.741,2521,30872,59232,533