AMRN Options History — November 2011

In November 2011, AMRN traded between $6.67 and $8.99. ATM implied volatility averaged 109.6%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 31.3%. IV traded above realized volatility by 36.8% (HV 20d: 72.8%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2011-11-02: Highest Volume — 29,824 contracts
  • 2011-11-08: Largest IV drop — 31.3% change
  • 2011-11-07: Highest IV Rank — 59.9%
  • 2011-11-22: Largest Expected Move — 36.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.36$6.67$8.99$8.99$6.98
Max Pain$11.29$9.00$12.00$9.00$11.00
ATM IV109.6%92.4%134.5%100.6%95.6%
Expected Move31.3%27.4%36.9%28.8%27.4%
HV 20d72.8%57.2%78.1%65.2%72.6%
HV 60d69.2%64.8%74.1%71.9%66.4%
IV Rank42.6%30.7%59.9%36.4%33.0%
IV Percentile81.4%68.7%89.3%78.2%73.0%
Term Structure0.2%-14.4%14.6%14.6%9.1%
VWIV109.3%94.1%124.6%103.6%96.8%
Skew 25d2.3%-6.7%8.2%-0.0%-4.0%
Skew 10d-7.0%-38.0%18.5%-18.1%7.7%
Call IV 25d111.8%97.1%131.6%106.5%102.7%
Put IV 25d114.1%95.4%135.4%106.5%98.6%
Bid-Ask Spread %27.5014.0947.1123.4718.59
Gamma HHI0.200.100.310.100.26
Net GEX-21.4K-156.8K118.0K118.0K-101.3K
Net DEX12.2M4.6M19.0M4.6M11.5M
Net VEX-65.9K-89.3K-49.5K-89.3K-60.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.098.413.540.12
Total Volume6,740.33388329,8243,2971,048
Total OI131,969.238107,457148,536107,457140,278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$8.99$9.00100.6%28.8%65.2%36.4%103.6%-0.0%14.6%118.0K4.6M-89.3K3.5423.477262,57173,65733,800
2011-11-02$8.58$9.0097.3%27.9%67.0%34.1%96.0%-6.7%3.3%66.3K10.1M-70.8K0.9929.0514,96314,86174,13634,148
2011-11-03$8.49$9.0095.9%27.5%57.2%33.1%94.1%-0.2%3.8%65.5K8.7M-81.9K0.6023.6458134881,26439,883
2011-11-04$7.32$12.00114.4%31.4%76.8%46.0%111.3%2.7%10.2%19.8K12.7M-64.0K1.8531.317,09213,12581,31140,167
2011-11-07$7.61$12.00134.5%34.0%77.2%59.9%120.5%6.3%-4.3%76.6K8.4M-78.3K1.5726.772,3013,61586,17942,474
2011-11-08$7.79$12.0092.4%30.4%78.1%30.7%105.8%4.5%3.2%41.5K9.8M-74.2K0.2942.912,65278085,45345,123
2011-11-09$7.57$12.00107.0%30.9%78.0%40.9%110.6%4.6%0.2%20.2K11.5M-69.8K0.4547.111,02346385,80045,428
2011-11-10$7.39$12.00107.0%30.7%75.8%40.9%107.8%8.2%3.3%2.8K13.2M-62.4K1.0846.3073879686,32845,723
2011-11-11$7.15$12.00107.3%30.8%74.7%41.1%105.9%2.9%1.0%-15.5K14.1M-58.9K0.5045.4458929486,17045,591
2011-11-14$7.44$12.00108.1%31.0%74.1%41.6%107.9%7.7%1.9%-4.4K13.5M-58.3K0.3219.5967121686,29745,702
2011-11-15$7.20$12.00108.8%31.2%73.9%42.1%99.1%4.8%-0.3%-30.8K14.6M-54.8K0.2518.192,47962486,34045,822
2011-11-16$7.02$12.00104.7%30.0%73.6%39.3%105.9%-0.1%-1.8%-64.9K16.1M-49.5K0.4025.581,15345886,93645,799
2011-11-17$6.77$12.00119.0%34.1%73.3%49.2%120.2%7.9%-6.9%-63.0K16.0M-49.9K8.4120.022,28819,23287,60245,827
2011-11-18$6.75$12.00121.4%34.8%72.9%50.8%115.2%7.6%-14.2%-156.8K19.0M-58.9K0.0920.3912,0981,06688,93859,598
2011-11-21$6.73$12.00124.6%35.7%70.0%53.1%124.6%5.5%-14.4%-65.5K15.0M-62.8K0.8718.653,9073,39685,24552,142
2011-11-22$7.01$11.00128.8%36.9%73.0%56.0%123.9%3.9%-10.4%-41.4K11.8M-73.6K0.5314.098,0784,26988,78351,762
2011-11-23$6.67$11.00120.4%34.5%73.6%50.2%121.7%0.8%-5.6%-64.3K12.2M-67.7K1.8125.9932859389,13750,098
2011-11-25$7.10$11.00103.2%29.6%73.9%38.2%109.9%-3.0%3.7%-61.6K9.8M-72.2K1.9442.521,1822,28889,28450,145
2011-11-28$6.88$11.00104.7%30.0%73.6%39.3%105.3%-3.5%6.5%-100.4K12.4M-62.6K0.1014.994,85746589,56451,131
2011-11-29$7.02$11.00104.9%30.1%73.4%39.4%109.0%-1.1%2.0%-89.4K11.4M-64.1K0.0922.833,05827591,33650,953
2011-11-30$6.98$11.0095.6%27.4%72.6%33.0%96.8%-4.0%9.1%-101.3K11.5M-60.0K0.1218.5993711190,82349,455