AMRN Options History — December 2011

In December 2011, AMRN traded between $6.03 and $7.78. ATM implied volatility averaged 93.3%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 26.2% (HV 20d: 67.2%). Max pain ranged from $7.00 to $11.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2011-12-14: Highest Volume — 5,782 contracts
  • 2011-12-14: Largest IV spike — 31.3% change
  • 2011-12-08: Highest IV Rank — 44.1%
  • 2011-12-02: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.93$6.03$7.78$7.43$7.49
Max Pain$8.48$7.00$11.00$11.00$7.00
ATM IV93.3%75.3%111.7%101.8%85.4%
Expected Move26.5%22.9%30.1%29.2%24.5%
HV 20d67.2%57.3%78.3%76.1%68.7%
HV 60d70.1%67.4%73.6%67.4%69.7%
IV Rank31.4%18.8%44.1%37.3%25.8%
IV Percentile61.2%27.0%85.7%77.8%49.2%
Term Structure16.9%-0.5%33.4%6.8%14.1%
VWIV94.9%81.8%110.7%110.7%84.9%
Skew 25d-3.9%-14.1%5.6%-14.1%0.7%
Skew 10d-16.2%-38.9%4.9%-33.1%4.9%
Call IV 25d98.5%86.2%117.4%117.4%88.3%
Put IV 25d94.6%80.1%108.4%103.3%89.0%
Bid-Ask Spread %42.8813.7767.6615.4515.40
Gamma HHI0.260.150.740.190.18
Net GEX-30.7K-439.6K148.8K-32.1K148.8K
Net DEX4.8M-6.3M17.6M8.1M-6.3M
Net VEX-43.7K-69.0K-30.2K-66.9K-40.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.020.680.020.12
Total Volume1,612.192585,7824,2331,951
Total OI102,130.23843,134146,517140,83549,147

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$7.43$11.00101.8%29.2%76.1%37.3%110.7%-14.1%6.8%-32.1K8.1M-66.9K0.0215.454,1379691,42749,408
2011-12-02$7.78$11.00105.0%30.1%78.3%39.5%105.1%-4.0%-0.5%44.2K5.3M-69.0K0.3013.7774622693,54649,424
2011-12-05$7.51$9.00110.5%29.8%58.6%43.3%103.4%-1.8%10.3%-1.1K8.1M-61.2K0.2957.3750514793,12949,346
2011-12-06$7.65$9.00105.2%28.3%57.3%39.6%99.5%-0.2%16.4%22.6K7.3M-58.7K0.2155.7366313893,28349,411
2011-12-07$7.37$9.00108.9%28.6%58.1%42.2%102.7%-2.5%14.9%-21.5K9.1M-57.1K0.3755.3467524993,54349,443
2011-12-08$6.92$9.00111.7%29.9%61.3%44.1%107.7%0.1%13.6%-88.6K12.0M-50.9K0.6751.7092362093,84949,536
2011-12-09$7.27$9.00100.6%28.6%63.7%36.4%100.1%-2.1%16.8%-33.1K9.9M-51.9K0.4559.3224210994,40649,533
2011-12-12$7.06$9.00102.5%28.7%63.4%37.7%100.3%-3.2%15.4%-102.4K11.9M-45.7K0.6357.2115810093,95149,507
2011-12-13$6.74$9.0075.3%26.3%63.5%18.8%93.3%-0.5%23.3%-211.9K13.3M-38.8K0.2467.662,97370494,02048,167
2011-12-14$6.38$9.0098.8%28.4%65.3%35.2%97.0%5.6%18.5%-317.7K15.7M-36.4K0.6165.833,5832,19995,62148,052
2011-12-15$6.03$9.0093.6%26.8%67.4%31.5%93.3%1.3%23.3%-439.6K17.6M-32.9K0.4659.6078036198,43148,086
2011-12-16$6.35$8.0087.4%25.0%69.6%27.2%86.6%0.7%33.4%-262.9K14.7M-32.5K0.6555.8261840497,29747,979
2011-12-19$6.23$8.0087.8%25.2%69.9%27.5%98.1%-12.2%20.6%40.6K-1.6M-30.2K0.1627.981,88629535,9067,228
2011-12-20$6.25$8.0092.5%26.5%69.9%30.8%95.6%-1.6%13.9%47.9K-1.7M-30.7K0.0238.332,1653537,2267,425
2011-12-21$6.73$8.0085.2%24.4%73.6%25.7%87.1%-7.7%22.9%76.8K-3.0M-35.1K0.0836.171,28310038,7997,455
2011-12-22$6.70$8.0081.7%23.4%71.4%23.3%81.8%-9.8%17.5%78.5K-3.1M-35.2K0.1032.581,51614939,4127,515
2011-12-23$6.88$7.0079.9%22.9%68.4%22.0%82.7%-6.1%17.5%96.9K-3.7M-35.6K0.6834.7230020540,5787,588
2011-12-27$6.75$7.0082.5%23.7%67.8%23.9%90.2%-10.1%17.3%91.0K-3.4M-34.8K0.1354.023014040,7087,753
2011-12-28$6.79$7.0080.7%23.1%67.4%22.6%88.0%-8.2%19.0%93.8K-3.4M-34.7K0.0531.945823040,8427,743
2011-12-29$7.23$7.0083.5%23.9%71.1%24.6%85.4%-5.8%19.4%125.2K-5.0M-37.9K0.4414.641,15750541,2547,761
2011-12-30$7.49$7.0085.4%24.5%68.7%25.8%84.9%0.7%14.1%148.8K-6.3M-40.8K0.1215.401,73921241,5677,580