AMRN Options History — January 2012

In January 2012, AMRN traded between $6.35 and $8.55. ATM implied volatility averaged 81.4%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 5.4% (HV 20d: 76.0%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-01-25: Highest Volume — 11,870 contracts
  • 2012-01-12: Largest IV spike — 25.3% change
  • 2012-01-18: Highest IV Rank — 35.5%
  • 2012-01-18: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.61$6.35$8.55$7.05$8.16
Max Pain$7.35$7.00$8.00$7.00$8.00
ATM IV81.4%64.8%99.3%88.3%78.0%
Expected Move24.3%21.3%28.5%25.3%22.3%
HV 20d76.0%69.7%79.7%69.7%75.8%
HV 60d72.4%67.8%74.5%67.8%72.7%
IV Rank23.1%11.6%35.5%27.9%20.7%
IV Percentile40.3%9.5%73.0%55.2%31.7%
Term Structure13.2%3.8%24.2%8.9%18.2%
VWIV86.3%75.7%100.9%88.0%80.5%
Skew 25d-5.9%-17.7%0.7%-5.2%-2.9%
Skew 10d-3.5%-35.4%28.9%-31.3%-3.9%
Call IV 25d90.9%83.5%102.6%94.0%83.5%
Put IV 25d85.0%72.5%95.3%88.8%80.6%
Bid-Ask Spread %50.5119.4067.0830.1129.13
Gamma HHI0.220.170.350.170.23
Net GEX172.0K59.8K295.8K121.5K176.4K
Net DEX-9.3M-18.3M-1.9M-4.9M-13.2M
Net VEX-57.7K-97.7K-30.2K-36.5K-97.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.061.250.550.06
Total Volume4,024.3544111,8701,292441
Total OI55,12441,33068,17249,25960,457

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$7.05$7.0088.3%25.3%69.7%27.9%88.0%-5.2%8.9%121.5K-4.9M-36.5K0.5530.1183545741,6057,654
2012-01-04$6.35$7.0082.7%23.7%77.6%24.0%84.7%-1.1%11.0%64.1K-2.0M-30.2K0.6230.644,1942,61341,5378,041
2012-01-05$6.38$7.0086.6%24.8%77.1%26.7%92.8%-17.7%13.8%59.8K-1.9M-33.1K0.0623.553,60422741,7739,932
2012-01-06$6.75$7.0071.4%25.8%79.7%16.2%91.4%0.3%9.2%87.5K-3.4M-38.0K0.1158.431,49216444,0359,904
2012-01-09$6.87$7.0071.5%25.1%76.9%16.2%87.3%-0.3%10.2%112.0K-4.0M-36.7K0.5857.562,2441,30243,8229,962
2012-01-10$7.06$7.0066.6%24.3%75.4%12.8%85.7%0.7%9.7%159.3K-5.1M-38.5K0.1949.035049445,38410,055
2012-01-11$7.50$7.0064.8%23.5%77.7%11.6%83.4%-10.5%10.4%221.5K-7.8M-40.9K0.2366.385,9221,36945,58010,045
2012-01-12$7.32$7.0081.2%23.3%76.2%23.0%82.8%-3.3%15.0%214.3K-7.7M-46.5K0.5060.5378739746,01010,948
2012-01-13$7.17$7.0078.5%22.5%73.6%21.1%78.5%-5.0%16.7%212.2K-6.7M-44.9K0.8064.151,20796446,23111,199
2012-01-17$7.68$7.0096.4%27.6%73.0%33.5%95.6%-5.7%3.8%240.7K-10.1M-50.8K0.1167.086,44774147,23711,937
2012-01-18$8.39$7.0099.3%28.5%76.7%35.5%100.9%-7.7%5.2%295.8K-15.9M-55.5K0.2161.423,96981950,26712,529
2012-01-19$8.55$7.0095.0%27.2%75.7%32.5%96.3%-7.2%10.0%238.3K-18.3M-59.0K0.1554.118,5871,26152,31212,879
2012-01-20$8.26$7.0087.9%25.2%77.7%27.6%90.5%-4.9%14.3%293.1K-16.5M-62.2K0.5155.783,0821,55954,15314,019
2012-01-23$8.37$8.0084.7%24.3%74.4%25.4%86.0%-9.7%11.4%155.3K-11.2M-65.1K0.1451.792,10029532,3818,949
2012-01-24$8.09$8.0074.3%21.3%75.9%18.1%75.7%-11.8%24.2%161.1K-10.4M-65.0K1.2552.651,6852,11033,8839,181
2012-01-25$8.21$8.0080.9%23.2%75.7%22.7%80.7%-6.9%19.1%150.9K-10.9M-69.0K0.5056.847,9213,94934,96410,885
2012-01-26$7.83$8.0077.1%22.1%77.7%20.1%79.0%-9.1%21.0%151.1K-11.6M-93.6K0.8164.531,3531,09842,54514,372
2012-01-27$7.93$8.0081.7%23.4%77.7%23.3%83.6%-3.8%18.2%147.5K-11.9M-94.1K0.2457.1588721242,53115,023
2012-01-30$8.28$8.0081.8%23.5%76.2%23.4%81.8%-6.8%13.2%178.0K-13.3M-96.2K0.4819.402,4271,16843,02615,233
2012-01-31$8.16$8.0078.0%22.3%75.8%20.7%80.5%-2.9%18.2%176.4K-13.2M-97.7K0.0629.134152644,17716,280