AMRN Options History — February 2012

In February 2012, AMRN traded between $7.75 and $9.35. ATM implied volatility averaged 104.7%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 30.0%. IV traded above realized volatility by 37.8% (HV 20d: 67.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2012-02-29: Highest Volume — 16,622 contracts
  • 2012-02-09: Largest IV spike — 25.3% change
  • 2012-02-27: Highest IV Rank — 52.0%
  • 2012-02-27: Largest Expected Move — 35.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.76$7.75$9.35$8.86$7.75
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV104.7%88.9%124.8%105.5%108.5%
Expected Move30.0%26.8%35.8%30.2%31.1%
HV 20d67.0%58.2%77.6%76.5%77.6%
HV 60d69.7%67.5%74.7%74.7%73.0%
IV Rank38.2%27.4%52.0%39.8%40.4%
IV Percentile76.2%55.2%89.3%79.4%81.3%
Term Structure-4.5%-16.7%9.4%-2.8%-11.7%
VWIV105.2%95.2%125.5%102.6%108.3%
Skew 25d-6.3%-12.7%2.2%-5.3%2.2%
Skew 10d-18.4%-50.7%3.6%-17.8%-7.2%
Call IV 25d109.9%100.4%126.1%105.7%112.2%
Put IV 25d103.6%94.8%118.8%100.4%114.4%
Bid-Ask Spread %49.2422.3574.9327.9764.41
Gamma HHI0.250.200.400.230.27
Net GEX370.8K187.0K700.3K201.1K187.0K
Net DEX-20.8M-31.3M-10.4M-17.0M-10.4M
Net VEX-115.8K-136.8K-104.3K-104.3K-119.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.021.420.021.42
Total Volume5,416.251,09016,62213,62716,622
Total OI76,369.760,56287,76460,56287,764

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$8.86$8.00105.5%30.2%76.5%39.8%102.6%-5.3%-2.8%201.1K-17.0M-104.3K0.0227.9713,31431344,27316,289
2012-02-02$8.83$8.0093.6%26.8%63.5%31.6%95.2%-8.3%9.4%300.0K-21.3M-109.6K0.3322.3585028251,47216,520
2012-02-03$8.79$8.00105.7%29.8%63.8%40.0%104.5%-1.1%-2.6%301.8K-20.9M-110.7K0.9243.681,9811,83151,93116,785
2012-02-06$9.24$8.00103.3%29.8%63.3%38.3%105.3%-7.1%-1.9%341.8K-24.2M-111.6K0.0644.505,19931152,35716,562
2012-02-07$8.67$8.00100.3%27.9%69.3%36.2%96.1%-6.7%0.7%329.4K-19.3M-105.8K0.2636.604,1191,08952,21716,463
2012-02-08$8.64$8.0088.9%27.0%69.2%27.4%97.9%-5.6%2.7%408.7K-20.2M-107.0K0.8536.7661252055,54117,314
2012-02-09$8.62$8.00111.5%32.0%66.7%42.5%110.5%-9.0%-10.6%349.4K-19.4M-107.3K0.1037.629,7441,00554,05617,757
2012-02-10$8.40$8.00105.0%30.1%66.8%37.9%104.1%-12.7%-2.0%435.2K-20.4M-112.5K0.1346.121,57820661,27918,589
2012-02-13$8.92$8.00106.2%30.4%68.5%38.7%105.8%-6.5%-6.3%524.1K-25.8M-112.9K0.3640.902,8661,03261,60018,770
2012-02-14$8.75$8.00103.6%29.7%65.7%37.0%102.6%-6.3%-7.6%590.2K-23.2M-111.8K0.6543.2198764361,94519,214
2012-02-15$8.79$8.00106.4%30.5%58.2%38.9%107.9%-5.9%-6.5%602.4K-23.7M-111.3K0.1442.342,04928462,32019,648
2012-02-16$9.35$8.00103.2%29.6%61.7%36.6%102.5%-8.0%-4.3%700.3K-31.3M-115.3K0.1045.742,12220363,14319,764
2012-02-17$8.57$8.00105.2%30.2%68.5%38.1%105.2%-2.9%-6.0%548.3K-21.5M-109.6K0.7850.924,5063,51363,89919,770
2012-02-21$8.73$8.0096.8%27.8%68.7%32.1%98.3%-6.9%-2.6%255.6K-17.3M-109.2K0.3373.856,7852,23250,77916,577
2012-02-22$8.68$8.0094.4%27.1%67.4%30.3%95.7%-5.7%-0.2%276.4K-18.7M-125.8K0.6074.9368140956,03718,686
2012-02-23$8.98$8.00105.8%30.3%68.2%38.5%107.3%-6.3%-14.1%283.4K-21.5M-128.3K0.8371.985,2164,33955,95518,971
2012-02-24$8.99$8.00108.1%31.0%65.4%40.1%111.4%-6.2%1.8%269.3K-21.5M-132.8K1.0569.763,4993,67258,41722,419
2012-02-27$8.87$8.00124.8%35.8%65.8%52.0%125.5%-7.3%-16.7%259.1K-20.3M-136.8K0.5458.471,36874260,40425,276
2012-02-28$8.73$8.00117.6%33.7%64.6%46.9%118.1%-9.8%-8.8%252.9K-19.1M-134.2K0.1352.651,41818360,74625,885
2012-02-29$7.75$8.00108.5%31.1%77.6%40.4%108.3%2.2%-11.7%187.0K-10.4M-119.1K1.4264.416,8729,75061,73126,033