AMRN Options History — April 2012

In April 2012, AMRN traded between $9.35 and $12.21. ATM implied volatility averaged 80.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 4.2% (HV 20d: 76.2%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-04-24: Highest Volume — 33,646 contracts
  • 2012-04-25: Largest IV spike — 29.5% change
  • 2012-04-25: Highest IV Rank — 47.6%
  • 2012-04-25: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.28$9.35$12.21$10.81$12.21
Max Pain$11.55$10.00$13.00$10.00$11.00
ATM IV80.4%67.0%103.0%67.7%95.0%
Expected Move23.5%19.2%29.5%19.4%27.3%
HV 20d76.2%42.0%100.5%92.6%81.2%
HV 60d85.3%82.8%90.0%85.0%88.7%
IV Rank23.9%10.8%47.6%11.4%40.2%
IV Percentile36.5%9.9%79.8%10.3%71.0%
Term Structure7.1%-4.2%14.6%11.2%-3.2%
VWIV83.1%68.8%106.0%69.0%93.8%
Skew 25d-5.7%-13.9%-1.8%-6.1%-5.3%
Skew 10d-14.1%-42.0%12.9%-11.8%-10.8%
Call IV 25d87.4%73.5%111.8%74.3%97.7%
Put IV 25d81.7%66.6%97.9%68.2%92.4%
Bid-Ask Spread %48.1510.9782.8912.5543.09
Gamma HHI0.170.120.300.190.13
Net GEX325.4K190.8K649.9K408.2K649.9K
Net DEX-28.4M-67.2M-13.0M-31.4M-67.2M
Net VEX-177.6K-308.2K-138.2K-165.9K-308.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.101.280.850.33
Total Volume7,284.891333,6464,7888,808
Total OI115,378.282,111133,426110,801133,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$10.81$10.0067.7%19.4%92.6%11.4%69.0%-6.1%11.2%408.2K-31.4M-165.9K0.8512.552,5912,19773,41837,383
2012-04-03$11.17$10.0069.7%20.0%91.1%12.8%68.8%-4.7%9.4%426.3K-35.5M-169.0K0.4010.973,3551,34274,00638,372
2012-04-04$10.52$10.0074.2%21.3%95.5%16.0%73.0%-6.7%8.7%359.5K-27.3M-162.5K0.1713.093,83563374,49937,554
2012-04-05$10.22$10.0067.0%19.2%96.4%10.8%69.4%-6.9%14.6%332.2K-23.8M-158.7K0.3711.291,94072375,64137,928
2012-04-09$9.92$13.0071.0%23.8%97.3%13.7%82.0%-1.8%8.9%282.8K-20.0M-152.1K0.8217.452,6052,14475,74638,342
2012-04-10$9.35$13.0072.6%23.8%100.5%14.8%84.2%-7.8%7.8%190.8K-13.0M-145.0K0.9336.901,8861,76376,44139,089
2012-04-11$9.71$13.0070.7%23.4%100.2%13.5%82.4%-3.1%7.1%224.1K-16.6M-148.5K0.6374.231,8931,19476,35139,564
2012-04-12$9.71$13.0078.6%22.5%93.1%19.1%78.9%-3.6%9.5%234.3K-17.2M-147.3K0.1762.501,96533476,48940,344
2012-04-13$9.69$13.0079.7%22.9%86.0%19.9%81.1%-4.7%10.8%208.5K-16.6M-148.4K0.1372.2080710677,74340,170
2012-04-16$9.63$13.0085.3%24.4%61.2%23.8%87.9%-4.3%6.2%201.2K-15.3M-142.1K0.1682.896,06296877,51639,591
2012-04-17$9.52$12.0084.6%24.3%60.9%24.0%88.2%-6.7%7.5%201.4K-15.9M-141.0K0.2277.014,37697379,94940,206
2012-04-18$9.59$12.0082.3%23.6%42.1%28.3%84.3%-3.7%10.4%300.0K-16.7M-141.9K0.6073.551,12767882,65140,540
2012-04-19$9.54$12.0082.6%23.7%42.0%28.6%85.0%-4.9%8.2%284.9K-15.1M-138.2K0.8363.001,6841,39982,39140,838
2012-04-20$10.40$12.0082.9%23.8%54.4%28.9%84.2%-5.6%7.1%276.9K-32.6M-144.6K0.2527.1111,5272,92582,79841,052
2012-04-23$10.08$11.0079.5%22.8%55.0%25.8%80.4%-7.4%9.3%235.9K-25.7M-154.7K1.2872.191,8712,39361,16720,944
2012-04-24$9.75$11.0079.5%22.8%55.6%25.8%81.1%-4.0%10.0%203.5K-22.2M-151.4K0.1068.2630,4703,17661,84922,870
2012-04-25$9.98$11.00103.0%29.5%56.6%47.6%106.0%-13.9%-4.2%346.4K-35.2M-247.0K0.3850.997,0212,65790,83725,556
2012-04-26$11.70$10.0087.9%25.2%80.7%33.6%89.0%-3.1%3.3%521.4K-56.4M-281.8K0.2929.8315,1204,40694,67727,623
2012-04-27$12.01$11.0093.7%26.9%81.1%39.0%92.9%-9.2%-0.9%620.5K-63.5M-304.4K0.1363.795,969773101,85730,146
2012-04-30$12.21$11.0095.0%27.3%81.2%40.2%93.8%-5.3%-3.2%649.9K-67.2M-308.2K0.3343.096,6022,206102,91730,509