AMRN Options History — May 2012

In May 2012, AMRN traded between $10.07 and $12.37. ATM implied volatility averaged 89.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 22.0% (HV 20d: 67.1%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2012-05-30: Highest Volume — 24,735 contracts
  • 2012-05-08: Largest IV spike — 25.7% change
  • 2012-05-08: Highest IV Rank — 51.3%
  • 2012-05-17: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.42$10.07$12.37$12.22$11.85
Max Pain$9.27$9.00$11.00$11.00$10.00
ATM IV89.1%78.9%107.0%85.9%78.9%
Expected Move25.7%22.6%28.5%24.6%22.6%
HV 20d67.1%45.7%79.1%79.1%53.1%
HV 60d84.4%76.2%88.6%88.6%76.2%
IV Rank34.7%25.2%51.3%31.7%25.2%
IV Percentile54.2%26.6%88.1%49.2%26.6%
Term Structure12.4%3.7%23.4%3.7%18.8%
VWIV90.6%81.1%100.2%84.7%82.7%
Skew 25d-2.4%-9.6%6.4%-3.7%5.1%
Skew 10d-3.9%-22.6%21.3%-5.7%13.4%
Call IV 25d93.0%79.3%103.6%89.5%81.4%
Put IV 25d90.6%84.3%100.0%85.8%86.5%
Bid-Ask Spread %36.7617.4065.5336.7618.83
Gamma HHI0.140.120.180.130.15
Net GEX658.2K236.2K784.7K718.0K780.5K
Net DEX-61.1M-74.6M-39.7M-69.0M-71.9M
Net VEX-302.5K-332.8K-269.1K-315.4K-332.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.100.760.120.25
Total Volume5,756.6821,64524,7358,3982,786
Total OI147,433.682132,457160,529138,361160,084

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$12.22$11.0085.9%24.6%79.1%31.7%84.7%-3.7%3.7%718.0K-69.0M-315.4K0.1236.767,515883106,84431,517
2012-05-02$12.37$10.0084.8%24.3%78.5%30.7%85.7%-1.9%3.7%739.8K-73.2M-320.1K0.2443.892,441579109,76331,970
2012-05-03$12.28$10.0080.7%23.1%74.8%26.8%81.1%-0.8%8.7%740.3K-72.4M-318.6K0.5738.142,1231,201109,92232,056
2012-05-04$12.00$9.0079.9%26.3%74.5%26.1%92.4%-5.0%6.1%707.7K-68.6M-315.8K0.3852.461,759666110,76632,831
2012-05-07$11.87$9.0085.2%26.7%73.5%31.0%91.9%-4.9%5.3%691.4K-64.8M-306.3K0.3158.111,257388110,38233,446
2012-05-08$11.67$9.00107.0%27.9%69.8%51.3%96.9%-8.3%7.4%649.9K-62.1M-304.1K0.3641.9310,2903,672110,96333,611
2012-05-09$11.57$9.0088.9%26.9%69.3%34.5%94.1%-7.6%8.6%733.4K-64.6M-316.3K0.3340.311,890624118,50936,222
2012-05-10$11.58$9.0091.4%26.2%69.3%36.8%92.5%-3.6%10.5%782.6K-65.1M-315.9K0.1841.973,340590118,91836,399
2012-05-11$11.48$9.0091.4%26.2%69.5%36.8%93.3%-6.3%12.6%784.5K-64.6M-314.0K0.7654.161,5991,213120,50836,701
2012-05-14$11.23$9.0092.8%26.6%70.2%38.1%95.5%-3.5%11.6%746.2K-60.0M-302.5K0.2726.641,849493120,56937,420
2012-05-15$11.18$9.0093.5%26.8%70.0%38.8%94.6%-2.6%12.7%744.0K-58.7M-301.4K0.3836.442,367891120,91737,768
2012-05-16$11.24$9.0094.7%27.1%70.0%39.8%95.2%-4.3%13.7%784.7K-60.1M-300.6K0.4935.871,718846121,64438,469
2012-05-17$10.44$9.0099.5%28.5%75.7%44.3%100.2%-3.6%10.1%446.9K-45.4M-279.6K0.4165.533,6071,468121,80838,350
2012-05-18$10.07$9.0096.6%27.7%70.4%41.6%97.7%-9.6%16.5%236.2K-39.7M-269.1K0.5544.735,2502,896122,17338,356
2012-05-21$10.51$9.0091.5%26.2%71.2%36.9%92.0%-4.9%18.0%479.1K-47.9M-276.2K0.1236.624,243498104,10828,349
2012-05-22$10.50$9.0089.5%25.7%70.0%35.0%88.0%4.1%17.0%508.3K-47.7M-280.0K0.1317.402,615340105,72828,616
2012-05-23$10.43$9.0089.5%25.6%69.7%35.0%88.8%-2.8%16.7%510.4K-47.5M-277.4K0.1022.723,575343107,00128,835
2012-05-24$11.15$9.0082.3%23.6%45.7%28.3%86.0%2.7%23.4%587.2K-55.2M-287.8K0.3119.463,7711,170106,91829,041
2012-05-25$11.55$9.0080.8%23.1%46.6%26.9%81.9%6.4%21.8%648.5K-62.2M-300.9K0.1022.692,613264108,64429,638
2012-05-29$12.27$9.0090.4%25.9%51.3%35.9%91.4%0.3%7.3%723.1K-74.6M-312.1K0.3032.3612,5273,752110,08029,828
2012-05-30$11.78$10.0085.1%24.4%53.3%30.9%86.6%1.9%17.9%736.6K-69.0M-307.9K0.2021.6920,6374,098114,92832,941
2012-05-31$11.85$10.0078.9%22.6%53.1%25.2%82.7%5.1%18.8%780.5K-71.9M-332.8K0.2518.832,232554123,80036,284