AMRN Options History — June 2012

In June 2012, AMRN traded between $10.79 and $14.46. ATM implied volatility averaged 75.2%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 15.5% (HV 20d: 59.8%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2012-06-27: Highest Volume — 32,736 contracts
  • 2012-06-14: Largest IV spike — 40.9% change
  • 2012-06-01: Highest IV Rank — 34.7%
  • 2012-06-05: Largest Expected Move — 29.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.34$10.79$14.46$10.79$14.46
Max Pain$10.90$10.00$12.00$10.00$12.00
ATM IV75.2%59.3%89.1%89.1%81.5%
Expected Move23.5%17.8%29.8%25.5%23.4%
HV 20d59.8%40.6%66.2%62.3%40.6%
HV 60d67.5%61.0%79.2%78.9%61.5%
IV Rank21.8%7.0%34.7%34.7%27.6%
IV Percentile25.4%3.6%56.3%56.3%32.9%
Term Structure43.5%9.0%57.3%9.0%50.1%
VWIV82.7%63.0%101.5%88.5%84.8%
Skew 25d-0.7%-13.0%6.5%-13.0%-5.3%
Skew 10d3.0%-15.1%21.3%-13.5%-10.2%
Call IV 25d83.9%63.3%101.3%96.0%89.6%
Put IV 25d83.2%65.5%103.1%83.1%84.4%
Bid-Ask Spread %28.0113.3445.2816.1729.96
Gamma HHI0.170.120.440.140.12
Net GEX929.3K637.3K1.5M637.3K1.2M
Net DEX-75.9M-110.0M-56.1M-56.1M-110.0M
Net VEX-339.4K-403.8K-306.1K-307.6K-403.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.121.680.170.22
Total Volume6,745.7621,08432,7366,1044,885
Total OI162,837.952139,508180,797160,420171,883

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$10.79$10.0089.1%25.5%62.3%34.7%88.5%-13.0%9.0%637.3K-56.1M-307.6K0.1716.175,210894124,04736,373
2012-06-04$11.09$10.0087.5%29.4%63.1%33.2%101.5%4.7%34.7%672.6K-59.6M-309.2K0.2234.382,560561126,25737,094
2012-06-05$11.14$10.0081.2%29.8%63.1%27.3%101.1%1.6%34.8%703.4K-61.3M-312.9K0.2043.58901183126,60537,523
2012-06-06$11.67$10.0082.1%27.0%65.2%28.2%93.0%5.4%38.0%812.4K-70.1M-318.9K0.2743.693,038818126,79937,668
2012-06-07$11.59$11.0073.0%26.3%65.2%19.7%91.1%-1.0%39.2%838.0K-69.2M-320.2K0.2045.261,884371128,31638,190
2012-06-08$11.66$11.0070.8%25.4%65.2%17.7%88.5%6.5%43.4%887.4K-69.9M-315.4K0.3640.661,173424129,18138,297
2012-06-11$11.30$11.0073.2%25.3%66.1%19.9%88.4%-3.0%42.1%837.3K-64.8M-306.1K0.1529.284,124623129,26638,448
2012-06-12$11.53$11.0073.4%25.8%66.0%20.1%90.2%2.6%38.2%914.1K-67.9M-308.7K1.6827.444,6417,811130,94138,714
2012-06-13$11.61$11.0059.3%24.6%66.0%7.0%84.9%-1.6%43.8%920.0K-69.7M-324.0K0.3322.562,260753133,66946,186
2012-06-14$11.79$11.0083.5%23.9%66.2%29.5%83.0%0.9%46.8%1.1M-73.1M-323.8K0.2334.102,597586134,25746,540
2012-06-15$11.84$11.0083.8%24.0%59.8%29.7%83.1%-0.7%41.5%1.5M-72.8M-322.3K0.6932.824,8243,338133,76546,546
2012-06-18$12.48$11.0073.0%20.9%59.7%19.7%69.2%4.5%47.0%719.6K-66.3M-332.9K0.1529.986,321939110,40329,105
2012-06-19$12.73$11.0063.8%18.3%58.6%11.2%64.5%1.7%49.4%838.5K-72.7M-345.7K0.2022.586,6391,339114,49629,708
2012-06-20$12.69$11.0062.1%17.8%58.7%9.6%63.0%2.9%51.8%863.2K-71.8M-348.8K0.2313.343,376768117,27230,612
2012-06-21$12.84$11.0063.3%18.2%58.4%10.7%64.7%1.9%51.9%889.4K-76.9M-353.2K0.1914.534,828899119,09931,011
2012-06-22$12.97$11.0063.4%18.2%54.5%10.8%65.9%2.9%57.3%925.8K-77.2M-354.7K0.2614.423,223831120,26531,065
2012-06-25$13.39$11.0074.8%21.4%54.2%21.4%78.9%-3.6%51.3%936.3K-86.5M-362.8K0.2745.2810,1972,744121,70831,623
2012-06-26$13.16$11.0077.7%22.3%51.1%24.0%82.0%-7.5%53.0%999.7K-85.6M-369.9K0.1917.494,204796127,73033,918
2012-06-27$14.29$11.0078.4%22.5%55.4%24.7%81.1%-4.7%44.1%1.1M-107.2M-387.2K0.4414.2622,7769,960130,12334,635
2012-06-28$14.17$12.0085.0%24.4%55.8%30.8%88.1%-9.4%45.8%1.2M-105.5M-399.0K0.1216.466,561801135,54034,719
2012-06-29$14.46$12.0081.5%23.4%40.6%27.6%84.8%-5.3%50.1%1.2M-110.0M-403.8K0.2229.964,018867136,62835,255