AMRN Options History — July 2012

In July 2012, AMRN traded between $11.71 and $15.46. ATM implied volatility averaged 124.7%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 39.2%. IV traded above realized volatility by 74.8% (HV 20d: 49.9%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2012-07-31: Highest Volume — 93,714 contracts
  • 2012-07-12: Largest IV spike — 55.2% change
  • 2012-07-17: Highest IV Rank — 100.0%
  • 2012-07-17: Largest Expected Move — 45.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.61$11.71$15.46$15.25$11.71
Max Pain$12.38$12.00$14.00$12.00$13.00
ATM IV124.7%85.3%160.1%88.8%116.3%
Expected Move39.2%25.4%45.9%25.4%38.5%
HV 20d49.9%42.0%68.1%42.6%68.1%
HV 60d58.4%50.1%61.8%61.8%61.2%
IV Rank66.9%28.6%100.0%34.4%58.2%
IV Percentile85.2%40.5%100.0%54.8%91.7%
Term Structure-15.7%-37.4%48.1%44.3%-22.4%
VWIV138.2%88.7%159.5%88.7%133.0%
Skew 25d18.8%-6.7%41.0%-5.0%13.7%
Skew 10d35.9%-20.6%84.1%-20.6%13.6%
Call IV 25d126.4%92.6%143.3%92.6%128.9%
Put IV 25d145.2%87.5%170.4%87.5%142.5%
Bid-Ask Spread %23.3511.0748.2718.9116.01
Gamma HHI0.140.100.460.120.10
Net GEX1.6M795.4K3.6M1.4M795.4K
Net DEX-122.2M-154.9M-46.7M-129.8M-46.7M
Net VEX-477.9K-583.6K-412.3K-412.5K-454.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.081.180.360.39
Total Volume26,656.814,61293,71414,43493,714
Total OI227,934.476176,008321,753176,008288,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$15.25$12.0088.8%25.4%42.6%34.4%88.7%-5.0%44.3%1.4M-129.8M-412.5K0.3618.9110,5833,851140,37135,637
2012-07-03$15.46$12.0091.8%26.3%42.4%37.1%93.4%-6.4%48.1%1.4M-135.3M-423.0K0.1348.276,825912144,56437,251
2012-07-05$15.28$12.0096.5%27.7%42.0%41.5%99.0%-6.7%45.7%1.4M-135.3M-422.3K0.5535.047,6844,198147,26137,829
2012-07-06$15.12$12.0096.4%40.5%42.2%41.4%139.7%20.7%-23.8%1.4M-131.7M-426.9K0.2622.746,0241,593150,59740,940
2012-07-09$15.26$12.0096.7%42.1%42.2%41.7%145.2%22.0%-26.9%1.5M-136.0M-426.5K0.2819.904,7781,328152,73242,079
2012-07-10$14.40$12.00113.2%43.5%46.8%55.8%149.1%21.5%-28.8%1.4M-114.6M-413.4K1.1038.639,59310,509153,83242,876
2012-07-11$14.09$12.0098.3%45.1%48.1%41.6%151.9%22.1%-32.9%1.2M-105.3M-412.3K0.1622.9819,8063,251153,99950,646
2012-07-12$14.65$12.00152.5%43.7%49.2%93.3%150.7%24.1%-26.2%1.4M-120.1M-420.9K0.0821.4335,8252,734158,24251,879
2012-07-13$14.56$12.00155.7%44.6%49.6%96.4%157.2%23.4%-32.6%1.7M-133.2M-506.1K0.1113.757,929868182,48653,275
2012-07-16$14.92$12.00158.9%45.5%49.8%99.4%156.5%23.7%-37.4%1.9M-142.2M-512.4K0.1315.7313,8881,874184,31252,638
2012-07-17$14.86$12.00160.1%45.9%47.6%100.0%159.0%27.1%-34.6%2.1M-143.6M-507.9K0.1219.994,115497187,94853,573
2012-07-18$14.66$12.00145.0%41.6%48.0%85.5%152.7%22.9%-27.3%2.1M-135.6M-493.2K0.9026.584,1973,782187,83153,659
2012-07-19$15.36$12.00136.8%39.2%49.8%77.7%136.9%22.7%-25.8%2.3M-153.9M-491.5K0.3127.4428,5038,702185,66554,821
2012-07-20$15.16$12.00134.8%38.6%50.5%75.9%143.1%23.8%-20.0%3.6M-154.9M-499.5K0.4619.5711,7565,456193,10359,884
2012-07-23$15.15$12.00140.0%40.1%50.5%80.8%142.9%27.6%-24.8%1.3M-121.0M-492.2K0.3929.5817,8277,021156,57843,121
2012-07-24$14.83$13.00148.4%42.6%50.7%88.8%151.8%27.3%-32.6%1.4M-119.3M-503.0K1.1817.1215,21517,988165,82848,012
2012-07-25$14.58$13.00154.1%44.2%50.7%94.3%158.4%34.4%-30.2%1.3M-114.5M-544.1K0.7719.5820,14315,563176,54063,143
2012-07-26$15.32$13.00143.9%41.3%45.1%84.5%159.5%41.0%-22.3%1.4M-132.4M-583.6K0.9524.8017,06116,124186,79471,094
2012-07-27$13.51$14.0085.3%32.3%64.3%28.6%115.2%3.0%-8.6%1.4M-86.2M-511.0K0.4611.0760,61527,886194,01581,470
2012-07-30$12.71$14.00104.5%34.3%66.9%46.9%119.3%12.2%-10.1%1.3M-74.0M-580.3K0.5021.2619,7089,867232,80288,951
2012-07-31$11.71$13.00116.3%38.5%68.1%58.2%133.0%13.7%-22.4%795.4K-46.7M-454.1K0.3916.0167,52026,194208,94579,401