AMRN Options History — October 2012

In October 2012, AMRN traded between $10.88 and $12.52. ATM implied volatility averaged 100.7%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded above realized volatility by 49.6% (HV 20d: 51.1%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-10-10: Highest Volume — 69,839 contracts
  • 2012-10-11: Largest IV spike — 38.2% change
  • 2012-10-18: Highest IV Rank — 37.7%
  • 2012-10-18: Largest Expected Move — 34.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.77$10.88$12.52$12.48$11.78
Max Pain$11.43$10.00$13.00$13.00$11.00
ATM IV100.7%70.9%119.9%78.7%77.7%
Expected Move31.1%26.2%34.4%27.6%30.0%
HV 20d51.1%45.3%57.7%57.7%53.1%
HV 60d63.3%58.8%65.8%64.8%58.8%
IV Rank25.7%7.2%37.7%12.1%11.4%
IV Percentile62.3%5.6%88.1%19.4%16.3%
Term Structure0.9%-10.7%19.0%13.0%7.7%
VWIV110.7%97.9%120.0%101.8%105.3%
Skew 25d-8.3%-13.0%-2.1%-11.6%-5.8%
Skew 10d-17.6%-43.5%-3.5%-43.5%-16.5%
Call IV 25d115.5%103.5%123.9%107.3%110.1%
Put IV 25d107.2%90.5%117.0%95.6%104.3%
Bid-Ask Spread %43.1011.2165.3148.9351.32
Gamma HHI0.090.080.100.100.08
Net GEX1.4M929.1K2.0M1.3M1.7M
Net DEX-71.8M-107.8M-39.1M-70.9M-83.2M
Net VEX-708.8K-808.6K-608.1K-608.1K-691.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.130.990.430.19
Total Volume18,876.6674,58969,83950,03810,498
Total OI409,487.333315,356458,161315,356416,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$12.48$13.0078.7%27.6%57.7%12.1%101.8%-11.6%13.0%1.3M-70.9M-608.1K0.4348.9335,10014,938232,80582,551
2012-10-02$12.35$13.0070.9%26.7%51.1%7.2%98.0%-12.6%16.0%1.4M-75.3M-681.2K0.1847.115,486973257,18594,171
2012-10-03$11.81$13.0074.1%26.2%51.8%9.2%97.9%-13.0%19.0%1.2M-58.9M-642.7K0.3514.6136,77512,944261,64694,372
2012-10-04$12.15$13.0099.5%27.7%51.1%25.0%99.6%-11.8%16.6%1.4M-81.2M-762.6K0.4060.2217,1246,801286,363106,028
2012-10-05$12.52$12.0097.6%32.2%52.5%23.8%113.3%-9.2%-6.9%1.6M-96.7M-808.6K0.4715.076,7023,162292,657111,391
2012-10-08$12.31$12.00109.8%32.2%52.3%31.4%112.1%-11.9%-4.1%1.5M-88.7M-766.1K0.4945.436,5493,197291,663112,411
2012-10-09$11.86$12.00109.2%31.7%49.7%31.0%113.9%-8.4%-3.9%1.4M-74.7M-750.8K0.8945.616,2065,507295,940115,003
2012-10-10$11.20$12.0082.9%33.8%52.8%14.7%120.0%-7.0%-10.6%929.1K-46.6M-688.6K0.4642.8047,87521,964297,793119,062
2012-10-11$11.09$12.00114.6%32.8%45.4%34.4%116.0%-8.0%-5.7%956.8K-46.5M-710.0K0.4246.494,1971,750317,064129,323
2012-10-12$10.88$12.00112.6%32.3%45.3%33.1%114.0%-11.6%-3.8%1.0M-39.1M-679.5K0.6649.775,2043,418313,665126,067
2012-10-15$11.33$12.00116.9%33.5%49.1%35.8%120.0%-9.5%-10.7%1.1M-53.2M-702.5K0.1549.0213,0361,951310,869123,840
2012-10-16$11.39$10.00112.4%32.2%49.3%33.0%114.9%-5.9%-5.5%1.3M-56.2M-704.6K0.3747.483,3511,238318,323124,065
2012-10-17$11.29$10.00115.0%33.0%49.1%34.6%115.7%-7.1%-9.6%1.3M-52.7M-679.6K0.2440.934,1971,023319,692124,481
2012-10-18$11.77$10.00119.9%34.4%51.2%37.7%118.8%-4.8%-8.9%1.5M-76.7M-727.0K0.3062.2927,9818,297317,921123,912
2012-10-19$11.26$10.00111.9%32.1%52.9%32.7%118.8%-7.4%-1.3%1.2M-54.6M-682.6K0.9965.314,4424,400329,220128,941
2012-10-22$11.19$10.00109.2%31.3%48.1%31.0%110.4%-8.4%-1.9%1.2M-61.2M-663.0K0.1352.2113,6111,784280,096107,973
2012-10-23$11.71$10.00109.0%31.2%51.2%30.9%108.3%-2.1%2.9%1.6M-80.8M-701.1K0.5952.939,4905,569289,095108,459
2012-10-24$12.43$11.00108.7%31.2%54.9%30.7%110.2%-12.3%1.0%1.9M-107.8M-752.0K0.1344.4812,8261,718293,802113,036
2012-10-25$12.31$11.00106.7%30.6%52.1%29.4%108.5%-3.4%3.8%2.0M-104.7M-750.8K0.2811.9812,4043,506300,423113,771
2012-10-26$12.05$11.0077.0%30.8%52.6%11.0%106.7%-3.7%11.9%1.7M-97.9M-732.0K0.4411.216,3952,821304,395113,103
2012-10-31$11.78$11.0077.7%30.0%53.1%11.4%105.3%-5.8%7.7%1.7M-83.2M-691.4K0.1951.328,7971,701303,126113,531