AMRN Options History — November 2012

In November 2012, AMRN traded between $10.26 and $12.41. ATM implied volatility averaged 120.4%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 33.9%. IV traded above realized volatility by 60.0% (HV 20d: 60.4%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2012-11-16: Highest Volume — 68,587 contracts
  • 2012-11-06: Largest IV spike — 27.4% change
  • 2012-11-14: Highest IV Rank — 57.2%
  • 2012-11-30: Largest Expected Move — 38.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.23$10.26$12.41$11.58$12.41
Max Pain$12.00$11.00$13.00$11.00$12.00
ATM IV120.4%82.3%151.4%82.3%108.8%
Expected Move33.9%28.4%38.7%32.0%38.7%
HV 20d60.4%50.2%68.0%53.2%66.1%
HV 60d56.1%51.2%59.0%57.3%56.8%
IV Rank38.0%14.3%57.2%14.3%30.8%
IV Percentile81.7%29.4%96.0%29.4%75.4%
Term Structure-2.9%-11.2%12.5%0.3%-8.4%
VWIV121.4%105.3%137.6%110.3%137.6%
Skew 25d-13.8%-31.4%-5.6%-11.2%-14.6%
Skew 10d-24.2%-46.8%-6.3%-24.7%-23.2%
Call IV 25d127.0%112.3%144.1%116.0%143.0%
Put IV 25d113.1%94.6%128.3%104.7%128.3%
Bid-Ask Spread %45.0616.0969.0946.8035.84
Gamma HHI0.080.080.090.080.09
Net GEX1.4M814.3K2.2M1.6M1.9M
Net DEX-65.5M-111.1M-33.7M-76.2M-111.1M
Net VEX-606.9K-658.4K-526.4K-658.4K-654.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.120.810.300.33
Total Volume19,760.6675,51968,58711,05019,742
Total OI440,041.19402,847487,601419,907453,136

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$11.58$11.0082.3%32.0%53.2%14.3%110.3%-11.2%0.3%1.6M-76.2M-658.4K0.3046.808,5322,518306,218113,689
2012-11-02$11.35$11.0096.7%30.9%51.4%23.2%110.5%-7.0%1.3%1.6M-67.9M-648.1K0.3417.695,9562,017310,086115,455
2012-11-05$11.38$12.00109.3%31.6%50.2%31.0%113.6%-6.8%-2.9%1.6M-70.6M-641.4K0.1645.797,2021,130309,976115,611
2012-11-06$10.72$12.00139.2%32.5%52.3%49.6%113.4%-6.6%-4.1%1.3M-49.1M-600.0K0.2345.769,8162,229311,465116,420
2012-11-07$10.74$12.00133.4%33.8%52.3%46.1%118.6%-5.6%-4.1%1.2M-48.9M-591.9K0.6769.0915,10910,101312,846117,539
2012-11-08$10.26$13.00135.8%32.8%53.1%47.5%117.4%-10.1%-0.2%999.9K-36.1M-568.5K0.7952.1511,6679,251320,351122,142
2012-11-09$11.21$13.00111.7%32.7%59.7%32.6%116.1%-7.6%-5.7%1.4M-64.0M-627.1K0.4529.6212,9305,754324,316127,489
2012-11-12$10.95$12.00131.6%35.1%60.2%44.9%128.3%-10.2%-10.4%1.4M-58.8M-595.3K0.2149.8314,3312,976322,754125,141
2012-11-13$11.24$12.00140.6%34.7%60.5%50.5%126.9%-15.8%-4.7%1.6M-71.1M-620.3K0.1244.3812,2761,523330,159126,184
2012-11-14$10.69$12.00151.4%36.1%61.3%57.2%129.2%-16.4%-10.7%1.2M-52.0M-574.9K0.3516.0913,4954,686331,594126,207
2012-11-15$11.24$12.00129.9%37.3%64.1%43.9%133.9%-17.1%-10.9%1.6M-72.4M-617.4K0.8143.5723,46819,008336,623128,509
2012-11-16$10.84$12.00127.7%36.6%65.3%42.5%128.5%-16.1%-3.2%814.3K-46.4M-573.0K0.5149.8745,32523,262349,059138,542
2012-11-19$10.62$12.00104.8%30.0%63.5%28.3%109.5%-13.2%9.3%897.5K-34.5M-526.4K0.3750.5018,7026,986289,729113,118
2012-11-20$10.49$12.0099.2%28.4%61.8%24.8%105.3%-17.7%12.5%892.7K-33.7M-529.4K0.5552.3410,0525,481299,976116,492
2012-11-21$11.32$12.00120.6%34.6%68.0%38.1%129.0%-24.0%-2.8%1.5M-68.3M-612.7K0.1960.4526,4845,040305,729118,531
2012-11-23$11.21$12.00120.4%34.5%65.9%38.0%125.2%-24.7%1.0%1.4M-71.5M-613.6K0.6751.723,3002,219320,301118,713
2012-11-26$11.49$12.00118.7%34.0%62.7%36.9%126.4%-31.4%-0.9%1.4M-71.7M-608.0K0.2352.439,3352,164311,364120,663
2012-11-27$12.13$12.00121.7%34.9%65.9%38.8%123.0%-10.8%-2.2%1.8M-89.7M-629.4K0.2941.2020,0505,754316,678121,877
2012-11-28$11.88$12.00120.0%34.4%65.9%37.8%118.5%-13.4%-1.8%2.0M-90.3M-631.1K0.4751.853,8061,800325,242122,757
2012-11-29$11.99$12.00124.4%35.7%65.5%40.5%127.8%-10.0%-11.2%2.2M-91.4M-623.7K0.2139.287,8481,649324,221123,963
2012-11-30$12.41$12.00108.8%38.7%66.1%30.8%137.6%-14.6%-8.4%1.9M-111.1M-654.3K0.3335.8414,8724,870328,317124,819