AMRN Options History — December 2012

In December 2012, AMRN traded between $7.68 and $12.60. ATM implied volatility averaged 95.4%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 29.7%. IV traded above realized volatility by 11.4% (HV 20d: 84.0%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2012-12-07: Highest Volume — 54,398 contracts
  • 2012-12-06: Largest IV spike — 56.9% change
  • 2012-12-11: Highest IV Rank — 44.2%
  • 2012-12-04: Largest Expected Move — 41.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.28$7.68$12.60$12.60$8.09
Max Pain$10.10$9.00$12.00$12.00$9.00
ATM IV95.4%54.6%130.5%104.1%54.6%
Expected Move29.7%21.0%41.4%39.6%22.0%
HV 20d84.0%64.0%98.6%65.6%81.7%
HV 60d66.6%55.9%70.0%56.5%68.9%
IV Rank22.7%0.0%44.2%27.8%0.0%
IV Percentile52.0%0.0%90.1%67.9%0.0%
Term Structure1.1%-15.4%15.1%-13.7%8.9%
VWIV111.4%78.2%146.4%141.0%86.7%
Skew 25d-21.0%-31.4%-6.9%-10.6%-19.2%
Skew 10d-38.9%-52.5%-20.7%-30.8%-50.7%
Call IV 25d118.6%85.2%157.5%142.6%92.0%
Put IV 25d97.6%70.4%144.2%132.0%72.7%
Bid-Ask Spread %19.798.6841.6434.4411.99
Gamma HHI0.160.080.460.090.21
Net GEX474.2K-707.1K2.2M2.0M36.4K
Net DEX-6.5M-120.8M43.3M-115.6M9.2M
Net VEX-359.1K-650.4K-201.4K-641.6K-220.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.101.320.280.30
Total Volume19,171.36,14754,39823,90610,570
Total OI459,132.8365,394511,447454,187382,646

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$12.60$12.00104.1%39.6%65.6%27.8%141.0%-10.6%-13.7%2.0M-115.6M-641.6K0.2834.4418,6735,233329,535124,652
2012-12-04$12.60$12.0093.0%41.4%65.7%21.0%145.9%-6.9%-15.4%2.2M-120.8M-650.4K0.2241.6415,9133,525331,539123,891
2012-12-05$12.04$12.0080.0%41.0%64.0%12.9%146.0%-13.2%-13.8%1.9M-98.6M-612.2K0.3635.788,1782,935338,679126,338
2012-12-06$11.95$12.00125.5%41.0%64.1%41.1%146.4%-18.8%-14.2%1.9M-91.9M-605.1K0.4336.934,5881,994343,145128,118
2012-12-07$9.69$10.0092.8%27.4%98.6%20.9%102.6%-19.1%2.4%426.0K6.6M-382.5K0.3319.3940,93313,465344,575129,768
2012-12-10$9.34$10.00109.7%28.3%93.1%31.3%106.7%-24.2%2.0%410.0K10.8M-366.1K0.4615.0022,35610,281351,703130,925
2012-12-11$9.00$10.00130.5%31.0%93.5%44.2%113.0%-21.1%-3.7%408.2K12.7M-366.5K0.2616.9520,2675,269360,992131,684
2012-12-12$9.41$10.00121.0%31.7%94.6%38.4%115.0%-19.4%-6.1%616.8K-692.5K-391.2K0.8419.5612,95110,897363,530130,439
2012-12-13$8.96$10.00113.6%32.6%94.6%33.7%120.4%-25.1%-6.7%396.2K9.7M-370.0K0.5019.7214,0406,973363,789136,603
2012-12-14$8.84$10.00107.7%30.9%91.9%30.1%116.1%-20.5%-2.9%131.9K24.1M-337.1K0.2524.8133,6628,332371,282137,544
2012-12-17$8.75$10.0099.9%28.6%91.5%25.2%107.7%-24.1%2.2%-71.4K24.8M-311.3K0.5118.039,4294,774367,074131,961
2012-12-18$8.57$10.0098.8%28.3%91.5%24.6%104.0%-27.2%3.4%-154.8K34.2M-280.8K0.5414.668,9534,873369,243132,099
2012-12-19$8.53$10.0098.1%28.1%91.5%24.1%104.5%-31.4%7.7%-108.8K32.4M-286.6K1.0116.713,1643,191372,493132,878
2012-12-20$8.24$10.0091.1%26.1%85.9%19.8%101.1%-26.4%6.8%-74.4K40.1M-260.1K0.1514.8319,3052,872369,519132,095
2012-12-21$7.96$9.0087.9%25.2%86.1%17.8%103.2%-26.9%12.3%-707.1K43.3M-245.8K1.3215.725,0786,702379,987131,460
2012-12-24$7.90$9.0081.2%23.3%84.8%13.6%92.3%-25.0%12.2%80.8K9.6M-226.4K0.149.787,4671,039284,32381,071
2012-12-26$7.81$9.0079.9%22.9%80.4%12.8%90.7%-23.6%13.0%33.6K12.9M-209.1K0.5510.343,9632,184287,78381,731
2012-12-27$7.68$9.0082.9%23.8%80.4%14.7%106.7%-22.2%13.2%51.0K12.6M-216.3K0.1010.8916,9131,673288,08282,017
2012-12-28$7.70$9.0056.0%21.0%80.1%0.0%78.2%-14.8%15.1%-26.4K15.2M-201.4K0.668.686,5114,300294,58482,879
2012-12-31$8.09$9.0054.6%22.0%81.7%0.0%86.7%-19.2%8.9%36.4K9.2M-220.8K0.3011.998,1582,412296,71185,935