AMRN Options History — January 2013

In January 2013, AMRN traded between $7.98 and $9.16. ATM implied volatility averaged 59.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 2.4% (HV 20d: 57.5%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2013-01-17: Highest Volume — 87,880 contracts
  • 2013-01-03: Largest IV spike — 79.7% change
  • 2013-01-17: Highest IV Rank — 26.9%
  • 2013-01-17: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.41$7.98$9.16$8.10$8.52
Max Pain$8.33$8.00$9.00$9.00$8.00
ATM IV59.9%35.7%85.4%35.7%53.1%
Expected Move18.4%15.3%24.5%20.1%18.9%
HV 20d57.5%39.2%84.9%81.0%61.2%
HV 60d69.4%67.8%71.8%68.5%71.4%
IV Rank13.1%0.0%26.9%0.0%9.4%
IV Percentile4.9%0.0%38.9%0.0%2.0%
Term Structure10.7%0.8%18.8%5.8%8.0%
VWIV70.9%56.8%91.6%85.5%67.1%
Skew 25d-13.0%-27.8%-8.2%-27.8%-15.6%
Skew 10d-31.1%-61.4%-16.8%-61.4%-26.9%
Call IV 25d75.7%65.8%98.4%90.7%73.2%
Put IV 25d62.8%53.5%81.2%62.9%57.6%
Bid-Ask Spread %15.304.7839.147.689.67
Gamma HHI0.240.160.350.160.20
Net GEX66.4K-243.7K648.4K157.7K217.9K
Net DEX1.2M-21.4M17.0M8.9M-11.5M
Net VEX-226.6K-293.9K-174.4K-220.7K-271.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.051.380.110.05
Total Volume15,704.7622,92087,8808,12524,951
Total OI343,576.857207,165454,664387,611249,995

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$8.10$9.0035.7%20.1%81.0%0.0%85.5%-27.8%5.8%157.7K8.9M-220.7K0.117.687,308817300,61087,001
2013-01-03$8.38$9.0064.2%19.9%83.1%15.4%91.6%-14.0%4.4%104.5K3.7M-224.8K0.227.017,9531,757304,55687,203
2013-01-04$8.41$8.0064.8%20.4%83.0%15.7%75.4%-12.9%6.2%118.1K2.2M-232.0K0.1910.007,1181,352306,10088,301
2013-01-07$8.70$8.0061.8%20.8%84.9%14.1%74.9%-11.6%7.2%200.3K-2.4M-227.7K0.3239.1412,5453,953307,92988,762
2013-01-08$8.38$8.0073.0%20.0%45.8%20.2%74.9%-11.8%6.7%172.4K4.4M-211.8K0.419.626,0012,487314,79987,482
2013-01-09$8.49$9.0062.7%19.6%45.0%14.6%71.7%-10.7%8.2%123.6K4.3M-210.8K0.228.653,134692315,80789,148
2013-01-10$8.37$9.0067.8%19.4%43.5%17.4%70.8%-10.8%8.6%-8.5K7.5M-199.5K1.0616.532,8673,031316,64489,229
2013-01-11$8.62$9.0070.2%20.1%41.6%18.7%69.2%-8.2%7.1%71.4K6.2M-201.0K0.2537.494,2131,052318,39588,452
2013-01-14$8.36$9.0067.2%19.3%39.4%17.1%73.5%-13.0%8.1%-26.6K8.4M-196.8K0.2416.533,146762318,17988,480
2013-01-15$8.28$9.0056.6%16.2%39.3%11.3%56.8%-8.7%14.1%-243.7K17.0M-174.4K0.8032.968,6256,908320,13588,560
2013-01-16$8.29$8.0058.2%16.7%39.2%12.2%62.5%-11.2%13.8%-227.3K13.5M-184.8K1.389.126,1898,556324,69593,247
2013-01-17$9.16$8.0085.4%24.5%52.9%26.9%87.3%-17.2%0.8%648.4K-21.4M-237.3K0.3810.5263,49524,385325,99394,447
2013-01-18$8.47$8.0069.2%19.8%60.3%18.1%75.9%-15.1%9.1%41.5K7.3M-206.8K0.548.0624,28513,201349,330105,334
2013-01-22$8.28$8.0057.2%16.4%59.5%11.6%67.1%-13.7%16.1%-58.5K2.6M-190.6K0.185.1530,2815,315139,26467,901
2013-01-23$8.44$8.0055.4%15.9%58.4%10.6%66.3%-13.1%16.1%181.6K-10.3M-292.1K0.2532.409,0022,265171,38672,544
2013-01-24$8.39$8.0054.4%15.6%58.4%10.1%67.9%-12.3%15.1%274.2K-10.1M-293.9K0.1932.906,1231,171175,03073,853
2013-01-25$8.39$8.0048.5%15.3%58.1%6.9%61.8%-13.0%15.8%25.0K-6.2M-266.6K0.248.583,384826169,88974,511
2013-01-28$8.28$8.0051.2%15.4%58.0%8.4%60.2%-9.7%18.8%-119.9K-1.1M-243.4K0.204.785,9611,195165,76473,844
2013-01-29$8.22$8.0050.1%15.4%58.1%7.8%63.9%-11.4%18.1%-125.2K-93.5K-233.8K0.157.612,530390166,27874,235
2013-01-30$7.98$8.0051.7%15.8%56.5%8.6%64.4%-10.4%17.7%-131.8K2.1M-238.5K0.146.919,2501,324167,40474,398
2013-01-31$8.52$8.0053.1%18.9%61.2%9.4%67.1%-15.6%8.0%217.9K-11.5M-271.0K0.059.6723,8181,133174,74475,251