AMRN Options History — February 2013

In February 2013, AMRN traded between $8.04 and $8.73. ATM implied volatility averaged 76.1%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 29.0% (HV 20d: 47.2%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.26.

Notable Days

  • 2013-02-15: Highest Volume — 34,167 contracts
  • 2013-02-28: Largest IV drop — 34.0% change
  • 2013-02-27: Highest IV Rank — 42.2%
  • 2013-02-08: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.44$8.04$8.73$8.45$8.09
Max Pain$9.21$9.00$10.00$10.00$9.00
ATM IV76.1%43.0%113.6%43.0%74.9%
Expected Move21.2%19.1%23.4%20.1%20.0%
HV 20d47.2%32.1%60.2%60.2%34.7%
HV 60d65.9%61.9%71.4%71.4%61.9%
IV Rank21.9%3.9%42.2%3.9%21.3%
IV Percentile27.4%0.4%80.6%0.4%23.4%
Term Structure-3.2%-9.7%0.9%-0.5%-7.2%
VWIV78.6%70.6%88.9%76.8%74.9%
Skew 25d-16.9%-79.7%-6.9%-14.3%-6.9%
Skew 10d-27.1%-42.2%-16.0%-30.5%-20.3%
Call IV 25d87.9%75.5%146.2%81.9%79.0%
Put IV 25d71.1%63.3%77.0%67.7%72.1%
Bid-Ask Spread %9.126.5613.048.767.52
Gamma HHI0.240.190.370.220.27
Net GEX392.7K-92.1K1.6M315.5K81.3K
Net DEX-16.2M-28.1M-5.1M-14.6M-12.5M
Net VEX-270.9K-299.1K-237.5K-283.2K-269.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.050.560.110.37
Total Volume10,839.2114,55634,16710,5807,411
Total OI272,001.895241,071302,237265,409288,910

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-02-01$8.45$10.0043.0%20.1%60.2%3.9%76.8%-14.3%-0.5%315.5K-14.6M-283.2K0.118.769,5441,036189,77675,633
2013-02-04$8.52$10.0051.2%21.6%60.2%8.4%79.5%-14.1%-1.1%353.1K-15.5M-282.3K0.5613.044,7312,632189,17976,028
2013-02-05$8.52$10.0055.0%22.0%58.9%10.4%76.0%-12.0%-3.1%328.3K-15.5M-277.9K0.3611.673,3551,201191,08077,340
2013-02-06$8.72$10.0071.7%21.3%57.9%19.5%80.1%-12.7%0.6%543.7K-21.2M-287.9K0.319.033,5991,114192,71978,360
2013-02-07$8.53$9.0077.8%22.3%58.3%22.8%81.8%-13.0%-2.0%419.5K-16.6M-276.7K0.079.558,063599193,19578,255
2013-02-08$8.58$9.0081.5%23.4%58.1%24.8%82.4%-12.0%-9.7%499.0K-19.9M-278.8K0.0510.7719,533978198,11278,584
2013-02-11$8.49$9.0076.1%21.8%57.3%21.9%81.0%-16.9%-6.4%556.5K-16.3M-280.7K0.469.773,5281,628211,98678,654
2013-02-12$8.54$9.0079.5%22.8%56.2%23.7%88.9%-17.5%-3.6%642.8K-17.6M-281.4K0.127.896,415801213,63679,642
2013-02-13$8.58$9.0080.3%23.0%56.1%24.2%79.8%-14.3%-8.0%754.7K-21.6M-276.8K0.1311.318,0291,050218,13279,756
2013-02-14$8.61$9.0078.3%22.5%56.1%23.1%82.7%-14.1%-3.9%876.0K-20.6M-276.8K0.1810.235,9351,071219,13679,856
2013-02-15$8.73$9.0078.7%22.6%42.9%23.3%81.2%-13.3%-2.5%1.6M-26.8M-275.8K0.1711.1929,3254,842221,93180,306
2013-02-19$8.67$9.0079.0%22.6%32.4%23.4%82.9%-15.4%-6.3%123.8K-16.8M-264.1K0.097.4913,9611,296179,15661,915
2013-02-20$8.50$9.0070.1%20.1%32.1%18.7%74.2%-11.9%-0.2%215.3K-14.2M-260.9K0.447.264,0761,798187,39762,791
2013-02-21$8.19$9.0068.2%19.6%34.1%17.6%72.9%-13.1%-0.0%-23.7K-7.7M-246.0K0.509.145,1602,574188,69963,715
2013-02-22$8.24$9.0075.7%19.1%34.2%21.6%70.6%-8.9%-0.3%-78.3K-7.8M-246.8K0.197.236,8961,289191,29264,707
2013-02-25$8.04$9.0092.3%19.2%35.2%30.7%74.7%-16.5%0.9%-92.1K-5.1M-237.5K0.337.335,0831,666189,65764,463
2013-02-26$8.16$9.0099.5%19.8%35.4%34.6%74.7%-13.6%-0.2%-13.0K-8.6M-245.7K0.147.517,8501,063193,08765,515
2013-02-27$8.26$9.00113.6%19.9%35.6%42.2%77.9%-79.7%-6.8%351.6K-28.1M-299.1K0.416.5618,9857,828199,62365,813
2013-02-28$8.09$9.0074.9%20.0%34.7%21.3%74.9%-6.9%-7.2%81.3K-12.5M-269.3K0.377.525,3912,020216,25372,657