AMRN Options History — March 2013

In March 2013, AMRN traded between $6.97 and $8.68. ATM implied volatility averaged 59.0%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 11.5% (HV 20d: 47.5%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2013-03-26: Highest Volume — 38,980 contracts
  • 2013-03-06: Largest IV spike — 54.3% change
  • 2013-03-12: Highest IV Rank — 26.7%
  • 2013-03-01: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.97$6.97$8.68$7.55$7.41
Max Pain$7.95$7.00$9.00$9.00$7.00
ATM IV59.0%44.0%85.0%56.9%56.9%
Expected Move16.4%12.6%19.1%19.1%16.3%
HV 20d47.5%34.3%54.9%34.3%54.9%
HV 60d51.6%47.6%65.3%63.0%49.0%
IV Rank12.6%4.5%26.7%11.5%11.4%
IV Percentile10.3%0.8%45.2%5.6%8.7%
Term Structure6.8%-4.0%12.7%-4.0%5.8%
VWIV61.2%46.4%73.4%73.4%69.5%
Skew 25d-11.6%-18.6%-6.6%-15.3%-12.5%
Skew 10d-30.7%-46.9%-19.8%-42.0%-23.0%
Call IV 25d66.5%50.9%76.1%75.3%71.0%
Put IV 25d54.8%42.9%62.8%60.0%58.5%
Bid-Ask Spread %21.535.0658.558.459.31
Gamma HHI0.240.180.320.310.18
Net GEX341.2K-167.4K930.3K-167.4K719.7K
Net DEX-18.7M-31.0M6.1M6.1M-23.6M
Net VEX-252.0K-286.7K-201.7K-236.5K-255.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.061.610.290.11
Total Volume12,077.353,32038,98012,8458,431
Total OI243,320.3156,346308,796288,196215,920

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$7.55$9.0056.9%19.1%34.3%11.5%73.4%-15.3%-4.0%-167.4K6.1M-236.5K0.298.459,9482,897214,59873,598
2013-03-04$7.80$8.0054.6%17.5%36.9%10.2%65.2%-10.9%9.1%-117.1K-21.2M-286.4K0.0653.379,026538208,67670,911
2013-03-05$7.80$8.0045.6%17.0%36.7%5.4%61.3%-8.7%8.3%-18.5K-21.8M-285.2K0.2743.084,3401,153215,37871,150
2013-03-06$8.42$8.0070.4%17.4%46.6%18.8%67.1%-13.1%10.1%223.1K-21.7M-277.2K0.2736.4516,0654,403218,10871,394
2013-03-07$8.68$8.0070.4%19.0%47.1%18.8%61.3%-15.2%5.1%361.6K-31.0M-285.6K0.5856.067,8134,555223,12074,421
2013-03-08$8.48$8.0070.7%17.4%47.2%19.0%65.3%-16.4%6.6%204.1K-24.5M-286.7K1.6158.552,8524,598225,14178,699
2013-03-11$8.66$8.0074.4%18.2%47.8%20.9%60.8%-12.8%4.9%454.9K-30.0M-274.5K0.3711.624,4081,622223,57677,066
2013-03-12$8.65$8.0085.0%17.5%47.6%26.7%60.4%-12.1%5.8%567.9K-25.4M-273.5K0.1336.437,298983225,00775,437
2013-03-13$8.46$8.0069.8%17.7%48.3%18.5%71.7%-15.7%7.0%200.1K-19.8M-267.2K0.0912.3723,5232,165225,80775,359
2013-03-14$8.39$8.0058.6%16.8%48.3%12.4%61.6%-9.2%8.9%82.0K-21.5M-264.7K0.3043.736,6872,031230,04475,155
2013-03-15$8.46$8.0049.4%14.2%48.4%7.4%54.3%-9.8%11.6%930.3K-22.4M-253.1K0.426.597,8623,299232,90775,889
2013-03-18$8.12$8.0046.3%13.3%50.1%5.7%51.0%-9.8%12.7%530.3K-19.9M-237.6K0.296.007,3732,136120,28136,065
2013-03-19$7.93$8.0045.9%13.2%50.6%5.5%49.9%-8.5%12.4%443.5K-17.7M-231.1K0.195.066,1311,194123,29137,454
2013-03-20$7.81$8.0044.0%12.6%50.4%4.5%46.4%-8.0%12.1%416.7K-15.4M-224.8K0.196.184,155803126,72438,229
2013-03-21$7.70$8.0046.5%13.3%49.1%5.8%47.2%-6.6%9.5%363.1K-14.2M-223.4K0.486.882,2391,081128,77738,675
2013-03-22$7.63$8.0059.5%17.1%49.0%12.9%60.3%-10.4%3.1%379.3K-13.5M-223.1K0.306.0713,8194,171130,15139,368
2013-03-25$7.34$8.0052.5%15.1%50.0%9.1%63.3%-18.6%3.2%334.0K-10.1M-208.5K0.147.259,5511,322138,41140,042
2013-03-26$6.97$8.0063.1%18.1%52.1%14.8%64.4%-10.4%2.2%284.0K-6.9M-201.7K0.238.2531,8157,165141,45240,603
2013-03-27$7.23$7.0060.2%17.3%54.1%13.3%69.8%-8.7%1.8%632.6K-19.2M-243.7K0.168.8510,4081,687164,62544,897
2013-03-28$7.41$7.0056.9%16.3%54.9%11.4%69.5%-12.5%5.8%719.7K-23.6M-255.9K0.119.317,612819171,03644,884