AMRN Options History — April 2013

In April 2013, AMRN traded between $6.39 and $7.75. ATM implied volatility averaged 65.3%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 17.7% (HV 20d: 47.6%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2013-04-11: Highest Volume — 28,728 contracts
  • 2013-04-10: Largest IV drop — 33.3% change
  • 2013-04-09: Highest IV Rank — 25.9%
  • 2013-04-16: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.13$6.39$7.75$7.36$7.41
Max Pain$7.23$7.00$8.00$7.00$7.00
ATM IV65.3%48.4%83.6%65.9%60.2%
Expected Move19.2%16.6%21.8%17.0%17.2%
HV 20d47.6%41.1%54.0%49.3%54.0%
HV 60d47.3%44.3%51.0%49.0%47.1%
IV Rank16.0%6.9%25.9%16.4%13.3%
IV Percentile18.4%2.8%45.2%16.3%13.9%
Term Structure1.3%-6.8%6.6%3.4%-4.3%
VWIV71.0%62.3%81.3%72.1%63.5%
Skew 25d-10.5%-15.4%-2.6%-13.0%-7.5%
Skew 10d-29.3%-49.6%-8.1%-34.1%-13.1%
Call IV 25d76.2%66.2%86.8%73.1%69.4%
Put IV 25d65.7%55.3%72.2%60.0%61.8%
Bid-Ask Spread %8.995.9822.599.926.02
Gamma HHI0.170.140.210.160.21
Net GEX663.7K342.7K1.1M749.6K871.0K
Net DEX-19.0M-37.4M-6.1M-23.1M-27.8M
Net VEX-225.2K-261.4K-176.8K-251.0K-231.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.041.870.210.24
Total Volume7,445.3643,27028,7284,52010,433
Total OI218,339.545175,259239,722217,695199,587

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$7.36$7.0065.9%17.0%49.3%16.4%72.1%-13.0%3.4%749.6K-23.1M-251.0K0.219.923,743777172,47245,223
2013-04-02$7.71$7.0056.0%16.6%50.8%11.0%62.3%-13.9%4.8%889.6K-30.1M-261.4K0.6810.453,7442,546174,27445,727
2013-04-03$7.58$7.0053.1%18.0%51.2%9.4%63.8%-13.2%6.6%765.8K-28.1M-260.4K0.529.903,3941,760175,70547,335
2013-04-04$7.52$7.0060.7%18.7%42.1%13.6%74.3%-13.8%2.7%700.8K-26.6M-257.9K0.0710.374,653313176,94948,205
2013-04-05$7.19$8.0063.9%20.0%42.0%15.3%73.7%-9.7%2.1%688.3K-18.7M-240.1K0.097.377,583677179,69348,302
2013-04-08$7.20$8.0077.2%21.1%41.8%22.5%75.7%-10.1%0.1%742.3K-21.5M-240.6K0.128.175,677659183,11546,700
2013-04-09$7.29$8.0083.6%19.9%41.1%25.9%71.6%-11.1%3.8%816.2K-23.3M-242.1K0.298.064,7151,365187,24247,181
2013-04-10$7.38$7.0055.7%19.3%41.7%10.8%72.8%-11.6%4.8%976.9K-26.8M-247.3K0.288.983,085855190,10547,579
2013-04-11$7.75$8.0071.5%20.5%45.9%19.4%71.8%-8.2%1.4%1.1M-37.4M-260.1K0.046.4527,5001,228191,65947,338
2013-04-12$7.64$7.0068.9%19.7%46.0%18.0%71.6%-10.8%1.5%949.0K-29.2M-250.2K0.227.546,4161,433192,24247,480
2013-04-15$7.21$8.0070.7%20.3%49.4%19.0%72.8%-12.6%0.9%611.3K-17.0M-225.9K0.208.753,814751187,86747,637
2013-04-16$7.05$7.0076.0%21.8%48.2%21.8%81.3%-15.1%-0.7%560.7K-14.7M-220.0K0.127.643,133386188,80247,490
2013-04-17$6.82$7.0075.6%21.7%48.8%21.6%77.0%-15.4%-0.2%496.2K-8.8M-205.7K0.928.502,8072,577189,30747,553
2013-04-18$6.64$7.0071.9%20.6%49.2%19.6%75.4%-14.7%5.2%429.2K-6.1M-196.4K0.278.244,3301,150186,67347,523
2013-04-19$6.79$7.0065.2%18.7%50.3%16.0%74.5%-11.2%4.8%516.2K-6.3M-200.1K1.878.372,5034,690188,78347,436
2013-04-22$6.85$7.0060.5%17.3%50.6%13.4%62.9%-2.6%4.5%429.3K-12.2M-194.2K0.297.456,5891,935141,96933,290
2013-04-23$6.65$7.0062.5%17.9%49.9%14.5%67.3%-8.6%3.6%408.7K-11.5M-192.2K0.3622.596,5132,368145,62634,412
2013-04-24$6.53$7.0068.3%19.6%47.0%17.7%68.5%-4.3%-4.9%383.2K-10.0M-191.5K0.2112.3411,4662,364149,09736,106
2013-04-25$6.39$7.0066.0%18.9%45.0%16.4%71.3%-11.0%-3.7%342.7K-7.6M-176.8K0.305.982,523747157,45637,758
2013-04-26$6.84$7.0054.1%19.2%51.1%10.0%69.7%-5.7%-6.8%473.6K-13.5M-194.9K0.127.876,280752158,14338,182
2013-04-29$6.96$7.0048.4%17.9%51.7%6.9%68.8%-5.9%-1.3%663.0K-18.7M-215.0K0.196.882,984580160,15838,089
2013-04-30$7.41$7.0060.2%17.2%54.0%13.3%63.5%-7.5%-4.3%871.0K-27.8M-231.3K0.246.028,3982,035161,58638,001