AMRN Options History — May 2013

In May 2013, AMRN traded between $6.39 and $7.75. ATM implied volatility averaged 68.8%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 10.8% (HV 20d: 58.0%). 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 18 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2013-05-14: Highest Volume — 32,143 contracts
  • 2013-05-14: Largest IV spike — 61.6% change
  • 2013-05-07: Highest IV Rank — 46.2%
  • 2013-05-09: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.02$6.39$7.75$7.20$6.99
Max Pain$7.32$7.00$8.00$7.00$7.00
ATM IV68.8%46.9%121.0%56.5%54.7%
Expected Move17.2%13.5%20.3%19.0%15.6%
HV 20d58.0%52.5%61.6%54.6%56.3%
HV 60d51.3%47.3%54.3%47.3%51.8%
IV Rank17.9%6.1%46.2%11.3%10.3%
IV Percentile26.8%2.8%86.5%10.3%10.3%
Term Structure3.2%-4.5%12.3%-3.0%1.3%
VWIV64.3%48.9%80.7%69.6%56.3%
Skew 25d-9.8%-16.8%-3.9%-6.8%-8.7%
Skew 10d-25.8%-45.9%-13.7%-17.4%-27.7%
Call IV 25d69.1%55.8%81.4%76.2%63.2%
Put IV 25d59.3%51.1%69.4%69.4%54.5%
Bid-Ask Spread %22.366.6456.726.6418.31
Gamma HHI0.180.150.260.180.15
Net GEX588.0K149.9K1.2M780.8K601.6K
Net DEX-19.8M-40.3M-8.6M-24.2M-28.3M
Net VEX-228.8K-315.2K-194.9K-226.0K-315.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.040.710.330.64
Total Volume11,880.2733,03232,1433,16914,359
Total OI218,709.227194,689259,882200,487259,882

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$7.20$7.0056.5%19.0%54.6%11.3%69.6%-6.8%-3.0%780.8K-24.2M-226.0K0.336.642,384785162,11638,371
2013-05-02$6.82$7.0070.5%19.3%57.6%18.8%72.3%-12.5%-0.8%564.2K-14.3M-194.9K0.607.983,4872,097162,48038,576
2013-05-03$6.78$7.0065.7%18.8%55.6%16.2%74.7%-14.2%-0.7%589.2K-15.0M-202.0K0.337.842,284748164,32839,598
2013-05-06$7.02$8.0078.4%18.0%57.2%23.1%65.7%-6.3%3.0%613.1K-16.8M-197.0K0.4042.803,1361,239164,17239,898
2013-05-07$7.01$8.00121.0%18.7%57.0%46.2%65.9%-8.7%3.9%619.2K-18.1M-201.9K0.2841.294,5891,275166,23440,772
2013-05-08$7.13$8.0080.1%17.4%57.2%24.1%67.3%-8.2%12.3%695.2K-20.4M-206.5K0.2731.9410,6792,906168,84041,908
2013-05-09$6.83$8.00101.7%20.3%55.6%35.8%80.7%-15.0%2.2%650.8K-17.9M-218.9K0.5616.6111,1356,211175,65244,433
2013-05-10$7.25$8.0065.9%17.1%60.2%16.4%61.3%-8.2%5.1%891.7K-26.0M-241.2K0.4630.808,7553,988182,87649,584
2013-05-13$7.59$8.0062.4%18.5%58.9%14.5%63.1%-12.4%6.0%1.2M-33.8M-250.2K0.339.309,0672,995183,97050,340
2013-05-14$7.75$8.00100.8%20.0%58.4%35.3%72.3%-16.2%4.2%1.2M-40.3M-270.2K0.0423.7230,8401,303187,03151,793
2013-05-15$7.29$7.00110.2%19.2%61.6%40.4%73.5%-10.5%0.2%903.0K-24.6M-236.6K0.1956.725,2941,028192,22752,260
2013-05-16$7.23$7.0062.2%17.8%60.7%14.3%71.2%-16.1%6.0%744.5K-22.8M-247.0K0.6913.603,3542,317184,53951,854
2013-05-17$7.14$7.0058.4%16.7%60.6%12.3%62.6%-6.2%1.6%149.9K-17.0M-221.9K0.2321.2514,9503,481185,78553,590
2013-05-20$7.05$7.0051.2%14.7%60.8%8.4%57.4%-7.2%3.9%358.5K-16.3M-225.5K0.2815.315,2041,431152,36942,320
2013-05-21$6.98$7.0046.9%13.5%59.9%6.1%48.9%-5.2%9.5%289.3K-14.0M-218.1K0.4533.023,2151,441155,30743,391
2013-05-22$6.89$7.0048.7%14.0%59.7%7.0%55.3%-8.2%5.7%331.2K-13.8M-218.8K0.3615.114,4641,588157,60343,908
2013-05-23$6.92$7.0050.1%14.4%59.0%7.8%52.6%-3.9%5.5%315.3K-13.3M-214.5K0.3832.773,2991,243160,07844,606
2013-05-24$6.78$7.0053.2%15.2%54.4%9.5%53.5%-4.9%6.1%300.2K-11.2M-211.6K0.7117.402,6071,861162,01845,203
2013-05-28$6.39$7.0059.8%17.1%57.8%13.0%64.6%-8.9%-4.5%266.9K-8.6M-199.7K0.2421.8217,7684,282160,20545,424
2013-05-29$6.46$7.0059.1%16.9%52.5%12.6%67.4%-16.8%2.3%345.4K-13.3M-230.4K0.3815.2722,6168,642172,75647,810
2013-05-30$6.98$7.0055.0%15.8%59.7%10.4%59.0%-11.0%1.4%572.8K-25.3M-285.8K0.2712.3821,2555,764190,78354,713
2013-05-31$6.99$7.0054.7%15.6%56.3%10.3%56.3%-8.7%1.3%601.6K-28.3M-315.2K0.6418.318,7395,620202,28357,599