AMRN Options History — June 2013

In June 2013, AMRN traded between $5.68 and $7.10. ATM implied volatility averaged 63.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 13.9% (HV 20d: 49.8%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2013-06-25: Highest Volume — 50,144 contracts
  • 2013-06-10: Largest IV spike — 33.2% change
  • 2013-06-12: Highest IV Rank — 23.4%
  • 2013-06-11: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.50$5.68$7.10$7.00$5.80
Max Pain$6.85$6.00$7.00$7.00$6.00
ATM IV63.8%53.5%79.0%53.5%56.5%
Expected Move18.1%16.1%20.3%16.3%16.6%
HV 20d49.8%38.4%58.1%56.2%39.8%
HV 60d51.9%50.6%52.9%51.3%51.5%
IV Rank15.2%9.6%23.4%9.6%11.2%
IV Percentile24.7%8.7%47.6%8.7%14.3%
Term Structure5.3%-2.9%12.7%1.5%12.7%
VWIV68.0%59.7%78.2%64.1%66.9%
Skew 25d-12.9%-20.0%-1.8%-10.2%-12.4%
Skew 10d-28.7%-46.1%-15.4%-24.3%-24.5%
Call IV 25d73.1%63.8%85.9%68.8%66.2%
Put IV 25d60.3%53.1%67.5%58.6%53.8%
Bid-Ask Spread %27.3111.8652.1714.0219.60
Gamma HHI0.150.140.170.150.16
Net GEX473.8K195.7K670.6K670.6K367.6K
Net DEX-18.4M-31.5M-6.8M-29.0M-20.6M
Net VEX-306.9K-344.8K-250.3K-315.2K-337.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.033.290.340.12
Total Volume11,650.251,96950,1441,9699,344
Total OI281,534.85218,483307,354262,279291,761

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$7.00$7.0053.5%16.3%56.2%9.6%64.1%-10.2%1.5%670.6K-29.0M-315.2K0.3414.021,474495204,98157,298
2013-06-04$6.91$7.0064.1%16.5%55.1%15.4%60.4%-8.1%-0.2%560.5K-23.6M-300.1K0.2821.884,1371,173204,56257,919
2013-06-05$6.81$7.0056.5%17.9%55.3%11.2%68.8%-13.8%-0.9%569.1K-24.1M-304.5K0.3816.521,652622206,20158,412
2013-06-06$6.64$7.0067.0%19.5%55.4%16.9%78.2%-20.0%1.6%492.9K-21.7M-298.8K0.3320.669,5183,112207,00458,507
2013-06-07$7.07$7.0055.3%17.2%58.1%10.6%67.0%-17.2%10.4%662.3K-31.5M-318.4K3.2948.676,38921,049212,36060,006
2013-06-10$7.10$7.0073.7%19.6%54.0%20.6%71.7%-16.2%6.2%588.8K-27.1M-344.8K0.0542.4812,311569212,29276,905
2013-06-11$7.02$7.0078.3%20.3%51.1%23.1%75.7%-18.4%4.7%638.7K-26.9M-339.0K0.1230.192,213259216,67377,050
2013-06-12$6.81$7.0079.0%20.1%51.1%23.4%73.3%-14.9%5.3%595.4K-21.7M-325.2K0.0622.397,089457218,51977,126
2013-06-13$6.81$7.0068.0%19.5%46.8%17.5%68.3%-16.8%6.5%602.9K-21.7M-327.9K0.1545.542,111318222,72277,319
2013-06-14$6.76$7.0065.9%18.9%46.8%16.4%71.8%-15.6%8.6%597.6K-19.0M-320.1K0.0342.8313,728455223,06277,365
2013-06-17$6.62$7.0068.3%19.6%47.1%17.7%77.7%-12.8%8.0%576.5K-16.2M-304.3K0.2352.173,693848221,98776,812
2013-06-18$6.60$7.0063.4%18.2%47.0%15.0%64.4%-12.8%8.2%528.9K-12.2M-297.1K0.2111.868,3541,793221,72676,869
2013-06-19$6.47$7.0062.1%17.8%47.3%14.3%67.0%-9.9%0.2%423.2K-9.2M-287.3K0.1321.548,4671,124226,02777,382
2013-06-20$6.30$7.0066.0%18.9%47.9%16.4%65.1%-17.6%-2.9%256.6K-7.5M-281.9K0.4021.014,1671,660228,25776,799
2013-06-21$6.29$7.0059.3%17.0%47.8%12.8%69.4%-10.5%12.2%257.4K-6.8M-279.7K0.4318.685,4922,363230,71176,643
2013-06-24$5.87$7.0062.6%17.9%52.8%14.6%66.7%-11.4%2.7%195.7K-6.8M-250.3K0.1731.5520,3433,517157,20161,282
2013-06-25$5.74$7.0062.7%18.0%49.5%14.6%63.5%-1.8%4.4%228.8K-9.9M-268.8K0.4929.7933,59916,545174,23362,364
2013-06-26$5.78$6.0056.2%16.1%49.3%11.1%59.7%-8.0%7.9%315.7K-16.1M-314.7K0.1322.1016,1372,105198,50976,051
2013-06-27$5.68$6.0057.1%16.4%38.4%11.6%60.9%-8.5%8.1%347.3K-16.7M-322.4K0.2712.713,414909212,97376,827
2013-06-28$5.80$6.0056.5%16.6%39.8%11.2%66.9%-12.4%12.7%367.6K-20.6M-337.1K0.1219.608,3151,029214,49777,264