AMRN Options History — July 2013

In July 2013, AMRN traded between $5.26 and $6.17. ATM implied volatility averaged 57.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 5.7% (HV 20d: 52.1%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2013-07-31: Highest Volume — 29,565 contracts
  • 2013-07-22: Largest IV drop — 24.8% change
  • 2013-07-19: Highest IV Rank — 19.0%
  • 2013-07-19: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.56$5.26$6.17$5.92$5.45
Max Pain$6.64$6.00$7.00$6.00$6.00
ATM IV57.8%44.6%70.8%52.8%51.4%
Expected Move17.4%14.7%20.3%17.2%14.7%
HV 20d52.1%39.3%58.9%41.1%52.4%
HV 60d52.9%49.7%55.4%51.0%49.7%
IV Rank11.9%4.8%19.0%9.3%8.5%
IV Percentile18.7%1.2%42.9%7.5%7.9%
Term Structure4.7%-0.6%12.1%10.2%2.7%
VWIV61.6%25.0%73.5%62.5%25.0%
Skew 25d-13.0%-20.2%-3.2%-3.2%-17.9%
Skew 10d-26.6%-44.2%-12.2%-12.2%-21.6%
Call IV 25d69.8%59.5%76.5%67.9%67.6%
Put IV 25d56.8%48.7%66.8%64.7%49.7%
Bid-Ask Spread %13.938.4929.2915.0514.85
Gamma HHI0.150.130.180.150.18
Net GEX349.0K225.6K511.4K427.7K262.7K
Net DEX-15.6M-27.4M-9.3M-23.2M-12.0M
Net VEX-314.0K-351.0K-293.1K-346.8K-296.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.1024.140.1624.14
Total Volume8,935.3182,51829,5655,14429,565
Total OI316,302.136295,184329,291295,184327,602

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$5.92$6.0052.8%17.2%41.1%9.3%62.5%-3.2%10.2%427.7K-23.2M-346.8K0.1615.054,434710217,71777,467
2013-07-02$5.71$6.0059.9%17.7%42.2%13.1%62.9%-9.5%11.8%404.6K-19.7M-331.8K0.4819.722,9171,395220,03778,014
2013-07-03$5.83$6.0059.4%16.6%43.5%12.8%58.1%-9.1%12.1%469.2K-21.3M-338.9K0.1923.682,114404221,24778,930
2013-07-05$5.96$7.0051.2%19.8%44.2%8.4%73.5%-9.7%-0.6%433.8K-23.0M-343.8K0.7629.294,3123,279222,22979,010
2013-07-08$6.17$7.0053.8%17.9%39.3%9.8%64.6%-11.7%5.6%511.4K-27.4M-351.0K0.6117.004,3352,654223,47478,619
2013-07-09$5.58$7.0059.8%19.9%51.2%13.1%69.8%-12.8%3.5%343.4K-15.7M-315.0K0.3518.3215,8805,586224,91180,660
2013-07-10$5.59$7.0056.1%18.9%51.4%11.0%66.2%-7.7%4.4%398.8K-16.9M-318.7K0.3714.882,7411,023232,15182,329
2013-07-11$5.35$7.0061.8%17.7%52.3%14.1%65.6%-15.1%3.7%317.1K-11.8M-303.2K0.3210.5810,9433,454233,29982,996
2013-07-12$5.27$7.0064.3%18.4%52.1%15.5%69.3%-20.2%4.0%299.7K-11.0M-301.3K0.379.923,8831,425237,99585,265
2013-07-15$5.60$7.0065.7%18.8%58.3%16.3%65.2%-9.6%2.6%407.6K-17.4M-320.9K0.5510.263,8482,120237,40285,254
2013-07-16$5.53$7.0066.0%18.9%58.2%16.4%57.4%-17.3%2.9%384.8K-16.1M-314.2K0.699.862,1201,471239,57586,639
2013-07-17$5.56$7.0063.9%18.3%58.4%15.3%63.1%-13.1%4.7%385.7K-15.6M-313.9K0.519.402,4311,251240,69487,838
2013-07-18$5.66$7.0066.6%19.1%58.9%16.8%65.8%-15.0%3.9%429.6K-18.5M-322.5K0.159.705,832846237,94687,276
2013-07-19$5.54$7.0070.8%20.3%58.7%19.0%70.8%-17.8%2.3%379.9K-15.8M-312.4K1.079.172,9133,118237,66387,665
2013-07-22$5.43$7.0053.2%15.3%58.9%9.5%62.8%-18.3%6.4%260.5K-13.0M-294.0K0.5613.0914,6188,122215,92383,991
2013-07-23$5.31$7.0051.9%14.9%54.6%8.8%58.9%-11.6%8.1%242.6K-9.7M-293.1K0.2512.555,0591,279226,98890,526
2013-07-24$5.30$7.0058.8%16.9%54.2%12.5%64.8%-13.2%0.3%239.5K-10.4M-297.3K0.3917.643,9971,561228,94491,562
2013-07-25$5.26$6.0056.2%16.1%54.0%11.1%68.0%-15.0%2.0%225.6K-9.3M-296.3K0.108.493,561352231,01592,920
2013-07-26$5.31$6.0048.2%14.7%54.0%6.8%53.3%-10.8%3.7%251.7K-9.6M-296.2K0.7310.045,4233,973233,46893,198
2013-07-29$5.38$6.0054.3%14.9%53.6%10.1%53.3%-13.2%5.6%291.7K-12.3M-300.1K0.459.896,4042,855235,34093,577
2013-07-30$5.50$6.0044.6%15.2%53.7%4.8%54.4%-13.9%3.9%310.7K-13.6M-301.3K0.3313.089,3153,054233,65495,637
2013-07-31$5.45$6.0051.4%14.7%52.4%8.5%25.0%-17.9%2.7%262.7K-12.0M-296.2K24.1414.851,17628,389229,89397,709