AMRN Options History — August 2013

In August 2013, AMRN traded between $5.27 and $6.38. ATM implied volatility averaged 64.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 28.4% (HV 20d: 36.3%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2013-08-16: Highest Volume — 36,603 contracts
  • 2013-08-14: Largest IV spike — 57.5% change
  • 2013-08-06: Highest IV Rank — 40.4%
  • 2013-08-05: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.80$5.27$6.38$5.47$6.30
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV64.7%45.4%110.3%80.0%45.4%
Expected Move16.9%14.4%19.9%15.0%15.4%
HV 20d36.3%25.7%51.8%51.8%36.1%
HV 60d46.5%43.5%49.7%49.7%44.4%
IV Rank18.2%8.4%40.4%24.0%8.4%
IV Percentile31.7%1.6%84.5%57.9%1.6%
Term Structure59.4%7.9%72.4%7.9%71.0%
VWIV64.3%54.6%75.8%69.5%56.9%
Skew 25d-13.5%-20.8%-0.1%-18.0%-12.6%
Skew 10d-28.4%-47.6%-14.8%-25.9%-30.2%
Call IV 25d69.9%57.8%87.2%70.6%62.3%
Put IV 25d56.4%46.5%72.1%52.6%49.7%
Bid-Ask Spread %20.878.2563.8723.2414.01
Gamma HHI0.170.140.230.160.17
Net GEX449.4K140.0K732.4K298.5K656.4K
Net DEX-29.1M-44.8M-15.4M-16.0M-43.0M
Net VEX-296.1K-322.8K-262.7K-297.7K-311.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.030.670.160.67
Total Volume9,380.1362,29336,6033,2404,775
Total OI322,532.318295,635335,012321,139330,307

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$5.47$6.0080.0%15.0%51.8%24.0%69.5%-18.0%7.9%298.5K-16.0M-297.7K0.1623.242,797443230,55490,585
2013-08-02$5.44$6.0073.9%14.4%50.9%20.7%63.7%-19.4%9.2%272.7K-18.6M-284.0K0.1317.702,032261231,61981,186
2013-08-05$5.55$6.0093.8%19.9%49.7%31.5%70.7%-16.8%49.8%315.1K-20.1M-283.4K0.2311.354,9321,158231,63181,255
2013-08-06$5.42$6.00110.3%17.5%35.6%40.4%71.3%-11.9%57.1%269.8K-17.8M-277.0K0.2213.153,129697233,98281,907
2013-08-07$5.27$6.0059.9%18.7%36.8%13.1%71.3%-11.0%59.9%224.1K-16.0M-274.0K0.6034.357,2454,373235,84582,054
2013-08-08$5.31$6.0078.9%19.3%33.6%23.4%75.8%-20.1%55.2%238.9K-17.9M-281.2K0.3015.254,1281,248241,43585,967
2013-08-09$5.39$6.0054.9%16.7%33.6%10.4%69.0%-18.2%63.4%226.5K-18.5M-274.4K0.1622.796,5091,027242,87386,783
2013-08-12$5.30$6.0061.8%16.7%25.7%14.1%70.0%-20.2%66.0%140.0K-15.4M-262.7K0.0318.962,85498242,13084,753
2013-08-13$5.62$6.0051.7%19.1%33.3%8.6%72.1%-16.3%62.3%498.3K-24.8M-282.5K0.5917.268,2804,892243,68884,746
2013-08-14$5.78$6.0081.3%19.0%34.7%24.7%64.3%-20.8%62.5%572.9K-30.2M-294.5K0.3058.406,9342,108244,10787,488
2013-08-15$5.82$6.0067.3%19.3%34.3%17.1%69.4%-18.2%62.8%667.8K-29.0M-293.7K0.2411.507,0311,701245,01388,206
2013-08-16$6.00$6.0064.3%18.4%34.6%15.5%68.2%-20.2%70.1%435.5K-35.5M-310.2K0.2918.0528,4378,166246,41488,598
2013-08-19$5.93$6.0056.5%16.2%34.0%11.3%60.5%-5.0%64.3%434.4K-32.3M-295.2K0.4335.4418,9838,247220,79174,844
2013-08-20$5.87$6.0056.5%16.2%33.0%17.9%58.0%-6.0%68.0%411.8K-30.4M-298.7K0.6320.975,9183,735230,78778,944
2013-08-21$5.85$6.0057.0%16.3%33.0%18.4%60.2%-8.1%65.6%458.8K-31.5M-302.9K0.1213.223,796447234,04982,283
2013-08-22$5.97$6.0058.8%16.8%33.1%19.9%60.0%-3.7%65.5%541.2K-32.1M-302.1K0.1363.873,897488236,45682,703
2013-08-23$6.06$6.0056.0%16.0%33.2%17.5%57.6%-0.1%65.4%487.5K-37.1M-308.6K0.079.1311,886822239,05883,011
2013-08-26$6.32$6.0053.2%15.3%35.5%15.1%55.4%-17.3%68.6%650.4K-44.0M-322.2K0.1911.327,9801,550241,72282,830
2013-08-27$6.29$6.0055.4%15.9%35.3%17.0%59.9%-16.8%71.2%681.2K-43.3M-322.8K0.078.2512,875964244,92283,583
2013-08-28$6.24$6.0053.5%15.3%35.3%15.4%55.8%-8.3%68.1%672.3K-41.6M-317.7K0.149.643,208436245,15284,061
2013-08-29$6.38$6.0053.0%15.2%35.7%15.0%54.6%-8.3%72.4%732.4K-44.8M-315.9K0.1311.375,204672243,17984,210
2013-08-30$6.30$6.0045.4%15.4%36.1%8.4%56.9%-12.6%71.0%656.4K-43.0M-311.6K0.6714.012,8651,910245,65484,653