AMRN Options History — September 2013

In September 2013, AMRN traded between $6.31 and $7.24. ATM implied volatility averaged 106.6%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 37.8%. IV traded above realized volatility by 59.4% (HV 20d: 47.1%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2013-09-05: Highest Volume — 98,194 contracts
  • 2013-09-12: Largest IV spike — 133.5% change
  • 2013-09-23: Highest IV Rank — 100.0%
  • 2013-09-23: Largest Expected Move — 44.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.67$6.31$7.24$6.31$6.32
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV106.6%45.5%154.2%45.5%72.7%
Expected Move37.8%15.9%44.2%16.3%42.5%
HV 20d47.1%35.8%52.4%35.8%51.8%
HV 60d46.7%42.4%49.2%42.4%46.7%
IV Rank60.7%8.5%100.0%8.5%31.2%
IV Percentile65.4%2.0%100.0%2.0%56.7%
Term Structure-9.0%-31.4%73.9%73.5%-18.5%
VWIV130.5%55.7%151.1%58.8%149.9%
Skew 25d9.0%-9.9%18.3%-0.9%6.8%
Skew 10d17.3%-21.0%41.3%-6.1%16.0%
Call IV 25d127.4%60.5%148.0%60.5%148.0%
Put IV 25d136.3%56.0%158.6%59.6%154.8%
Bid-Ask Spread %14.837.9537.2137.2113.14
Gamma HHI0.160.130.200.170.14
Net GEX1.1M649.9K1.4M649.9K967.1K
Net DEX-62.7M-86.4M-41.9M-41.9M-48.5M
Net VEX-359.1K-419.1K-306.3K-306.3K-313.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.061.201.200.47
Total Volume18,039.954,36098,1944,36021,196
Total OI403,180.7329,863460,768329,863375,696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$6.31$6.0045.5%16.3%35.8%8.5%58.8%-0.9%73.5%649.9K-41.9M-306.3K1.2037.211,9812,379244,23985,624
2013-09-04$6.67$6.0046.3%15.9%38.0%9.1%55.7%-6.2%72.1%843.4K-51.8M-315.6K0.2816.9510,5452,964245,21087,325
2013-09-05$7.20$6.0061.2%17.8%41.9%22.0%66.3%-9.9%73.9%1.0M-73.5M-350.7K0.0620.9092,2975,897251,84088,764
2013-09-06$7.19$6.0060.4%38.1%42.2%21.3%131.5%11.9%-17.3%1.3M-85.5M-419.1K0.1812.8914,4402,661320,71092,217
2013-09-09$7.24$6.0058.0%38.6%42.3%19.3%133.9%11.1%-18.1%1.4M-86.4M-418.3K0.1512.885,299782324,58992,987
2013-09-10$7.19$6.0049.1%39.8%41.5%11.5%137.8%8.9%-21.8%1.4M-85.1M-409.0K0.3513.467,5682,624326,18393,194
2013-09-11$7.17$6.0059.7%39.3%38.6%20.7%135.9%11.2%-19.4%1.4M-84.2M-411.4K0.949.174,3424,075328,92094,543
2013-09-12$6.60$6.00139.3%39.9%50.7%89.5%139.7%4.3%-19.9%1.1M-63.8M-377.2K0.7614.2622,75217,395331,77494,176
2013-09-13$6.60$6.00138.1%39.6%50.8%88.5%137.5%9.5%-17.2%1.1M-61.9M-374.1K0.2415.328,2121,968342,027106,477
2013-09-16$6.58$6.00144.1%41.3%50.0%93.7%144.4%7.6%-22.9%1.1M-60.9M-368.5K0.2211.854,7481,051343,666103,612
2013-09-17$6.44$6.00148.9%42.7%50.6%97.8%146.0%10.6%-25.7%1.0M-55.8M-358.0K0.277.9512,2543,320346,330103,919
2013-09-18$6.64$6.00148.5%42.6%51.1%97.5%148.2%17.6%-26.9%1.2M-64.0M-369.4K0.5510.676,3203,457354,432105,807
2013-09-19$6.61$6.00143.0%41.0%51.1%92.8%140.7%18.3%-22.3%1.2M-61.5M-357.8K0.1410.578,3551,166350,896104,342
2013-09-20$6.42$6.00149.9%43.0%52.3%98.7%142.1%17.0%-26.2%747.5K-54.2M-345.6K0.3322.1415,6375,097355,807104,961
2013-09-23$6.35$6.00154.2%44.2%52.4%100.0%146.5%14.7%-26.1%958.9K-50.6M-332.0K0.0728.6926,3091,859300,24166,434
2013-09-24$6.40$6.00153.5%44.0%50.3%99.4%146.4%15.4%-31.4%1.1M-51.9M-335.3K0.157.957,3941,142302,98367,749
2013-09-25$6.43$6.00153.5%44.0%50.3%99.5%148.5%13.8%-31.4%1.1M-53.0M-336.0K0.498.463,4991,718303,27468,303
2013-09-26$6.58$6.00149.4%42.8%50.8%96.0%149.7%11.2%-25.8%1.3M-58.5M-341.7K0.549.445,8023,160305,08869,110
2013-09-27$6.55$6.0056.2%43.4%50.3%17.3%151.1%6.5%-28.3%1.0M-61.2M-342.8K0.2412.6415,4503,684309,08271,083
2013-09-30$6.32$6.0072.7%42.5%51.8%31.2%149.9%6.8%-18.5%967.1K-48.5M-313.0K0.4713.1414,4366,760304,78370,913