AMRN Options History — October 2013

In October 2013, AMRN traded between $1.65 and $7.27. ATM implied volatility averaged 128.5%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 39.8%. IV traded below realized volatility by 76.6% (HV 20d: 205.0%). Max pain ranged from $2.00 to $6.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2013-10-17: Highest Volume — 118,977 contracts
  • 2013-10-09: Largest IV spike — 75.1% change
  • 2013-10-09: Highest IV Rank — 100.0%
  • 2013-10-15: Largest Expected Move — 59.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.18$1.65$7.27$6.51$1.65
Max Pain$4.50$2.00$6.00$6.00$2.00
ATM IV128.5%59.4%263.8%59.4%108.4%
Expected Move39.8%28.2%59.1%46.1%39.4%
HV 20d205.0%42.7%350.1%52.8%347.4%
HV 60d127.7%41.5%208.2%46.5%208.2%
IV Rank47.7%20.0%100.0%20.0%31.9%
IV Percentile81.9%31.0%100.0%31.0%80.2%
Term Structure-6.3%-48.4%29.8%-32.8%-11.1%
VWIV138.8%101.4%190.7%162.3%137.5%
Skew 25d-1.3%-30.1%27.8%9.5%-14.0%
Skew 10d-3.2%-55.8%50.0%31.8%-33.9%
Call IV 25d140.6%113.7%183.0%157.9%143.8%
Put IV 25d139.3%96.0%208.9%167.4%129.8%
Bid-Ask Spread %10.363.1029.9611.674.66
Gamma HHI0.200.120.690.150.13
Net GEX391.0K-1.3M1.3M1.0M32.8K
Net DEX-22.3M-85.2M18.8M-52.9M3.3M
Net VEX-180.6K-365.8K-37.4K-322.8K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.051.410.350.30
Total Volume33,917.1363,659118,97713,7938,492
Total OI373,961.636256,036517,695383,601280,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$6.51$6.0059.4%46.1%52.8%20.0%162.3%9.5%-32.8%1.0M-52.9M-322.8K0.3511.6710,2003,593308,71774,884
2013-10-02$6.65$6.0059.7%44.6%49.5%20.2%160.4%16.1%-28.1%1.1M-57.6M-328.7K0.5612.2516,0909,044305,09277,204
2013-10-03$6.89$6.00100.6%50.7%42.7%54.8%180.9%19.3%-48.4%1.3M-68.7M-342.6K1.4111.0912,03016,926313,72480,272
2013-10-04$7.18$6.00108.1%37.0%45.4%61.1%127.4%12.9%-4.0%1.2M-80.5M-365.8K0.2824.9116,5194,566320,59391,176
2013-10-07$7.27$6.00115.5%39.1%45.6%67.3%131.9%12.1%-5.5%1.3M-85.2M-364.9K0.5310.5429,80515,934320,13891,463
2013-10-08$6.69$6.00150.7%39.7%54.4%97.1%136.3%12.1%-8.1%1.1M-63.9M-336.9K0.6412.6410,5906,771337,28597,784
2013-10-09$6.30$6.00263.8%45.4%57.9%100.0%152.6%15.0%-20.4%951.5K-52.6M-315.8K0.4719.5025,52112,091339,606100,823
2013-10-10$6.37$6.00161.3%46.3%50.6%55.1%156.5%17.2%-21.3%1.0M-56.7M-322.6K1.0529.9623,69824,795351,972106,446
2013-10-11$5.09$6.00184.7%53.0%93.8%65.3%179.6%19.6%-21.2%537.3K-13.6M-244.5K0.5423.4476,54441,365360,103123,093
2013-10-14$5.01$6.00200.8%57.6%93.7%72.4%190.7%25.9%-40.4%-1.3M2.3M-196.4K0.3815.0646,86917,631358,155106,832
2013-10-15$5.17$6.00206.3%59.1%95.0%74.8%189.1%27.8%-38.6%-415.5K-3.4M-214.1K0.4013.2666,99027,062371,449116,338
2013-10-17$2.01$6.00126.2%36.2%343.7%39.7%128.9%-30.1%3.8%18.8K18.8M-41.2K0.503.2579,38039,597378,818115,714
2013-10-18$2.03$3.00110.5%31.7%344.0%32.8%114.5%-26.8%19.0%162.2K14.4M-53.5K0.674.2413,8539,285403,480114,215
2013-10-21$2.30$3.00122.1%35.0%350.1%37.9%125.7%-13.2%1.6%57.5K849.6K-66.1K0.143.1727,9413,838208,48347,553
2013-10-22$2.28$3.00108.7%31.1%350.1%32.0%119.7%-17.1%20.7%73.8K-734.3K-71.2K0.153.105,659861221,94449,359
2013-10-23$2.19$3.00114.7%32.9%349.5%34.6%121.3%-28.3%11.7%72.4K445.1K-64.8K0.653.182,2241,435223,02149,871
2013-10-24$2.16$3.00107.5%30.8%349.1%31.5%113.1%-17.1%16.2%68.2K-115.9K-66.3K0.053.774,067223223,62750,129
2013-10-25$2.18$3.0094.8%29.8%348.8%25.9%106.7%-22.1%12.7%67.6K311.6K-63.4K0.154.108,8101,313224,86950,284
2013-10-28$2.15$3.00100.3%29.0%348.6%28.3%101.4%-12.9%18.8%70.3K949.4K-61.0K0.325.283,1551,023225,46949,853
2013-10-29$2.10$2.0092.7%28.2%348.7%25.0%101.4%-4.1%29.8%60.5K1.7M-53.5K0.114.435,537595226,69050,577
2013-10-30$1.81$2.00129.4%33.0%348.7%41.1%115.3%-29.8%7.0%38.8K3.1M-40.5K0.244.4011,5132,742228,58550,838
2013-10-31$1.65$2.00108.4%39.4%347.4%31.9%137.5%-14.0%-11.1%32.8K3.3M-37.4K0.304.666,5321,960228,59552,033