AMRN Options History — November 2013

In November 2013, AMRN traded between $1.40 and $1.99. ATM implied volatility averaged 119.4%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 33.0%. IV traded below realized volatility by 98.3% (HV 20d: 217.7%). Max pain ranged from $2.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-11-19: Highest Volume — 17,373 contracts
  • 2013-11-07: Largest IV spike — 70.2% change
  • 2013-11-04: Highest IV Rank — 50.3%
  • 2013-11-07: Largest Expected Move — 42.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.66$1.40$1.99$1.64$1.82
Max Pain$3.06$2.00$4.00$2.00$3.00
ATM IV119.4%84.3%150.5%100.4%84.3%
Expected Move33.0%3.7%42.6%37.3%35.1%
HV 20d217.7%81.3%349.2%346.0%115.4%
HV 60d211.8%208.1%217.1%208.2%216.6%
IV Rank36.7%21.3%50.3%28.4%21.3%
IV Percentile84.8%69.0%96.0%76.6%69.0%
Term Structure4.4%-6.0%16.5%-3.0%4.2%
VWIV121.2%102.5%145.1%130.4%102.5%
Skew 25d-7.8%-29.8%8.6%-29.8%7.7%
Skew 10d-27.7%-64.1%9.4%-64.1%2.4%
Call IV 25d144.4%128.8%162.3%134.9%132.4%
Put IV 25d136.6%105.1%151.6%105.1%140.0%
Bid-Ask Spread %34.323.09119.974.1226.48
Gamma HHI0.190.120.370.130.37
Net GEX43.2K27.9K81.9K30.8K59.1K
Net DEX2.4M-527.3K3.9M3.5M2.1M
Net VEX-36.3K-50.7K-30.3K-36.1K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.065.970.250.15
Total Volume5,299.31,86817,3732,9052,019
Total OI275,601.1247,958290,168282,594266,896

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$1.64$2.00100.4%37.3%346.0%28.4%130.4%-29.8%-3.0%30.8K3.5M-36.1K0.254.122,329576229,55953,035
2013-11-04$1.61$4.00150.5%37.2%344.1%50.3%130.7%-10.6%5.1%30.4K3.5M-34.2K0.093.092,661238229,75453,072
2013-11-05$1.45$4.00107.2%38.7%342.6%31.3%145.1%-25.5%12.9%30.1K3.2M-34.0K0.414.426,3662,630230,50853,130
2013-11-06$1.40$4.0086.7%40.8%343.0%22.3%142.2%-11.8%-2.9%30.0K3.1M-33.6K0.603.721,579952233,14253,898
2013-11-07$1.41$4.00147.5%42.6%344.3%49.0%144.2%-13.2%-6.0%27.9K3.2M-31.7K0.303.573,5961,082233,11154,408
2013-11-08$1.57$4.00108.0%38.3%349.2%31.7%137.9%-7.1%5.1%32.1K3.3M-33.6K0.314.465,9321,828235,10954,708
2013-11-11$1.55$0.00130.0%35.9%344.8%41.3%0.0%-10.1%5.4%32.2K3.3M-35.7K0.0699.982,398140234,00755,522
2013-11-12$1.54$0.00101.3%3.7%345.0%28.8%129.6%-6.7%5.3%32.2K3.6M-33.5K0.11119.971,964225234,64055,509
2013-11-13$1.54$3.00100.6%28.8%344.1%28.4%125.2%-6.2%7.5%30.6K3.9M-31.5K1.2363.042,1542,660234,60755,561
2013-11-14$1.53$3.00143.8%42.5%96.2%47.4%136.5%-1.7%-0.5%28.0K3.8M-31.1K5.9750.591,0796,441232,22155,958
2013-11-15$1.55$2.00129.7%40.7%96.3%41.2%0.0%-16.6%12.9%30.6K3.4M-32.2K0.2835.425,6511,601232,50954,105
2013-11-18$1.53$2.00124.5%34.1%81.3%38.9%115.1%-4.3%16.5%29.8K2.4M-30.3K0.1021.677,684741203,14244,816
2013-11-19$1.91$2.00135.3%28.8%118.4%43.6%110.2%-17.3%3.1%53.3K629.8K-45.7K0.1522.5115,0992,274208,35244,823
2013-11-20$1.89$3.00134.2%20.4%117.8%43.2%105.5%-12.8%6.6%68.7K-151.4K-47.7K0.0644.287,549424216,16945,305
2013-11-21$1.99$3.00130.1%33.2%119.6%41.4%104.7%-5.3%2.9%81.9K-527.3K-50.7K0.3519.922,487873219,43845,368
2013-11-22$1.76$3.00127.0%36.3%126.6%40.0%108.3%-4.1%3.4%53.3K1.6M-37.1K0.1327.595,201697218,76446,048
2013-11-25$1.88$3.00119.3%31.8%129.5%36.6%107.8%5.1%2.0%61.3K1.3M-39.3K0.2633.622,142554217,95945,984
2013-11-26$1.92$3.00116.2%20.2%129.7%35.3%102.7%8.6%1.3%64.6K1.6M-37.9K0.1371.182,027265218,44146,380
2013-11-27$1.80$3.00112.3%33.4%120.4%33.5%102.7%5.8%6.9%57.2K2.1M-34.8K0.1126.731,682186219,62446,440
2013-11-29$1.82$3.0084.3%35.1%115.4%21.3%102.5%7.7%4.2%59.1K2.1M-34.7K0.1526.481,759260220,45046,446