AMRN Options History — December 2013

In December 2013, AMRN traded between $1.59 and $2.00. ATM implied volatility averaged 119.7%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 31.6%. IV traded above realized volatility by 15.9% (HV 20d: 103.8%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2013-12-20: Highest Volume — 32,716 contracts
  • 2013-12-27: Largest IV drop — 32.4% change
  • 2013-12-19: Highest IV Rank — 51.2%
  • 2013-12-18: Largest Expected Move — 37.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.80$1.59$2.00$1.84$1.97
Max Pain$2.62$2.00$3.00$3.00$2.00
ATM IV119.7%87.9%152.5%98.8%102.9%
Expected Move31.6%23.8%37.9%31.8%32.7%
HV 20d103.8%74.0%116.4%115.4%100.0%
HV 60d218.2%215.7%222.4%215.7%222.2%
IV Rank36.8%22.9%51.2%27.6%29.4%
IV Percentile84.5%71.0%96.8%74.2%75.8%
Term Structure-8.9%-30.9%2.5%-1.4%-30.9%
VWIV106.6%92.6%129.0%105.4%99.6%
Skew 25d-19.6%-57.4%19.6%6.0%-34.7%
Skew 10d-38.4%-95.4%22.8%-0.5%-50.5%
Call IV 25d157.4%136.2%215.6%145.1%215.6%
Put IV 25d137.8%101.6%180.8%151.1%180.8%
Bid-Ask Spread %33.5520.2648.0920.2622.68
Gamma HHI0.420.310.890.380.33
Net GEX88.0K52.1K599.6K62.6K83.0K
Net DEX1.6M-848.5K3.3M2.0M-848.5K
Net VEX-32.6K-38.8K-25.0K-34.5K-37.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.050.810.080.16
Total Volume5,318.71457432,7162,7338,559
Total OI260,518.476223,762278,687266,887238,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$1.84$3.0098.8%31.8%115.4%27.6%105.4%6.0%-1.4%62.6K2.0M-34.5K0.0820.262,533200220,53646,351
2013-12-03$1.95$3.00120.4%33.1%116.4%37.1%110.3%13.5%-0.9%74.2K1.2M-38.8K0.0723.593,018212222,18346,360
2013-12-04$1.94$2.00111.9%35.5%108.6%33.4%127.5%15.5%-11.3%74.2K1.2M-38.1K0.2143.582,891620222,71146,381
2013-12-05$1.81$2.0099.6%36.1%111.3%28.0%104.2%19.6%-18.4%60.0K1.9M-34.5K0.3137.711,957611222,04946,411
2013-12-06$1.77$3.0087.9%33.8%112.0%22.9%104.3%-35.7%0.1%59.0K2.1M-33.3K0.0534.512,628123223,24546,762
2013-12-09$1.73$3.0094.9%32.4%106.6%26.0%0.0%-34.3%-1.6%60.0K2.4M-30.5K0.4627.281,390634223,69846,333
2013-12-10$1.77$3.00111.5%29.2%106.5%33.2%101.4%-36.5%2.5%63.6K2.4M-31.0K0.8131.181,3771,110224,48746,288
2013-12-11$1.70$3.00125.4%23.8%107.8%39.3%0.0%-4.6%-0.1%61.7K2.6M-29.6K0.0648.0954133225,49147,075
2013-12-12$1.67$3.00125.0%30.9%108.0%39.1%106.6%-0.1%-5.9%55.3K2.6M-28.6K0.2031.231,938394225,54846,588
2013-12-13$1.73$3.00124.2%31.5%108.5%38.8%0.0%-38.2%-4.5%61.5K2.5M-30.0K0.2033.481,862369226,68946,687
2013-12-16$1.65$3.00132.5%28.3%110.1%42.4%105.0%-39.6%-10.2%55.7K2.7M-27.9K0.0641.184,186265226,87246,638
2013-12-17$1.61$3.00134.7%28.5%110.4%43.4%92.6%-4.9%-12.5%55.7K2.8M-26.6K0.1538.00982143228,37746,693
2013-12-18$1.60$3.00138.2%37.9%74.0%44.9%103.5%16.9%-16.5%52.1K3.3M-25.0K0.1841.502,837502228,87846,786
2013-12-19$1.59$3.00152.5%28.7%74.0%51.2%0.0%-7.4%-24.5%56.7K2.7M-26.5K0.1237.515,019608229,48546,508
2013-12-20$2.00$3.00150.3%35.0%110.9%50.2%129.0%-15.5%-12.7%599.6K416.2K-37.2K0.0942.8829,9932,723231,96846,719
2013-12-23$1.92$2.00136.4%31.6%102.4%44.1%99.7%-43.3%-3.0%58.9K441.7K-35.8K0.1123.2711,0201,202187,00236,760
2013-12-24$1.90$2.00131.4%28.6%99.8%42.0%0.0%-45.0%-1.3%71.7K188.4K-35.9K0.1138.851,668185193,59237,171
2013-12-26$1.87$2.00138.6%31.7%99.7%45.1%99.6%-44.3%-6.0%57.9K429.1K-34.3K0.0724.823,562266194,48537,279
2013-12-27$1.82$2.0093.6%32.0%97.4%25.4%115.6%-41.8%-5.5%57.1K450.3K-33.7K0.3029.121,880566196,18337,435
2013-12-30$1.94$2.00103.5%30.1%99.9%29.7%101.3%-57.4%-23.1%67.7K-84.4K-36.1K0.1033.8510,0331,053194,52137,379
2013-12-31$1.97$2.00102.9%32.7%100.0%29.4%99.6%-34.7%-30.9%83.0K-848.5K-37.3K0.1622.687,3491,210200,66737,617