AMRN Options History — January 2014

In January 2014, AMRN traded between $1.64 and $2.40. ATM implied volatility averaged 149.1%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 30.6%. IV traded above realized volatility by 39.3% (HV 20d: 109.8%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2014-01-15: Highest Volume — 45,073 contracts
  • 2014-01-08: Largest IV spike — 83.6% change
  • 2014-01-13: Highest IV Rank — 100.0%
  • 2014-01-27: Largest Expected Move — 38.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.96$1.64$2.40$1.96$1.83
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV149.1%78.1%339.4%155.5%78.1%
Expected Move30.6%11.8%38.5%29.6%29.2%
HV 20d109.8%93.2%148.6%97.9%123.0%
HV 60d152.2%99.9%221.9%221.9%111.4%
IV Rank41.1%11.8%100.0%52.5%11.8%
IV Percentile82.4%54.0%100.0%98.0%54.0%
Term Structure-8.9%-57.8%18.5%-40.1%9.4%
VWIV103.2%22.5%121.6%94.3%97.8%
Skew 25d-26.2%-73.2%23.9%-73.2%-10.4%
Skew 10d-53.0%-126.1%41.4%-126.1%-6.9%
Call IV 25d156.1%80.8%248.2%231.7%83.6%
Put IV 25d129.9%73.2%200.0%158.5%73.2%
Bid-Ask Spread %35.8318.6559.9826.1332.61
Gamma HHI0.300.200.680.350.35
Net GEX67.9K26.3K172.4K89.9K53.7K
Net DEX-2.1M-4.7M-381.7K-938.4K-1.5M
Net VEX-36.4K-45.8K-26.3K-37.9K-33.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.072.290.090.22
Total Volume10,912.6671,79045,0733,8694,290
Total OI194,753.8192,871292,023241,466117,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$1.96$2.00155.5%29.6%97.9%52.5%94.3%-73.2%-40.1%89.9K-938.4K-37.9K0.0926.133,545324203,38138,085
2014-01-03$1.99$2.00138.4%31.8%98.0%45.0%0.0%-48.2%-48.3%95.9K-2.5M-44.5K0.1522.575,954864205,16538,344
2014-01-06$2.02$2.00129.7%33.1%94.4%39.3%0.0%-31.4%-10.3%90.2K-1.9M-40.4K0.3918.654,5161,760205,98638,942
2014-01-07$2.00$2.00113.6%35.2%94.1%32.0%118.5%-33.1%-13.3%87.9K-1.7M-39.7K0.3927.395,5522,169207,81140,492
2014-01-08$2.04$2.00208.5%32.9%93.5%74.9%116.8%-33.4%-12.3%95.3K-2.1M-40.8K0.1729.603,072529210,13442,499
2014-01-09$2.14$2.00236.3%34.4%94.5%87.5%109.6%-38.7%-7.8%102.0K-3.3M-44.0K0.2732.7115,1884,049211,62642,876
2014-01-10$2.23$2.00247.0%30.5%93.2%92.4%104.8%-34.5%-11.6%101.5K-4.0M-45.8K0.6725.245,9383,951214,65545,217
2014-01-13$2.16$2.00339.4%34.0%93.9%100.0%104.2%-40.6%-16.4%34.9K-3.4M-38.1K0.1628.6213,4902,094214,78644,473
2014-01-14$2.07$2.00194.6%24.9%95.5%51.1%106.3%-40.4%-23.7%172.4K-2.6M-37.1K0.4233.8314,2175,988220,64545,825
2014-01-15$2.40$2.00186.3%11.8%104.9%48.3%93.6%-41.2%-18.3%41.4K-4.7M-42.8K0.3057.8434,67410,399221,70750,412
2014-01-16$2.26$2.00166.8%31.5%107.6%41.8%121.5%-38.4%-9.3%116.9K-3.8M-42.8K0.2954.6717,3285,015235,64056,383
2014-01-17$2.27$2.00149.9%30.4%107.4%36.1%121.4%-40.7%1.6%52.2K-3.9M-41.5K0.4225.8811,3834,820237,08954,199
2014-01-21$1.73$2.00102.2%29.5%148.6%20.0%105.7%-5.2%0.2%27.6K-664.4K-27.8K0.2431.3413,4383,25772,00220,869
2014-01-22$1.69$2.0090.1%30.9%122.6%15.9%101.2%-14.7%17.0%28.5K-667.5K-27.5K0.0837.802,34819577,20723,099
2014-01-23$1.64$2.0091.8%32.2%122.3%16.5%22.5%-5.9%18.5%26.3K-381.7K-26.3K0.0947.294,84541577,41123,208
2014-01-24$1.71$2.0094.0%30.8%123.5%17.2%104.6%-12.0%17.4%34.3K-1.0M-30.3K0.1637.726,6331,07480,52823,346
2014-01-27$1.70$2.0091.7%38.5%123.5%16.4%102.6%-0.6%8.4%39.6K-1.1M-29.6K2.2959.981,4873,39883,10323,862
2014-01-28$1.76$2.00100.8%30.4%123.9%19.5%121.6%-12.1%-4.6%42.1K-1.1M-31.0K0.3034.874,5161,36183,83126,969
2014-01-29$1.72$2.00129.7%31.9%121.6%29.3%103.3%-19.8%-57.8%43.7K-1.1M-30.6K0.0755.851,67012087,39327,404
2014-01-30$1.80$2.0086.7%29.4%122.8%14.7%111.3%23.9%14.6%49.6K-1.4M-32.3K0.1131.902,96833288,54527,477
2014-01-31$1.83$2.0078.1%29.2%123.0%11.8%97.8%-10.4%9.4%53.7K-1.5M-33.5K0.2232.613,51177989,72027,484