AMRN Options History — March 2014

In March 2014, AMRN traded between $1.73 and $1.88. ATM implied volatility averaged 79.8%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded above realized volatility by 42.5% (HV 20d: 37.3%). 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 15 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2014-03-24: Highest Volume — 3,531 contracts
  • 2014-03-26: Largest IV spike — 54.9% change
  • 2014-03-03: Highest IV Rank — 27.0%
  • 2014-03-21: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.80$1.73$1.88$1.73$1.81
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV79.8%54.6%123.9%123.9%66.8%
Expected Move29.0%21.1%31.8%28.7%29.0%
HV 20d37.3%30.5%49.3%49.3%36.9%
HV 60d87.0%78.0%93.5%93.5%78.2%
IV Rank12.1%3.4%27.0%27.0%7.5%
IV Percentile48.4%11.1%79.4%79.4%35.7%
Term Structure10.4%-54.2%57.7%-18.6%9.7%
VWIV95.5%51.1%106.6%106.6%102.9%
Skew 25d7.2%-7.0%28.7%3.0%28.3%
Skew 10d22.5%-20.4%59.8%56.1%59.8%
Call IV 25d70.1%59.4%86.5%82.1%59.4%
Put IV 25d77.3%62.7%91.4%85.1%87.7%
Bid-Ask Spread %41.7923.7757.9432.0157.94
Gamma HHI0.430.270.590.470.37
Net GEX62.5K35.0K104.8K59.9K51.4K
Net DEX-1.4M-2.1M-713.6K-1.1M-1.7M
Net VEX-29.7K-33.7K-26.2K-29.5K-28.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.021.170.170.07
Total Volume1,202.5243353,5311,036822
Total OI97,728.04873,928107,290103,61978,915

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$1.73$2.00123.9%28.7%49.3%27.0%106.6%3.0%-18.6%59.9K-1.1M-29.5K0.1732.0188714979,37024,249
2014-03-04$1.74$2.00116.9%29.4%49.3%24.7%97.4%20.9%-54.2%59.3K-1.0M-29.4K0.1035.028087779,59624,323
2014-03-05$1.80$2.0079.7%28.3%44.9%12.1%0.0%14.0%-16.6%68.3K-1.3M-30.8K1.1725.4918121280,11524,357
2014-03-06$1.83$2.0081.7%29.3%41.3%12.8%106.3%1.4%-0.6%78.4K-1.9M-32.5K0.1624.591,80628480,15224,415
2014-03-07$1.85$2.0077.7%30.0%35.7%11.4%0.0%5.0%-10.2%85.8K-2.1M-33.0K0.0323.771,4494780,77724,499
2014-03-10$1.82$2.0071.3%29.9%36.2%9.2%101.4%-2.3%4.5%86.2K-1.7M-32.1K0.1327.911,21715679,79424,498
2014-03-11$1.87$2.0076.3%29.7%37.3%10.9%51.1%-4.7%-0.1%92.9K-2.1M-33.6K0.0538.895332680,95624,500
2014-03-12$1.88$2.0072.5%28.5%37.2%9.6%0.0%-0.3%4.4%104.8K-2.1M-33.7K0.1639.3485113481,25624,459
2014-03-13$1.84$2.0071.5%31.2%37.8%9.3%0.0%-5.1%0.4%98.9K-1.9M-32.5K0.0429.741,6076981,91424,409
2014-03-14$1.80$2.0075.1%31.2%38.8%10.5%0.0%13.5%17.8%83.4K-1.5M-30.8K0.0841.003112482,69524,445
2014-03-17$1.77$2.0077.6%29.0%39.3%11.4%0.0%-0.4%20.5%64.6K-1.1M-29.0K0.2042.273817582,64824,414
2014-03-18$1.75$2.0081.2%30.9%35.8%12.6%103.4%14.3%24.8%35.0K-772.8K-28.2K0.4137.2554722382,65924,433
2014-03-19$1.80$2.0074.5%21.1%35.9%10.3%0.0%7.6%7.5%37.9K-756.3K-28.2K0.4154.6447419282,83624,454
2014-03-20$1.77$2.0070.0%28.6%34.0%8.8%92.2%8.8%14.7%37.2K-713.6K-27.6K0.5146.4271236182,13024,451
2014-03-21$1.75$2.0080.1%31.8%31.1%12.2%0.0%6.2%54.0%36.0K-721.6K-27.3K0.5245.8896849982,36124,567
2014-03-24$1.76$2.0054.6%27.5%30.5%3.4%94.4%4.3%3.5%37.2K-1.2M-26.9K0.0250.563,4636855,03618,892
2014-03-25$1.80$2.0070.4%28.0%30.5%8.8%97.8%0.0%28.3%43.5K-1.4M-27.2K0.0455.101,3705258,23318,891
2014-03-26$1.75$2.00109.0%30.3%30.6%21.9%95.6%-7.0%41.4%43.6K-1.2M-26.2K0.0354.067582059,37318,915
2014-03-27$1.85$2.0067.9%28.5%36.5%7.9%96.6%28.7%28.7%52.1K-1.6M-27.9K0.0757.838766359,95818,900
2014-03-28$1.86$2.0078.2%28.7%35.4%11.4%102.9%15.3%57.7%56.9K-1.9M-29.6K0.2657.781,97852360,54818,896
2014-03-31$1.81$2.0066.8%29.0%36.9%7.5%0.0%28.3%9.7%51.4K-1.7M-28.5K0.0757.947675560,02518,890