AMRN Options History — April 2014

In April 2014, AMRN traded between $1.53 and $1.92. ATM implied volatility averaged 86.0%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 28.6%. IV traded above realized volatility by 38.6% (HV 20d: 47.4%). 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 10 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-04-01: Highest Volume — 6,276 contracts
  • 2014-04-03: Largest IV spike — 34.0% change
  • 2014-04-04: Highest IV Rank — 23.0%
  • 2014-04-14: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.69$1.53$1.92$1.92$1.62
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV86.0%67.1%112.3%80.5%75.0%
Expected Move28.6%27.1%30.7%28.8%27.4%
HV 20d47.4%41.5%53.2%42.0%45.3%
HV 60d62.1%45.2%79.5%79.1%45.7%
IV Rank14.0%7.6%23.0%12.2%10.3%
IV Percentile52.2%35.3%75.0%51.2%39.3%
Term Structure1.5%-46.0%51.1%-22.2%41.6%
VWIV100.9%86.9%122.9%100.1%87.0%
Skew 25d20.9%-21.0%58.6%-21.0%14.0%
Skew 10d45.3%-36.4%88.5%-36.4%41.3%
Call IV 25d68.0%41.1%108.5%71.2%56.3%
Put IV 25d88.9%50.1%111.1%50.1%70.3%
Bid-Ask Spread %63.4446.1876.3063.5665.38
Gamma HHI0.310.210.440.440.34
Net GEX35.3K9.7K66.7K66.7K34.2K
Net DEX-987.3K-2.1M-252.5K-2.1M-810.5K
Net VEX-23.8K-28.0K-20.6K-28.0K-21.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.003.380.010.20
Total Volume1,097.7621096,2766,276127
Total OI80,088.14376,77181,20081,08080,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$1.92$2.0080.5%28.8%42.0%12.2%100.1%-21.0%-22.2%66.7K-2.1M-28.0K0.0163.566,2453161,65119,429
2014-04-02$1.88$2.0067.1%28.7%41.5%7.6%96.6%5.9%11.0%56.1K-1.8M-27.7K0.0668.963502160,21219,445
2014-04-03$1.84$2.0090.0%27.7%42.0%15.4%97.8%15.0%-1.3%52.3K-1.6M-27.7K0.2446.1846411360,22919,454
2014-04-04$1.77$2.00112.3%29.9%44.0%23.0%0.0%27.7%-1.4%56.8K-1.5M-26.4K0.3864.3586632560,59619,513
2014-04-07$1.81$2.0075.9%28.6%44.5%10.6%0.0%-0.6%-2.4%43.9K-1.4M-26.7K0.0358.71273860,56719,763
2014-04-08$1.76$2.0090.7%29.6%44.3%15.7%0.0%58.6%-26.4%42.8K-1.2M-26.1K3.3860.6014448660,81519,767
2014-04-09$1.76$2.00110.1%29.7%44.2%22.2%0.0%11.1%-29.0%41.3K-1.1M-25.4K0.2860.141915360,80619,974
2014-04-10$1.75$2.00104.6%29.1%43.7%20.4%0.0%-5.4%-46.0%40.7K-1.1M-25.6K0.1162.592983260,73519,992
2014-04-11$1.69$2.00100.5%28.3%44.7%19.0%122.9%13.5%24.0%30.4K-889.0K-24.1K0.0252.98302560,72220,002
2014-04-14$1.61$2.0088.1%30.7%47.3%14.8%105.0%15.3%23.2%17.9K-419.1K-21.5K0.7353.6332223560,75620,002
2014-04-15$1.53$2.0090.2%29.5%50.0%15.5%107.9%55.8%-4.2%9.7K-252.5K-20.6K0.1660.4271711460,87120,215
2014-04-16$1.60$2.0082.8%27.3%51.9%12.9%107.9%13.0%-18.9%12.2K-348.2K-20.9K0.1870.724307660,71320,174
2014-04-17$1.58$2.0073.7%29.7%51.8%9.9%0.0%7.1%11.7%10.3K-297.8K-20.6K0.0068.145,869060,97520,225
2014-04-21$1.58$2.0076.3%28.7%51.8%10.8%0.0%36.6%0.8%26.5K-668.1K-21.8K0.0267.111,2592459,73917,032
2014-04-22$1.63$2.0068.3%28.0%53.2%8.0%102.7%26.9%51.1%30.7K-811.9K-22.6K0.0361.531,9206160,82617,050
2014-04-23$1.62$2.0079.4%27.4%52.3%11.8%94.9%35.4%5.4%32.7K-800.8K-22.1K1.7364.53406962,51717,036
2014-04-24$1.65$2.0074.5%28.8%52.2%10.1%0.0%43.5%16.8%34.1K-928.8K-23.0K0.0276.30242462,54217,081
2014-04-25$1.59$2.0080.2%28.1%48.7%12.1%86.9%31.3%13.3%31.8K-864.8K-22.4K0.0066.91164062,69517,081
2014-04-28$1.63$2.0089.9%27.1%49.9%15.4%87.0%30.9%-4.7%33.3K-866.7K-22.4K0.0770.157625762,72817,077
2014-04-29$1.67$2.0095.8%27.1%50.4%17.4%0.0%23.9%-10.7%37.0K-882.9K-22.3K0.0169.40349563,22717,058
2014-04-30$1.62$2.0075.0%27.4%45.3%10.3%0.0%14.0%41.6%34.2K-810.5K-21.9K0.2065.381062163,50617,053