AMRN Options History — May 2014

In May 2014, AMRN traded between $1.28 and $1.71. ATM implied volatility averaged 85.6%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 34.6% (HV 20d: 51.0%). 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 11 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-05-13: Highest Volume — 4,072 contracts
  • 2014-05-27: Largest IV spike — 38.7% change
  • 2014-05-08: Highest IV Rank — 28.2%
  • 2014-05-08: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.47$1.28$1.71$1.68$1.41
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV85.6%54.0%127.8%94.3%82.4%
Expected Move27.6%25.9%30.6%26.7%28.6%
HV 20d51.0%42.2%57.3%47.7%54.6%
HV 60d45.2%42.2%48.6%44.3%48.0%
IV Rank13.9%3.2%28.2%16.8%12.8%
IV Percentile47.7%8.7%81.7%60.3%46.4%
Term Structure7.3%-19.3%47.3%-3.7%-11.4%
VWIV92.8%77.8%107.1%84.0%92.9%
Skew 25d24.1%-16.1%68.3%-5.9%56.8%
Skew 10d24.5%-57.0%113.8%-57.0%97.4%
Call IV 25d74.9%47.9%103.4%79.1%74.6%
Put IV 25d99.0%51.9%136.2%73.3%131.4%
Bid-Ask Spread %78.1758.1794.1268.0961.19
Gamma HHI0.290.220.360.340.28
Net GEX27.5K16.5K40.5K36.1K24.3K
Net DEX-372.6K-1.2M292.5K-897.2K-337.0K
Net VEX-18.1K-24.1K-13.2K-22.2K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.014.630.050.40
Total Volume948.4763184,072414429
Total OI84,803.04880,63788,54580,63787,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$1.68$2.0094.3%26.7%47.7%16.8%0.0%-5.9%-3.7%36.1K-897.2K-22.2K0.0568.093932163,56917,068
2014-05-02$1.71$2.00125.8%27.2%48.0%27.5%0.0%25.0%47.3%40.5K-1.2M-24.1K0.0358.174181263,90017,078
2014-05-05$1.65$2.0086.5%28.4%47.7%14.2%0.0%12.4%42.0%38.5K-1.1M-22.5K1.3963.9419627364,25017,090
2014-05-06$1.65$2.0096.5%28.4%46.7%17.6%0.0%4.0%24.5%36.5K-766.1K-21.4K0.0579.583021664,39817,200
2014-05-07$1.58$2.00103.3%26.7%48.1%19.9%0.0%8.3%-1.7%32.5K-607.9K-20.1K0.1174.793183564,36217,198
2014-05-08$1.56$2.00127.8%30.6%48.1%28.2%84.0%41.5%-19.3%31.1K-564.2K-20.0K0.0194.12780564,67517,199
2014-05-09$1.51$2.0088.3%28.8%49.0%14.8%97.2%57.8%1.4%27.1K-550.8K-20.4K0.1180.881,64718265,06717,198
2014-05-12$1.49$2.0075.3%28.6%48.0%10.4%0.0%16.5%-3.8%27.7K-152.5K-17.3K0.0676.291,4919666,10217,309
2014-05-13$1.50$2.0077.3%27.0%45.5%11.1%96.6%60.6%-2.8%28.2K-303.2K-18.6K0.0173.234,0502266,65617,403
2014-05-14$1.52$2.0075.8%26.6%42.2%10.6%91.7%68.3%-13.1%36.9K-773.9K-20.7K0.3182.9639612470,88317,425
2014-05-15$1.37$2.0083.8%26.6%52.8%13.3%107.1%29.5%-4.7%24.5K-108.8K-16.0K1.4687.1426138070,76717,366
2014-05-16$1.37$2.0071.1%27.0%52.8%9.0%0.0%22.1%-14.9%21.8K-153.7K-16.4K2.9486.3417651871,01017,535
2014-05-19$1.30$2.0061.6%29.1%55.1%5.8%96.8%5.0%30.5%20.0K-29.8K-15.8K0.1378.481,26317067,88717,898
2014-05-20$1.30$2.0054.0%28.4%53.1%3.2%89.1%1.9%27.4%19.0K15.7K-15.4K3.0283.2217151768,07917,958
2014-05-21$1.28$2.0065.0%26.4%53.1%6.9%79.5%-16.1%29.5%16.5K292.5K-13.2K0.9286.4546142268,14317,948
2014-05-22$1.32$2.0072.6%26.2%54.2%9.5%106.5%-1.8%14.1%16.8K154.9K-14.4K0.0191.26568568,48817,896
2014-05-23$1.35$2.0073.4%27.1%54.6%9.8%0.0%55.3%8.6%22.2K61.4K-15.3K4.6386.912191,01568,68117,921
2014-05-27$1.40$2.00101.8%25.9%55.6%19.4%86.1%49.7%0.2%24.7K-177.6K-16.0K0.1377.415046468,47417,780
2014-05-28$1.46$2.0084.2%27.4%57.3%13.4%77.8%21.9%15.4%27.3K-304.7K-16.8K0.7672.2481361768,63917,840
2014-05-29$1.43$2.0096.5%28.2%56.9%17.6%101.4%-7.4%-12.1%24.7K-234.3K-16.5K0.1078.975185069,02617,970
2014-05-30$1.41$2.0082.4%28.6%54.6%12.8%92.9%56.8%-11.4%24.3K-337.0K-16.7K0.4061.1930612369,50818,020