AMRN Options History — June 2014

In June 2014, AMRN traded between $1.36 and $1.76. ATM implied volatility averaged 85.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 27.5%. IV traded above realized volatility by 40.6% (HV 20d: 44.4%). 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 8 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2014-06-19: Highest Volume — 3,518 contracts
  • 2014-06-26: Largest IV spike — 41.5% change
  • 2014-06-26: Highest IV Rank — 31.1%
  • 2014-06-02: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.55$1.36$1.76$1.36$1.76
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV85.0%56.0%136.3%81.4%126.3%
Expected Move27.5%21.7%29.9%29.9%21.7%
HV 20d44.4%31.9%57.1%54.5%31.9%
HV 60d48.6%47.3%49.3%48.2%47.9%
IV Rank13.7%3.9%31.1%12.5%27.7%
IV Percentile44.3%8.7%86.1%45.2%80.2%
Term Structure0.9%-87.6%83.6%-10.1%-5.5%
VWIV96.4%80.2%159.0%103.9%80.2%
Skew 25d7.3%-37.9%56.2%-0.7%-35.9%
Skew 10d16.0%-65.8%89.9%9.8%-65.8%
Call IV 25d67.0%47.5%85.5%69.6%85.5%
Put IV 25d74.3%40.2%125.4%68.8%49.6%
Bid-Ask Spread %70.6955.4385.9974.5970.54
Gamma HHI0.250.230.280.250.26
Net GEX37.6K21.3K59.9K21.3K59.9K
Net DEX-1.2M-2.4M-38.2K-198.1K-2.4M
Net VEX-19.2K-22.3K-14.8K-16.1K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.012.680.700.03
Total Volume1,102.812043,5189231,932
Total OI87,900.85774,75194,34387,80879,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$1.36$2.0081.4%29.9%54.5%12.5%103.9%-0.7%-10.1%21.3K-198.1K-16.1K0.7074.5954338069,74818,060
2014-06-03$1.37$2.0081.5%27.8%54.1%12.5%80.4%-11.8%-7.6%22.8K-38.2K-14.8K0.0880.482,58220070,28618,069
2014-06-04$1.43$2.0072.4%27.1%57.1%9.4%91.9%-16.2%2.7%26.8K-381.2K-17.2K0.4557.4736816672,74218,169
2014-06-05$1.44$2.0070.9%26.8%55.7%8.9%96.1%55.6%-1.0%28.2K-371.2K-17.2K0.2570.462355872,87818,172
2014-06-06$1.46$2.0073.0%27.0%56.0%9.6%94.6%4.4%-1.8%29.8K-664.8K-18.8K0.4472.1240717973,02218,176
2014-06-09$1.50$2.0093.7%27.2%55.8%16.7%94.1%56.2%-31.3%28.5K-506.4K-17.1K0.0575.914082073,32818,283
2014-06-10$1.50$2.0082.0%27.4%55.6%12.7%92.2%28.7%-26.3%32.8K-796.7K-18.8K0.0368.735701573,44918,273
2014-06-11$1.54$2.0076.1%28.4%56.4%10.7%159.0%46.0%-21.6%34.7K-926.9K-19.3K0.1762.802333973,64218,288
2014-06-12$1.53$2.0076.6%28.7%56.2%10.9%100.6%19.1%-2.8%34.0K-1.3M-20.7K0.0371.832,3586273,73318,271
2014-06-13$1.54$2.0080.4%27.7%40.6%12.1%0.0%12.2%11.0%36.8K-1.2M-20.2K1.0474.5510010475,75818,308
2014-06-16$1.54$2.0062.2%29.6%40.6%6.0%83.8%24.4%64.1%34.9K-1.1M-19.1K0.1183.412182475,83818,312
2014-06-17$1.52$2.0056.0%28.2%35.1%3.9%109.2%4.4%51.8%36.2K-1.1M-19.0K2.6885.999826375,89218,311
2014-06-18$1.55$2.0062.7%27.3%35.2%6.2%0.0%-5.8%15.6%38.0K-1.2M-20.0K0.1480.103785275,97318,370
2014-06-19$1.60$2.0074.1%28.0%34.9%10.0%94.1%6.7%31.6%39.0K-1.5M-20.9K0.0570.753,34117775,50518,139
2014-06-20$1.60$2.0084.3%27.3%34.3%13.5%91.2%29.8%83.6%44.1K-1.8M-21.7K0.2662.4087922775,64518,237
2014-06-23$1.56$2.0090.1%28.5%36.1%15.4%0.0%5.0%-19.0%42.1K-1.3M-17.7K0.1055.431,06211164,50910,242
2014-06-24$1.62$2.0077.4%26.4%36.2%11.1%87.7%3.0%18.4%44.9K-1.5M-18.9K0.0957.951,91118065,45410,304
2014-06-25$1.69$2.0096.3%26.0%36.3%17.5%82.0%-9.0%-23.1%49.7K-2.0M-20.9K0.0164.852,1622166,90110,412
2014-06-26$1.67$2.00136.3%29.5%35.5%31.1%96.2%-37.9%-23.0%51.5K-2.2M-21.8K0.0474.934732068,42610,432
2014-06-27$1.69$2.00130.7%26.8%34.5%29.2%98.1%-24.7%-87.6%54.4K-2.1M-21.7K0.0369.255881568,76110,442
2014-06-30$1.76$2.00126.3%21.7%31.9%27.7%80.2%-35.9%-5.5%59.9K-2.4M-22.3K0.0370.541,8686468,71610,442