AMRN Options History — August 2014

In August 2014, AMRN traded between $1.64 and $1.93. ATM implied volatility averaged 135.7%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 32.8%. IV traded above realized volatility by 67.6% (HV 20d: 68.2%). Max pain ranged from $1.50 to $1.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2014-08-18: Highest Volume — 10,904 contracts
  • 2014-08-08: Largest IV spike — 4035.3% change
  • 2014-08-27: Highest IV Rank — 47.4%
  • 2014-08-20: Largest Expected Move — 35.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.78$1.64$1.93$1.65$1.93
Max Pain$1.50$1.50$1.50$1.50$1.50
ATM IV135.7%3.4%164.8%143.6%159.8%
Expected Move32.8%29.2%35.8%32.3%29.2%
HV 20d68.2%47.7%74.6%65.3%47.7%
HV 60d52.0%48.1%54.1%53.4%50.6%
IV Rank37.9%0.0%47.4%33.4%46.6%
IV Percentile80.0%0.0%94.8%88.1%93.3%
Term Structure10.3%-45.1%192.8%-28.9%-37.1%
VWIV108.5%95.5%118.4%103.2%95.5%
Skew 25d-10.6%-61.7%59.9%59.9%16.6%
Skew 10d12.8%-63.2%125.1%37.8%40.0%
Call IV 25d152.5%114.4%180.4%130.8%114.4%
Put IV 25d141.9%100.4%190.7%190.7%131.0%
Bid-Ask Spread %83.9164.24121.1476.48105.84
Gamma HHI0.300.260.350.330.30
Net GEX87.2K62.9K113.8K76.2K110.1K
Net DEX-5.2M-6.9M-3.7M-3.9M-6.6M
Net VEX-30.2K-34.7K-26.2K-27.1K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.012.630.050.04
Total Volume2,970.8164910,9046,1821,278
Total OI115,546.762101,676127,466101,676127,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$1.65$1.50143.6%32.3%65.3%33.4%103.2%59.9%-28.9%76.2K-3.9M-27.1K0.0576.485,90627690,68610,990
2014-08-04$1.72$1.50155.8%31.1%66.5%37.6%0.0%-42.3%15.6%79.8K-4.6M-28.1K0.3664.2493533595,12011,240
2014-08-05$1.66$1.50163.3%30.1%66.4%40.1%116.0%-47.3%-45.1%83.6K-4.0M-27.6K0.2572.471,39735695,36211,560
2014-08-06$1.67$1.50164.8%30.8%66.3%40.6%0.0%-34.9%-15.7%78.7K-4.1M-26.9K0.0368.682,4486796,15611,916
2014-08-07$1.66$1.503.4%32.7%66.3%0.0%0.0%-37.3%192.8%62.9K-4.1M-26.4K0.4071.821,15846197,35211,982
2014-08-08$1.66$1.50141.8%32.8%66.1%41.2%0.0%45.6%-11.2%63.8K-3.7M-26.2K0.0179.953,9775697,64412,441
2014-08-11$1.67$1.50144.8%34.1%66.1%42.1%0.0%58.7%5.8%79.8K-4.2M-26.5K0.2772.432,37864299,46212,397
2014-08-12$1.64$1.50138.7%33.1%65.3%40.3%0.0%1.1%-35.9%74.6K-4.2M-26.8K0.3970.172,340922101,45613,024
2014-08-13$1.65$1.50129.1%33.0%64.4%37.4%118.4%21.5%22.3%77.6K-4.3M-28.6K0.1077.641,665166103,41513,819
2014-08-14$1.84$1.50126.6%34.1%73.9%36.6%0.0%13.8%29.0%74.5K-5.6M-31.6K0.0768.863,087211103,22513,866
2014-08-15$1.82$1.50132.1%34.9%74.2%38.3%0.0%-6.1%19.5%80.0K-5.8M-32.8K0.24121.141,549376104,99514,047
2014-08-18$1.86$1.50145.4%32.8%74.4%42.3%0.0%-45.3%31.2%84.7K-5.8M-31.2K0.0672.1510,30559994,37813,538
2014-08-19$1.85$1.50137.9%32.4%73.8%40.0%113.1%-61.7%50.9%91.0K-6.3M-33.8K0.1681.712,492407101,81913,921
2014-08-20$1.82$1.50142.4%35.8%74.2%41.4%0.0%-32.7%-1.5%92.3K-6.1M-33.0K0.3781.831,683619103,72114,298
2014-08-21$1.79$1.50120.7%33.7%74.6%34.9%0.0%-37.2%20.0%96.7K-5.2M-28.3K0.01106.906445104,78914,877
2014-08-22$1.83$1.50130.4%32.8%72.1%37.8%0.0%-26.9%31.2%98.9K-5.5M-31.4K0.1186.491,209130105,10114,877
2014-08-25$1.84$1.50124.2%34.6%71.9%36.0%104.0%-24.1%13.0%104.3K-6.0M-31.5K2.63113.641,1633,064104,83514,993
2014-08-26$1.90$1.50153.1%31.0%72.2%44.5%0.0%-37.7%2.4%103.5K-6.6M-34.7K0.31105.613,4471,084105,65217,615
2014-08-27$1.93$1.50162.8%32.1%72.3%47.4%0.0%-24.0%-19.5%113.8K-6.9M-34.5K0.2770.631,761478107,50718,352
2014-08-28$1.92$1.50129.7%34.5%58.4%37.6%109.0%18.6%-22.9%103.5K-6.7M-34.1K0.1493.311,155156108,07518,513
2014-08-29$1.93$1.50159.8%29.2%47.7%46.6%95.5%16.6%-37.1%110.1K-6.6M-33.9K0.04105.841,22652108,79718,669