AMRN Options History — September 2014

In September 2014, AMRN traded between $1.09 and $2.05. ATM implied volatility averaged 120.0%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 27.3%. IV traded above realized volatility by 48.0% (HV 20d: 72.0%). 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 13 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2014-09-12: Highest Volume — 11,908 contracts
  • 2014-09-23: Largest IV spike — 168.6% change
  • 2014-09-04: Highest IV Rank — 47.1%
  • 2014-09-10: Largest Expected Move — 34.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.51$1.09$2.05$1.93$1.09
Max Pain$1.50$1.50$1.50$1.50$1.50
ATM IV120.0%53.4%161.7%149.9%123.2%
Expected Move27.3%20.6%34.7%31.5%25.5%
HV 20d72.0%45.6%87.4%46.0%84.5%
HV 60d63.4%50.6%71.1%50.6%70.7%
IV Rank34.7%14.9%47.1%43.6%35.6%
IV Percentile59.9%0.4%93.7%88.1%66.7%
Term Structure6.1%-52.2%48.4%-3.7%16.9%
VWIV102.8%76.1%123.8%107.2%90.4%
Skew 25d-14.9%-52.9%35.2%35.2%-38.8%
Skew 10d-13.5%-73.0%40.5%31.0%-25.6%
Call IV 25d108.5%44.3%176.2%124.1%86.3%
Put IV 25d93.6%47.5%159.2%159.2%47.5%
Bid-Ask Spread %86.3549.43120.3475.4464.99
Gamma HHI0.310.250.410.310.25
Net GEX53.5K6.8K131.3K116.7K6.9K
Net DEX-2.2M-7.8M1.3M-6.5M248.5K
Net VEX-18.7K-33.3K-7.2K-33.0K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.013.430.500.40
Total Volume2,292.1920011,9081,223264
Total OI116,228.47680,529139,786126,93181,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$1.93$1.50149.9%31.5%46.0%43.6%107.2%35.2%-3.7%116.7K-6.5M-33.0K0.5075.44813410108,26618,665
2014-09-03$1.87$1.50147.2%32.6%45.6%42.8%0.0%-17.6%-20.0%105.8K-5.8M-30.9K0.2284.731,761393108,31118,951
2014-09-04$1.91$1.50161.7%30.1%45.9%47.1%117.2%-8.6%-2.0%105.4K-6.4M-30.4K0.0172.092,49922108,90019,264
2014-09-05$1.94$1.50154.4%32.7%45.7%44.9%112.6%-40.8%-8.5%109.5K-6.4M-32.3K0.3151.001,512471109,08619,280
2014-09-08$2.05$1.50155.7%30.8%48.6%45.3%114.6%-38.5%12.5%119.5K-7.8M-33.3K0.0749.434,864352109,25019,693
2014-09-09$1.98$1.50158.5%33.1%51.2%46.1%0.0%-20.7%-9.4%124.5K-7.2M-31.9K0.2666.381,599411111,46819,973
2014-09-10$2.00$1.50150.4%34.7%50.2%43.8%113.4%-37.7%0.9%131.3K-7.5M-32.2K0.1061.644,869486112,07720,097
2014-09-11$1.81$1.50143.2%34.2%63.6%41.6%123.8%-52.9%17.0%110.3K-5.5M-28.7K1.5472.412,0833,214113,73620,449
2014-09-12$1.49$1.5089.9%26.0%85.1%25.7%92.3%30.3%19.9%36.9K40.6K-15.8K0.4584.818,2253,683114,73123,398
2014-09-15$1.42$1.5088.9%25.3%86.2%25.5%0.0%-25.6%5.3%29.6K309.1K-14.7K0.2885.301,049298115,36524,239
2014-09-16$1.35$1.5073.0%27.1%86.2%20.7%0.0%-30.9%20.5%20.7K890.7K-13.5K1.5093.146881,035115,72124,065
2014-09-17$1.37$1.5070.8%23.9%86.8%20.1%0.0%-21.1%38.9%14.7K1.3M-11.3K1.17111.19166195115,85423,519
2014-09-18$1.35$1.5079.1%28.3%86.8%22.5%0.0%-37.9%10.4%23.8K793.2K-12.8K0.60100.90298179115,10923,367
2014-09-19$1.30$1.5073.4%22.7%87.2%20.8%76.1%-34.6%26.1%18.0K1.0M-11.5K2.33100.426491,510115,19923,394
2014-09-22$1.25$1.5053.4%20.6%86.3%14.9%80.8%12.5%48.4%10.6K485.2K-9.2K0.05112.641,1765765,43115,098
2014-09-23$1.17$1.50143.5%26.8%87.4%41.7%0.0%35.2%-52.2%9.5K364.5K-9.3K3.4397.9215452866,16615,120
2014-09-24$1.17$1.50116.0%23.9%85.4%33.5%90.4%-45.7%-1.8%7.1K607.9K-7.8K0.4074.191,04742366,23014,948
2014-09-25$1.12$1.50141.8%21.2%84.4%41.2%0.0%5.1%32.3%7.3K453.1K-8.9K0.03114.26197566,86414,928
2014-09-26$1.11$1.50104.5%21.5%84.2%30.1%0.0%31.1%-24.7%7.6K492.4K-7.2K0.68120.071198166,90814,920
2014-09-29$1.13$1.50141.6%22.0%85.0%41.1%0.0%-10.8%1.7%6.8K511.6K-8.0K0.64120.3421413766,42814,867
2014-09-30$1.09$1.50123.2%25.5%84.5%35.6%0.0%-38.8%16.9%6.9K248.5K-8.8K0.4064.991897566,57814,885