AMRN Options History — October 2014

In October 2014, AMRN traded between $0.90 and $1.06. ATM implied volatility averaged 131.1%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 74.2% (HV 20d: 56.9%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2014-10-22: Highest Volume — 5,001 contracts
  • 2014-10-29: Largest IV spike — 104.1% change
  • 2014-10-30: Highest IV Rank — 68.6%
  • 2014-10-30: Largest Expected Move — 52.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.00$0.90$1.06$1.03$0.93
Max Pain$1.39$1.00$1.50$1.50$1.00
ATM IV131.1%70.4%233.9%116.0%97.6%
Expected Move25.9%17.0%52.4%23.5%25.3%
HV 20d56.9%40.7%85.0%85.0%49.7%
HV 60d70.2%65.8%72.4%71.2%66.4%
IV Rank38.0%19.9%68.6%33.5%28.0%
IV Percentile65.8%6.0%98.8%63.1%46.0%
Term Structure-2.5%-130.7%123.4%-74.6%-2.7%
VWIV93.8%41.6%151.2%88.1%87.4%
Skew 25d28.4%-10.9%55.3%-10.9%45.4%
Skew 10d38.9%-22.6%83.5%-0.6%70.2%
Call IV 25d76.7%54.5%110.5%87.4%85.5%
Put IV 25d105.1%63.8%156.8%76.5%130.9%
Bid-Ask Spread %87.3635.06143.33109.3838.52
Gamma HHI0.310.250.390.260.35
Net GEX2.9K-1.7K6.6K3.1K2.9K
Net DEX549.1K127.2K765.7K127.2K650.7K
Net VEX-6.1K-8.4K-4.3K-8.4K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.091.270.290.93
Total Volume3,247.043305,0016464,288
Total OI75,755.08767,80282,37981,48668,055

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$1.03$1.50116.0%23.5%85.0%33.5%88.1%-10.9%-74.6%3.1K127.2K-8.4K0.29109.3850114566,66014,826
2014-10-02$1.03$1.50128.4%25.4%83.7%37.2%88.9%42.7%69.8%3.7K551.3K-6.7K0.7281.021168466,74514,889
2014-10-03$1.06$1.50148.5%23.2%84.8%43.2%73.1%28.9%14.0%5.0K702.7K-6.4K0.26117.072326066,80014,884
2014-10-06$1.04$1.50128.8%24.8%78.7%37.3%0.0%46.1%123.4%1.1K765.7K-5.9K1.2736.3012015366,85014,745
2014-10-07$1.02$1.50128.4%23.4%78.9%37.2%0.0%-9.2%-12.2%4.2K390.3K-7.5K0.50108.37201066,90914,786
2014-10-08$1.00$1.50160.8%25.0%77.4%46.8%111.9%9.0%0.9%2.4K513.3K-7.1K0.85132.862,4012,04766,92914,786
2014-10-09$0.99$1.50183.0%23.9%73.9%53.4%89.6%-8.5%-24.1%1.8K530.9K-7.1K0.7590.822,7382,04766,85714,775
2014-10-10$1.00$1.50114.9%23.9%42.6%33.2%105.4%18.3%44.8%-1.4K626.3K-5.4K0.75113.642,7262,03967,22114,775
2014-10-13$0.97$1.50161.5%24.3%41.5%47.0%95.9%1.8%-73.6%4.8K466.5K-6.7K0.70111.182,7451,93467,15714,642
2014-10-14$1.00$1.50125.8%23.7%43.2%36.4%101.6%40.4%-45.1%2.2K287.1K-8.2K0.69104.122,8071,93467,25714,741
2014-10-15$0.99$1.50191.5%33.2%41.8%56.0%105.1%55.3%-130.7%-1.7K640.9K-6.2K0.86119.662,3051,97467,25714,741
2014-10-16$1.05$1.50128.8%24.4%49.6%37.3%0.0%43.0%-55.9%1.8K706.0K-5.8K0.0935.061,10510167,04214,263
2014-10-17$1.05$1.50117.1%25.5%48.9%33.8%0.0%47.0%-37.4%1.6K717.6K-5.7K1.1835.8627632568,13414,245
2014-10-20$1.04$1.5083.2%27.1%47.7%23.8%93.7%53.5%74.2%3.2K544.5K-6.0K0.7154.002,8121,99554,46813,362
2014-10-21$1.05$1.50103.4%22.9%43.1%29.8%96.8%38.1%80.1%3.6K654.6K-5.7K0.7458.562,8262,09454,52813,362
2014-10-22$1.05$1.5080.9%26.8%43.1%23.1%91.4%5.1%102.0%2.5K646.7K-5.3K0.6956.772,9522,04954,53713,463
2014-10-23$1.04$1.5070.4%25.9%40.7%19.9%103.0%26.4%53.6%2.2K639.9K-5.4K1.1160.531,9122,11454,57213,485
2014-10-24$0.95$1.5092.7%20.8%51.1%26.6%77.3%19.5%-106.0%4.7K573.2K-5.0K1.0277.282,1052,14554,62513,565
2014-10-27$0.90$1.00132.2%17.0%52.6%38.3%41.6%48.5%-23.6%2.7K595.8K-4.3K1.0653.941,9512,07054,83312,969
2014-10-28$0.91$1.0094.4%27.9%52.4%27.1%91.7%27.7%-33.3%5.3K462.9K-5.6K1.07138.571,9362,06354,82912,999
2014-10-29$0.90$1.00192.7%24.9%49.3%56.3%88.0%29.3%0.2%4.7K523.4K-5.2K0.96143.332,1422,06354,87112,998
2014-10-30$0.90$1.00233.9%52.4%49.3%68.6%151.2%54.7%0.0%6.6K311.9K-6.2K0.92132.472,2002,02054,93212,998
2014-10-31$0.93$1.0097.6%25.3%49.7%28.0%87.4%45.4%-2.7%2.9K650.7K-4.5K0.9338.522,2172,07155,05712,998