AMRN Options History — December 2014

In December 2014, AMRN traded between $0.97 and $1.21. ATM implied volatility averaged 104.2%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 13.0% (HV 20d: 91.2%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2014-12-02: Highest Volume — 4,640 contracts
  • 2014-12-15: Largest IV spike — 83.1% change
  • 2014-12-10: Highest IV Rank — 43.0%
  • 2014-12-16: Largest Expected Move — 52.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.06$0.97$1.21$1.21$0.98
Max Pain$1.16$1.00$1.50$1.50$1.00
ATM IV104.2%69.1%147.9%100.4%121.5%
Expected Move27.6%21.5%52.6%24.9%25.3%
HV 20d91.2%62.0%113.3%108.6%67.4%
HV 60d80.6%77.1%87.8%87.8%79.7%
IV Rank30.0%19.6%43.0%28.9%35.1%
IV Percentile50.9%5.2%86.9%52.0%69.8%
Term Structure-1.3%-69.0%41.0%-12.4%0.7%
VWIV96.7%75.9%135.8%107.2%88.2%
Skew 25d9.5%-48.8%80.1%-13.6%-15.3%
Skew 10d14.7%-86.5%87.2%-16.6%-25.1%
Call IV 25d99.3%65.6%165.7%71.9%126.8%
Put IV 25d108.7%58.3%159.9%58.3%111.5%
Bid-Ask Spread %62.6227.17164.4390.7442.42
Gamma HHI0.270.250.340.300.32
Net GEX7.3K3.6K14.0K14.0K4.2K
Net DEX56.9K-170.1K841.5K-170.1K37.3K
Net VEX-6.3K-8.1K-1.4K-8.1K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.021.410.400.02
Total Volume3,005.9552584,6404,411258
Total OI75,028.22769,78777,37476,44271,474

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$1.21$1.50100.4%24.9%108.6%28.9%107.2%-13.6%-12.4%14.0K-170.1K-8.1K0.4090.743,1431,26863,93612,506
2014-12-02$1.16$1.5069.1%24.3%110.3%19.6%95.7%-4.1%5.1%9.9K109.6K-7.2K0.4548.253,2081,43264,19812,515
2014-12-03$1.14$1.5098.9%23.2%110.7%28.4%92.5%-1.3%-11.4%9.4K-3.4K-7.2K0.4836.902,9771,44064,33212,412
2014-12-04$1.14$1.5089.1%23.2%110.1%25.5%0.0%-48.8%11.3%7.9K119.9K-6.9K0.0441.866042264,41312,522
2014-12-05$1.11$1.5091.2%24.5%109.9%26.1%91.5%31.6%-5.3%8.4K12.2K-6.8K0.5635.282,4781,38764,65412,529
2014-12-08$1.02$1.5087.1%24.1%113.3%24.9%97.7%-8.9%-8.8%6.3K153.6K-6.2K0.5430.022,2271,20264,32412,679
2014-12-09$1.08$1.5084.2%27.1%109.8%24.0%96.7%29.7%22.1%6.6K136.3K-6.8K0.5527.172,2341,22964,53312,702
2014-12-10$1.03$1.00147.9%30.7%111.9%43.0%93.4%-10.5%-16.1%8.8K-96.3K-6.9K0.5253.002,2721,18364,55612,719
2014-12-11$1.04$1.0080.7%26.8%110.5%23.0%92.7%53.6%-48.7%8.3K39.2K-6.4K0.5433.672,2021,18864,50712,663
2014-12-12$1.09$1.0077.9%27.8%109.4%22.2%94.8%-15.2%3.8%8.1K89.2K-6.9K0.5789.992,1131,21564,61412,696
2014-12-15$1.05$1.00142.6%33.6%110.5%41.4%113.3%77.0%38.5%10.6K-140.8K-6.8K0.5753.382,1081,20864,64512,729
2014-12-16$1.02$1.00113.4%52.6%103.8%32.7%135.8%-40.4%-69.0%5.3K841.5K-1.4K0.5963.252,1111,25164,69512,590
2014-12-17$1.02$1.00115.6%27.5%63.0%33.4%106.9%-38.8%24.3%8.8K-138.1K-7.0K0.71164.432,0361,44164,74812,544
2014-12-18$1.04$1.0079.9%31.6%62.0%22.8%107.0%32.8%41.0%6.4K128.8K-6.2K0.7976.261,9451,52764,70612,407
2014-12-19$1.13$1.0087.5%29.5%70.1%25.0%100.8%20.7%24.7%7.1K82.1K-6.9K0.1444.8170510264,70612,536
2014-12-22$1.05$1.00135.6%31.6%70.5%39.3%98.1%19.7%-6.8%6.7K87.3K-6.6K0.6946.401,8971,31658,09911,688
2014-12-23$0.99$1.00102.1%27.7%72.2%29.4%95.4%-5.0%-0.3%4.4K89.6K-6.0K0.7550.671,9051,42658,52911,763
2014-12-24$0.99$1.00126.6%22.7%71.9%36.7%80.2%80.1%-14.4%5.5K-38.8K-6.1K0.8733.511,6311,42658,75311,713
2014-12-26$1.01$1.00108.9%22.8%71.7%31.4%75.9%40.5%-7.1%3.6K-119.7K-5.3K0.8277.701,7641,43858,88011,713
2014-12-29$0.99$1.00111.6%21.5%70.5%32.2%76.4%12.2%8.6%5.4K-44.3K-6.0K1.14116.881,2931,47959,09911,686
2014-12-30$0.97$1.00119.6%24.8%68.0%34.6%90.1%12.0%-7.2%4.3K76.1K-5.7K1.41121.0334949159,10011,808
2014-12-31$0.98$1.00121.5%25.3%67.4%35.1%88.2%-15.3%0.7%4.2K37.3K-5.7K0.0242.42252659,43512,039