AMRN Options History — January 2015

In January 2015, AMRN traded between $1.00 and $1.14. ATM implied volatility averaged 113.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded above realized volatility by 31.1% (HV 20d: 82.1%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2015-01-15: Highest Volume — 4,447 contracts
  • 2015-01-08: Largest IV spike — 67.6% change
  • 2015-01-14: Highest IV Rank — 57.2%
  • 2015-01-05: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.04$1.00$1.14$1.14$1.02
Max Pain$1.00$1.00$1.00$1.00$1.00
ATM IV113.2%82.1%153.5%131.3%113.7%
Expected Move24.0%19.7%28.7%27.0%19.7%
HV 20d82.1%72.8%92.6%87.9%72.9%
HV 60d86.7%85.1%88.1%85.5%85.2%
IV Rank41.0%26.2%57.2%38.1%47.8%
IV Percentile62.2%28.2%90.1%78.2%65.5%
Term Structure3.4%-101.4%102.9%39.0%-20.2%
VWIV85.4%68.9%101.7%95.7%68.9%
Skew 25d28.7%-25.1%102.2%27.0%1.2%
Skew 10d42.9%-48.6%102.0%7.4%17.9%
Call IV 25d75.3%50.1%105.9%97.2%98.2%
Put IV 25d104.0%77.1%152.4%124.1%99.4%
Bid-Ask Spread %70.8620.00156.8958.5532.44
Gamma HHI0.290.250.380.270.26
Net GEX5.8K4.7K7.6K7.6K5.5K
Net DEX-245.8K-720.6K144.4K118.1K-633.4K
Net VEX-6.2K-6.7K-5.7K-6.6K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.033.481.041.14
Total Volume2,191.5504,4473,0363,031
Total OI50,065.421,40372,69771,62923,928

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$1.14$1.00131.3%27.0%87.9%38.1%95.7%27.0%39.0%7.6K118.1K-6.6K1.0458.551,4851,55159,59012,039
2015-01-05$1.06$1.00119.3%28.7%91.6%34.5%0.0%37.2%47.1%5.7K104.8K-6.2K0.0328.423131059,83112,041
2015-01-06$1.01$1.00124.9%25.6%92.6%36.2%89.2%27.3%7.5%5.6K115.0K-6.0K0.2448.393338059,97012,041
2015-01-07$1.04$1.0091.6%20.8%88.3%26.2%0.0%30.1%73.1%5.8K126.4K-6.1K0.00141.050059,86712,086
2015-01-08$1.07$1.00153.5%23.1%86.5%44.7%80.2%16.0%55.9%5.6K-129.7K-5.7K0.8095.341,9011,51859,86712,086
2015-01-09$1.08$1.00146.2%21.0%84.7%42.5%101.7%21.3%-3.3%6.0K72.4K-6.2K0.70129.822,1191,49259,87712,094
2015-01-12$1.06$1.00100.1%20.3%85.0%28.8%72.5%-25.1%-16.3%6.0K144.4K-6.0K0.8193.012,0561,67160,06512,073
2015-01-13$1.02$1.00131.3%27.1%84.3%38.0%88.6%60.3%-61.5%6.7K46.4K-5.9K0.7296.012,3881,70960,38012,071
2015-01-14$1.08$1.00135.2%26.6%85.9%57.2%92.6%7.4%-26.9%6.3K76.5K-6.5K0.8072.462,1011,68160,70911,988
2015-01-15$1.05$1.00126.8%23.9%85.8%53.5%82.5%22.3%-88.4%6.5K76.6K-6.1K1.2222.922,0002,44760,99211,663
2015-01-16$1.02$1.0095.8%21.8%86.5%40.1%84.0%30.1%-101.4%6.7K-33.7K-6.1K3.4823.7023682161,11210,713
2015-01-20$1.02$1.0095.3%27.0%86.2%39.9%85.1%7.0%-16.3%4.7K-590.0K-6.2K0.07101.041,39010416,9014,502
2015-01-21$1.00$1.0088.8%25.5%80.5%37.0%0.0%35.2%47.7%5.2K-537.8K-6.1K0.0424.902431018,1324,606
2015-01-22$1.02$1.0090.5%25.9%76.8%37.8%90.5%35.7%35.6%5.2K-561.6K-6.2K1.6025.508651,38818,3094,616
2015-01-23$1.03$1.0082.1%23.5%73.8%34.1%80.7%39.9%102.9%5.2K-610.7K-6.4K1.5699.758881,38818,4274,616
2015-01-26$1.03$1.00100.4%20.3%73.8%42.1%0.0%15.1%1.8%4.9K-680.6K-6.3K2.0854.239620018,4744,616
2015-01-27$1.03$1.00119.5%24.6%73.5%50.4%86.8%37.9%-13.2%5.1K-620.5K-6.4K0.1020.004414618,5324,816
2015-01-28$1.02$1.00109.8%27.4%73.2%46.2%96.2%45.8%0.0%5.1K-678.8K-6.4K1.25156.891,2901,61718,9284,857
2015-01-29$1.03$1.00108.4%20.6%72.8%45.5%71.9%102.2%2.2%7.1K-720.6K-6.7K1.2492.831,3051,61719,0364,857
2015-01-30$1.02$1.00113.7%19.7%72.9%47.8%68.9%1.2%-20.2%5.5K-633.4K-6.6K1.1432.441,4141,61719,0714,857