AMRN Options History — March 2015

In March 2015, AMRN traded between $1.55 and $2.90. ATM implied volatility averaged 118.4%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 30.4%. IV traded above realized volatility by 5.0% (HV 20d: 113.3%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2015-03-13: Highest Volume — 19,164 contracts
  • 2015-03-10: Largest IV spike — 38.5% change
  • 2015-03-02: Highest IV Rank — 70.2%
  • 2015-03-20: Largest Expected Move — 38.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.23$1.55$2.90$1.55$2.36
Max Pain$1.75$1.00$2.00$1.50$2.00
ATM IV118.4%84.7%165.3%165.3%130.4%
Expected Move30.4%20.5%38.2%30.9%31.4%
HV 20d113.3%74.3%143.7%74.3%140.3%
HV 60d87.8%71.5%100.6%73.0%96.1%
IV Rank49.9%35.3%70.2%70.2%55.1%
IV Percentile64.8%30.6%97.2%97.2%78.2%
Term Structure0.2%-14.9%17.9%-14.9%-4.5%
VWIV106.8%79.5%127.2%108.5%111.6%
Skew 25d-3.5%-30.7%41.0%-22.5%0.5%
Skew 10d-15.9%-50.2%43.3%-42.1%-26.2%
Call IV 25d113.3%70.9%147.3%127.8%139.8%
Put IV 25d109.8%72.2%156.2%105.3%140.2%
Bid-Ask Spread %49.6919.08113.7969.0293.74
Gamma HHI0.310.230.480.300.25
Net GEX33.9K19.4K47.9K19.4K47.4K
Net DEX-4.9M-9.1M-1.9M-1.9M-5.4M
Net VEX-21.9K-28.1K-13.4K-13.4K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.021.050.370.33
Total Volume5,624.72763319,1647,7973,602
Total OI47,146.40933,21661,79333,21654,448

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$1.55$1.50165.3%30.9%74.3%70.2%108.5%-22.5%-14.9%19.4K-1.9M-13.4K0.3769.025,6752,12226,3606,856
2015-03-03$1.55$1.50147.4%29.2%74.3%62.5%101.8%-16.2%-10.0%20.9K-1.9M-13.4K0.3728.854,7911,78727,0356,885
2015-03-04$1.68$1.50113.1%26.6%77.3%47.6%88.6%7.2%4.0%24.3K-2.3M-14.2K0.6223.423,2172,00627,4367,022
2015-03-05$1.68$1.0085.5%20.5%77.7%35.6%82.6%-11.4%3.6%25.5K-2.4M-14.7K1.0541.331,9542,04527,8147,446
2015-03-06$1.78$1.0085.0%23.7%78.5%35.4%79.5%-5.0%8.4%27.6K-2.6M-15.3K0.6624.422,9581,96228,3687,481
2015-03-09$1.88$1.5084.7%26.7%78.5%35.3%91.8%-21.6%7.4%29.8K-3.1M-15.8K0.0231.363,4886928,7907,392
2015-03-10$1.86$1.50117.3%27.0%79.7%49.4%98.0%-30.7%-12.6%31.2K-3.3M-16.2K0.0970.545795429,8947,379
2015-03-11$1.94$1.50111.5%29.2%79.3%46.9%94.8%-22.0%-0.8%31.6K-3.5M-16.3K0.0560.502,62613130,0727,358
2015-03-12$2.38$1.50101.2%28.2%100.9%42.4%98.8%12.8%-5.3%27.0K-5.4M-18.2K0.1557.739,9851,54330,8717,369
2015-03-13$2.90$2.00125.8%36.2%115.5%53.1%126.4%41.0%0.9%26.2K-7.8M-21.6K0.1465.5816,8312,33334,7638,843
2015-03-16$2.85$2.00123.3%35.7%116.9%52.0%127.2%3.5%-6.3%47.9K-9.1M-27.0K0.2019.5911,9492,33944,05710,416
2015-03-17$2.37$2.00117.4%32.8%141.7%49.5%117.8%-14.3%17.9%43.5K-6.4M-25.0K0.4445.197,3743,25247,20411,000
2015-03-18$2.67$2.00119.8%34.4%142.3%50.5%120.8%-5.3%-5.6%36.3K-7.8M-27.7K0.4081.773,6441,45748,67511,847
2015-03-19$2.55$2.00119.8%34.5%143.7%50.5%120.0%-9.0%5.1%43.0K-7.0M-27.2K0.5347.961,62085848,89912,495
2015-03-20$2.52$2.00129.4%38.2%138.2%54.7%117.9%-10.1%1.9%37.2K-6.6M-27.9K0.0931.851,80716349,01112,782
2015-03-23$2.45$2.00109.7%30.9%138.9%46.1%112.0%12.6%7.0%35.2K-5.5M-27.1K0.7660.841,4041,06940,5779,669
2015-03-24$2.52$2.00127.7%29.1%136.9%53.9%111.6%-9.4%5.7%33.6K-5.8M-28.1K0.1119.081,57517041,65910,623
2015-03-25$2.40$2.00100.9%31.5%139.4%42.3%106.2%-14.2%-1.1%31.4K-5.3M-26.8K0.2136.272,42850842,47210,701
2015-03-26$2.27$2.00137.8%31.8%139.4%58.3%118.5%14.0%-1.8%37.4K-4.7M-25.2K0.20113.794,96199943,71110,991
2015-03-27$2.41$2.00128.8%30.5%139.5%54.4%106.9%16.5%9.1%44.3K-5.0M-26.8K0.6840.321,5501,04845,54511,091
2015-03-30$2.40$2.00122.0%30.5%139.8%51.4%107.7%6.0%-4.8%46.1K-5.4M-27.2K0.2929.942,94486744,1479,767
2015-03-31$2.36$2.00130.4%31.4%140.3%55.1%111.6%0.5%-4.5%47.4K-5.4M-26.6K0.3393.742,70889444,6589,790