AMRN Options History — April 2015

In April 2015, AMRN traded between $1.92 and $2.58. ATM implied volatility averaged 113.0%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 31.3%. IV traded above realized volatility by 28.7% (HV 20d: 84.4%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-04-28: Highest Volume — 18,991 contracts
  • 2015-04-23: Largest IV spike — 363.2% change
  • 2015-04-29: Highest IV Rank — 63.4%
  • 2015-04-28: Largest Expected Move — 39.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.35$1.92$2.58$2.37$1.92
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV113.0%17.5%149.5%148.5%116.4%
Expected Move31.3%24.7%39.6%25.6%30.4%
HV 20d84.4%47.1%138.6%138.6%58.5%
HV 60d94.5%93.1%98.9%94.5%98.9%
IV Rank47.6%6.1%63.4%62.9%49.0%
IV Percentile57.5%0.4%90.5%90.1%57.9%
Term Structure-5.8%-41.8%60.4%-29.8%-7.8%
VWIV113.5%70.7%128.1%108.7%118.5%
Skew 25d6.1%-27.0%97.8%-3.2%97.8%
Skew 10d-15.5%-59.4%81.2%2.9%81.2%
Call IV 25d125.6%78.1%168.1%147.3%78.1%
Put IV 25d131.7%104.1%175.9%144.1%175.9%
Bid-Ask Spread %49.2917.29167.0594.5259.58
Gamma HHI0.220.170.270.260.19
Net GEX44.3K25.1K65.5K43.4K25.1K
Net DEX-4.9M-6.3M-2.9M-5.4M-2.9M
Net VEX-26.4K-31.5K-23.1K-26.4K-30.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.011.150.341.03
Total Volume5,465.2861,97718,9913,27411,532
Total OI54,715.8147,74065,15455,14665,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$2.37$2.00148.5%25.6%138.6%62.9%108.7%-3.2%-29.8%43.4K-5.4M-26.4K0.3494.522,44283245,3079,839
2015-04-02$2.37$2.00127.5%33.5%138.6%53.8%128.1%4.4%-12.7%45.5K-5.4M-26.8K0.3433.252,91199745,5539,784
2015-04-06$2.47$2.00120.7%36.1%138.1%50.9%120.9%16.3%13.0%50.0K-5.5M-26.4K0.2229.812,44654644,1749,753
2015-04-07$2.42$2.00117.8%33.3%137.9%49.6%122.4%-9.8%0.8%51.3K-5.6M-26.4K0.5017.292,4461,21944,6849,767
2015-04-08$2.54$2.00114.7%34.5%138.2%48.3%116.2%-0.8%8.9%62.8K-5.9M-27.6K0.0125.271,9512645,31710,477
2015-04-09$2.58$2.00135.2%33.7%137.8%57.2%120.5%-20.9%-18.5%65.5K-6.3M-28.0K0.6021.712,3641,43045,78510,477
2015-04-10$2.56$2.00119.9%32.4%118.2%50.5%112.6%-27.0%-10.3%59.0K-6.3M-28.0K0.3823.372,7371,03346,07610,658
2015-04-13$2.56$2.00120.0%34.1%93.4%50.6%118.6%-0.9%-20.5%61.9K-6.1M-27.5K0.4344.202,31298445,33210,488
2015-04-14$2.44$2.00104.2%28.4%94.5%43.7%116.7%-9.0%60.4%55.2K-5.6M-26.2K0.4967.612,6201,28945,49910,619
2015-04-15$2.42$2.00101.8%29.2%67.7%42.7%118.4%-9.4%11.4%55.7K-5.3M-26.3K0.5348.832,4791,31645,94911,029
2015-04-16$2.37$2.00112.0%31.6%51.6%47.1%119.5%3.1%11.7%35.5K-5.0M-25.6K0.4922.972,5691,25746,29111,001
2015-04-17$2.33$2.00112.9%34.0%49.6%47.5%114.0%-10.8%-41.8%34.6K-4.7M-25.4K0.4726.082,5581,20346,34211,037
2015-04-20$2.28$2.00105.4%24.7%49.9%44.2%70.7%-1.0%-34.3%35.8K-4.4M-24.4K0.3646.192,9331,05038,9288,812
2015-04-21$2.38$2.00101.2%29.8%51.9%42.4%108.4%53.5%-4.2%38.6K-4.6M-25.5K0.3835.082,6781,02739,7028,845
2015-04-22$2.35$2.0017.5%30.9%50.8%6.1%106.8%14.2%6.0%37.0K-4.6M-25.4K0.3887.692,27385740,3798,841
2015-04-23$2.43$2.0081.1%35.3%49.5%33.7%117.4%-15.5%-4.0%42.4K-4.8M-25.5K0.3130.533,03694140,3798,942
2015-04-24$2.34$2.00116.4%27.3%47.1%49.0%97.9%13.4%-36.2%39.0K-4.7M-25.1K0.3945.662,7401,06441,3209,054
2015-04-27$2.13$2.00137.1%25.2%53.1%58.0%102.3%-8.8%4.2%34.0K-3.9M-23.1K1.0052.302,8112,81540,8348,952
2015-04-28$2.08$2.00114.1%39.6%53.5%48.0%126.9%52.0%21.7%31.7K-3.1M-23.3K1.1556.148,82010,17141,99610,922
2015-04-29$2.07$2.00149.5%27.9%53.4%63.4%117.6%-10.1%-40.4%26.7K-3.3M-31.5K1.09167.058,6509,40647,12817,606
2015-04-30$1.92$2.00116.4%30.4%58.5%49.0%118.5%97.8%-7.8%25.1K-2.9M-30.0K1.0359.585,6825,85047,46017,694