AMRN Options History — May 2015

In May 2015, AMRN traded between $1.85 and $2.30. ATM implied volatility averaged 103.3%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 41.8% (HV 20d: 61.5%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-05-28: Highest Volume — 25,993 contracts
  • 2015-05-06: Largest IV spike — 65.2% change
  • 2015-05-28: Highest IV Rank — 62.5%
  • 2015-05-28: Largest Expected Move — 40.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.96$1.85$2.30$1.88$2.30
Max Pain$1.52$1.50$2.00$2.00$1.50
ATM IV103.3%66.8%147.5%116.4%140.3%
Expected Move26.0%19.4%40.4%31.5%36.3%
HV 20d61.5%50.3%77.1%58.4%71.1%
HV 60d97.3%92.1%101.2%99.1%96.2%
IV Rank43.3%27.5%62.5%49.0%59.4%
IV Percentile41.6%3.6%88.9%57.1%82.5%
Term Structure-5.7%-54.1%93.5%-15.6%20.9%
VWIV95.1%67.8%143.4%111.0%143.4%
Skew 25d0.5%-42.3%75.0%13.5%-24.6%
Skew 10d-8.8%-58.6%52.3%-50.7%-27.4%
Call IV 25d105.4%75.7%169.8%121.2%169.8%
Put IV 25d105.9%55.3%163.1%134.7%145.2%
Bid-Ask Spread %34.1012.9094.0829.3870.53
Gamma HHI0.240.180.370.180.27
Net GEX28.5K23.1K59.0K23.7K59.0K
Net DEX-3.1M-6.2M-2.7M-2.8M-6.2M
Net VEX-30.0K-36.7K-28.6K-29.3K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.012.272.270.92
Total Volume5,327.528025,9938,3266,472
Total OI65,951.7561,88578,59865,32578,598

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$1.88$2.00116.4%31.5%58.4%49.0%111.0%13.5%-15.6%23.7K-2.8M-29.3K2.2729.382,5445,78247,72217,603
2015-05-04$1.97$1.50119.4%30.8%59.1%50.3%105.3%8.0%2.5%25.1K-2.8M-29.9K0.0427.247112647,21017,589
2015-05-05$1.90$1.5066.8%28.2%59.7%27.5%106.6%-7.6%93.5%23.5K-2.8M-29.2K1.7024.872,9975,10847,24017,605
2015-05-06$1.97$1.50110.3%30.6%58.2%46.4%110.9%43.1%-5.4%26.0K-2.8M-29.8K1.0833.704,7225,09448,03617,745
2015-05-07$1.98$1.50122.4%28.3%57.6%51.6%104.2%-42.3%-51.9%28.8K-3.4M-31.4K1.0931.324,6975,10449,56017,745
2015-05-08$1.85$1.50105.1%25.5%60.7%44.1%93.6%-14.9%-19.4%23.1K-2.9M-28.7K0.2137.3375716249,74117,755
2015-05-11$1.93$1.50108.0%25.2%64.0%45.4%87.2%75.0%-25.8%24.9K-2.7M-28.9K0.0927.078237049,71217,826
2015-05-12$1.91$1.5091.0%25.2%62.7%38.0%97.5%9.2%-24.0%25.8K-3.1M-29.6K0.5118.642,6941,36150,36117,803
2015-05-13$1.86$1.50106.5%25.0%62.9%44.7%97.1%5.6%-54.1%23.9K-2.7M-29.0K0.4931.412,7481,35650,38817,789
2015-05-14$1.89$1.50111.8%25.4%63.7%47.0%91.4%1.6%-9.2%24.6K-2.8M-29.0K0.4114.872,5671,05850,29117,772
2015-05-15$1.93$1.5099.8%24.4%64.7%41.8%91.3%21.8%-49.6%25.5K-2.9M-29.4K0.4715.232,3481,10350,31617,752
2015-05-18$1.91$1.5075.5%20.5%64.5%31.3%71.0%-1.4%47.8%25.8K-2.8M-29.1K0.1294.088069644,56417,321
2015-05-19$1.93$1.5073.8%21.1%62.0%30.5%67.8%-0.3%-27.5%28.4K-2.7M-29.2K0.0128.47277345,11617,311
2015-05-20$1.93$1.5072.5%20.8%62.1%30.0%97.2%-13.1%14.1%29.4K-2.7M-29.2K0.5740.812,0761,18345,26317,314
2015-05-21$1.92$1.5073.8%20.2%60.0%30.5%75.2%-23.1%7.5%29.1K-2.8M-29.3K0.5139.512,3061,18345,26617,525
2015-05-22$1.91$1.5078.7%20.3%59.3%32.7%71.0%-21.8%19.0%28.5K-2.8M-28.8K0.5812.902,0101,16745,61917,525
2015-05-26$1.91$1.50113.9%21.5%50.3%47.9%74.1%2.3%0.5%30.0K-3.0M-28.6K0.6616.802,0021,33145,65017,516
2015-05-27$1.96$1.50132.5%19.4%51.0%56.0%68.0%-11.0%1.0%32.7K-3.0M-29.7K1.3323.562,4923,32145,62417,561
2015-05-28$2.30$1.50147.5%40.4%77.1%62.5%137.6%-9.5%-38.2%32.7K-5.1M-36.1K0.1564.2322,6983,29546,13719,564
2015-05-29$2.30$1.50140.3%36.3%71.1%59.4%143.4%-24.6%20.9%59.0K-6.2M-36.7K0.9270.533,3703,10258,85819,740