AMRN Options History — June 2015

In June 2015, AMRN traded between $2.30 and $2.56. ATM implied volatility averaged 104.9%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded above realized volatility by 40.4% (HV 20d: 64.5%). Max pain ranged from $1.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2015-06-15: Highest Volume — 10,484 contracts
  • 2015-06-02: Largest IV spike — 36.7% change
  • 2015-06-02: Highest IV Rank — 58.4%
  • 2015-06-02: Largest Expected Move — 34.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.42$2.30$2.56$2.30$2.46
Max Pain$2.23$1.50$2.50$1.50$2.50
ATM IV104.9%85.3%138.1%101.0%98.6%
Expected Move27.4%19.8%34.0%29.6%22.7%
HV 20d64.5%44.1%70.6%70.3%53.8%
HV 60d71.5%59.4%96.2%96.2%61.3%
IV Rank44.0%35.5%58.4%42.3%41.3%
IV Percentile39.0%13.5%81.3%37.3%27.8%
Term Structure2.0%-31.3%73.5%-5.2%-2.4%
VWIV95.9%68.9%116.0%100.4%81.0%
Skew 25d12.5%-22.9%68.2%-0.9%33.0%
Skew 10d8.6%-52.0%59.1%-24.3%-39.6%
Call IV 25d106.4%69.3%144.0%130.9%69.3%
Put IV 25d118.9%87.7%147.7%130.0%102.3%
Bid-Ask Spread %34.0414.6593.9641.6418.29
Gamma HHI0.380.220.560.320.41
Net GEX66.1K18.8K97.2K61.7K63.8K
Net DEX-5.6M-6.8M-4.0M-5.6M-4.8M
Net VEX-37.4K-39.0K-35.7K-37.5K-37.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.081.981.051.07
Total Volume7,390.4091,08610,4845,8117,504
Total OI75,690.63660,82182,34173,99970,463

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$2.30$1.50101.0%29.6%70.3%42.3%100.4%-0.9%-5.2%61.7K-5.6M-37.5K1.0541.642,8372,97454,21519,784
2015-06-02$2.30$1.50138.1%34.0%69.0%58.4%113.9%-6.9%-31.3%64.9K-5.7M-37.3K0.0817.551,0068054,71819,937
2015-06-03$2.43$1.50104.8%33.0%68.9%44.0%116.0%22.4%-6.6%73.8K-6.4M-38.5K0.8314.653,7373,11355,52219,941
2015-06-04$2.41$2.00106.3%29.6%68.6%44.7%94.7%9.3%-7.6%85.2K-6.5M-38.5K0.8124.013,7533,05656,81520,106
2015-06-05$2.44$2.00103.0%30.1%68.6%43.2%85.4%26.8%-10.7%72.8K-6.4M-38.2K0.6922.314,4113,05657,20520,088
2015-06-08$2.51$2.00110.7%32.3%62.3%46.5%104.6%21.3%6.5%85.3K-6.8M-38.4K1.4524.703,8275,55056,82520,076
2015-06-09$2.36$2.00127.1%29.7%67.0%53.6%105.7%23.1%11.9%80.7K-6.2M-37.5K1.6535.073,3415,50857,53222,753
2015-06-10$2.32$2.00105.6%31.7%67.3%44.3%107.1%-4.2%13.2%77.6K-5.6M-37.0K1.4871.993,7765,59657,75722,768
2015-06-11$2.40$2.0090.6%28.8%66.4%37.8%110.8%16.4%4.7%88.3K-6.0M-37.2K1.9823.793,1226,19657,52222,628
2015-06-12$2.46$2.50103.2%31.4%66.5%43.3%111.4%34.2%19.9%86.6K-6.5M-37.8K1.5468.853,9656,11058,96423,188
2015-06-15$2.42$2.50109.4%30.9%67.3%46.0%112.2%24.4%24.2%97.2K-6.4M-37.6K1.4226.094,3376,14758,38123,144
2015-06-16$2.42$2.50105.9%29.9%66.9%44.5%107.2%0.2%34.2%93.7K-6.0M-37.3K0.9722.343,7233,59458,23323,254
2015-06-17$2.38$2.50104.0%29.8%67.7%43.6%114.6%3.3%12.6%18.8K-5.1M-35.7K1.5293.962,3453,55858,38223,354
2015-06-18$2.37$2.50115.8%28.1%67.8%48.7%111.8%-1.8%73.5%19.5K-5.1M-35.8K1.3971.462,4833,44558,52923,355
2015-06-19$2.36$2.5092.8%25.5%67.8%38.8%92.2%-6.7%11.2%20.4K-4.9M-35.8K1.1115.632,7083,01558,97023,371
2015-06-22$2.51$2.50104.8%22.8%69.9%44.0%82.0%-12.1%-4.8%26.6K-4.3M-35.9K0.6522.664,6172,98139,18121,640
2015-06-23$2.56$2.5093.7%20.4%69.7%39.2%68.9%-22.9%-20.7%54.1K-5.2M-37.2K0.6225.206,4413,99242,63721,897
2015-06-24$2.51$2.50107.1%20.0%70.6%45.0%69.2%6.1%-23.9%75.8K-5.5M-38.6K1.5124.222,5873,90146,85523,028
2015-06-25$2.52$2.50102.6%19.8%44.1%43.1%69.3%30.2%-19.8%95.5K-5.4M-39.0K0.9817.964,0163,92146,89523,139
2015-06-26$2.40$2.5085.3%20.1%48.0%35.5%72.2%10.7%-10.8%63.1K-5.0M-37.2K1.6027.602,3763,80648,60323,159
2015-06-29$2.32$2.5097.7%21.9%49.7%40.9%78.8%68.2%-23.9%48.6K-4.0M-36.5K1.7538.932,2113,86747,25723,123
2015-06-30$2.46$2.5098.6%22.7%53.8%41.3%81.0%33.0%-2.4%63.8K-4.8M-37.7K1.0718.293,6173,88747,23923,224