AMRN Options History — July 2015

In July 2015, AMRN traded between $2.15 and $2.51. ATM implied volatility averaged 90.7%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 39.1% (HV 20d: 51.7%). Max pain ranged from $2.00 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 1.66.

Notable Days

  • 2015-07-15: Highest Volume — 10,888 contracts
  • 2015-07-27: Largest IV spike — 69.6% change
  • 2015-07-30: Highest IV Rank — 60.5%
  • 2015-07-27: Largest Expected Move — 37.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.34$2.15$2.51$2.44$2.26
Max Pain$2.05$2.00$2.50$2.50$2.00
ATM IV90.7%57.7%142.8%87.6%87.6%
Expected Move23.1%16.2%37.3%23.5%26.4%
HV 20d51.7%45.2%56.7%50.3%46.5%
HV 60d60.3%56.0%63.0%61.2%56.0%
IV Rank37.9%23.5%60.5%36.5%36.5%
IV Percentile24.2%1.2%85.7%15.9%18.3%
Term Structure5.4%-20.4%100.9%-20.4%21.4%
VWIV79.5%62.8%103.5%79.9%91.7%
Skew 25d26.6%-11.6%84.5%51.7%37.1%
Skew 10d8.0%-46.0%37.7%-11.8%-22.0%
Call IV 25d89.2%65.2%137.6%69.6%88.0%
Put IV 25d115.8%68.9%163.5%121.3%125.1%
Bid-Ask Spread %39.8617.25124.6225.27108.19
Gamma HHI0.380.220.670.460.23
Net GEX56.4K21.3K129.9K72.6K26.1K
Net DEX-4.1M-5.3M-3.0M-5.1M-3.4M
Net VEX-35.6K-37.8K-33.1K-37.5K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.852.831.461.05
Total Volume7,382.9555,57810,8886,5496,295
Total OI68,488.27360,66975,61871,10964,546

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$2.44$2.5087.6%23.5%50.3%36.5%79.9%51.7%-20.4%72.6K-5.1M-37.5K1.4625.272,6623,88747,90523,204
2015-07-02$2.49$2.50104.0%24.0%50.7%43.7%81.2%0.4%100.9%62.1K-5.2M-37.8K1.7820.842,1883,88747,93723,204
2015-07-06$2.51$2.0087.2%22.3%50.6%36.3%79.6%6.1%-4.9%73.9K-5.3M-37.2K2.1317.482,2454,77147,31523,204
2015-07-07$2.45$2.0085.5%23.5%50.3%35.6%80.7%9.2%-2.0%62.8K-4.9M-37.5K1.6525.622,8844,74647,77024,234
2015-07-08$2.29$2.00106.2%22.8%51.3%44.6%85.7%53.0%-10.2%75.1K-4.3M-35.6K1.5548.803,0684,74647,98824,249
2015-07-09$2.39$2.0097.9%22.7%53.2%41.0%77.5%4.2%18.3%58.9K-4.3M-36.8K2.6217.251,8844,94048,36024,249
2015-07-10$2.41$2.0088.7%18.1%51.9%37.0%75.1%62.3%-3.5%74.2K-4.5M-36.8K1.0931.544,7305,16448,46224,711
2015-07-13$2.42$2.0078.2%16.5%51.1%32.5%75.5%55.4%-14.1%113.4K-4.7M-37.7K1.0235.014,8464,91950,23424,711
2015-07-14$2.50$2.0084.0%24.6%52.1%35.0%84.2%-0.2%4.6%127.1K-5.1M-37.2K0.8619.315,8114,98050,31424,716
2015-07-15$2.37$2.0096.3%20.8%55.7%40.3%71.9%65.2%-15.2%117.7K-4.6M-36.1K0.8571.405,8785,01050,57324,627
2015-07-16$2.44$2.0087.7%22.8%56.3%36.6%81.6%48.9%-4.2%129.9K-4.5M-36.6K0.9328.765,2744,92550,98424,619
2015-07-17$2.40$2.0083.5%21.1%56.6%34.7%81.6%-7.7%-10.0%24.3K-3.8M-36.4K1.8426.362,6584,88150,97924,639
2015-07-20$2.38$2.0072.7%21.5%56.7%30.1%74.5%1.8%5.5%26.1K-3.8M-35.8K2.8324.231,7304,89839,55221,117
2015-07-21$2.38$2.0061.3%16.2%51.9%25.1%63.3%8.8%21.1%25.7K-4.1M-35.9K1.9739.712,0744,07840,04221,214
2015-07-22$2.33$2.0057.7%16.5%51.6%23.5%62.8%7.0%27.3%27.0K-3.7M-35.1K2.4748.711,6514,07840,58521,254
2015-07-23$2.23$2.0075.9%20.1%53.2%31.4%64.3%6.9%19.5%24.0K-3.5M-33.1K2.1330.651,7833,79540,65521,254
2015-07-24$2.16$2.0068.8%18.7%53.9%28.4%73.3%-11.6%0.2%22.2K-3.1M-33.1K1.5529.962,4633,82941,01521,242
2015-07-27$2.16$2.00116.7%37.3%51.7%49.1%95.2%22.7%-7.9%21.3K-3.1M-33.1K1.8742.632,0753,87941,81121,218
2015-07-28$2.15$2.00109.5%35.0%50.5%46.0%103.5%47.3%11.2%25.4K-3.0M-33.6K1.6740.172,3213,87942,24821,281
2015-07-29$2.17$2.00116.4%31.0%45.2%49.0%88.8%31.9%-6.9%26.7K-3.0M-33.2K1.60124.622,4283,87942,90121,281
2015-07-30$2.19$2.00142.8%21.9%45.5%60.5%77.5%84.5%-12.4%24.5K-3.1M-33.2K1.5320.422,4973,80943,05721,281
2015-07-31$2.26$2.0087.6%26.4%46.5%36.5%91.7%37.1%21.4%26.1K-3.4M-33.8K1.05108.193,0733,22243,22721,319