AMRN Options History — August 2015

In August 2015, AMRN traded between $1.88 and $2.36. ATM implied volatility averaged 88.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 24.3% (HV 20d: 63.7%). Max pain ranged from $1.50 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 0.97.

Notable Days

  • 2015-08-07: Highest Volume — 10,152 contracts
  • 2015-08-10: Largest IV drop — 34.5% change
  • 2015-08-07: Highest IV Rank — 50.7%
  • 2015-08-07: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.18$1.88$2.36$2.20$2.21
Max Pain$1.98$1.50$2.00$2.00$2.00
ATM IV88.1%74.0%120.3%99.8%85.8%
Expected Move22.8%17.5%29.6%22.6%19.1%
HV 20d63.7%40.3%82.4%46.9%81.9%
HV 60d59.5%54.4%64.3%56.3%61.0%
IV Rank33.5%26.1%50.7%41.8%31.6%
IV Percentile22.4%6.0%67.1%33.3%19.4%
Term Structure-2.3%-44.9%79.9%-15.5%-14.2%
VWIV79.9%62.9%101.0%86.1%79.8%
Skew 25d5.5%-49.9%76.6%-0.4%23.5%
Skew 10d14.4%-31.8%79.1%12.1%65.6%
Call IV 25d88.8%68.5%153.5%92.4%73.0%
Put IV 25d94.3%58.3%156.3%91.9%96.5%
Bid-Ask Spread %36.0913.44166.9375.6418.52
Gamma HHI0.220.200.290.230.21
Net GEX28.4K16.9K45.3K26.8K27.4K
Net DEX-3.4M-4.4M-2.3M-3.5M-3.6M
Net VEX-32.4K-34.9K-29.0K-33.4K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.051.490.091.25
Total Volume5,315.66722210,1521,3385,248
Total OI66,183.66763,95167,68863,99765,326

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$2.20$2.0099.8%22.6%46.9%41.8%0.0%-0.4%-15.5%26.8K-3.5M-33.4K0.0975.641,22910942,53321,464
2015-08-04$2.20$2.0092.5%24.4%46.5%38.6%86.1%33.6%-44.9%28.2K-3.5M-33.9K0.7115.484,3643,08143,59821,559
2015-08-05$2.10$2.0089.6%25.1%43.2%37.4%85.9%5.1%3.7%23.4K-3.0M-32.7K1.0413.442,9343,05444,81321,559
2015-08-06$2.04$1.50118.3%25.1%40.3%49.8%83.5%-10.9%11.2%26.4K-2.9M-31.6K1.0628.352,7992,98145,25621,562
2015-08-07$2.35$2.00120.3%29.6%66.6%50.7%83.1%-10.1%79.9%28.2K-3.2M-29.0K0.43166.937,1023,05045,45121,676
2015-08-10$2.36$2.0078.8%21.3%66.6%28.3%62.9%-7.4%-6.5%44.3K-4.4M-34.8K1.1324.432,5982,93445,06021,578
2015-08-11$2.29$2.0074.4%21.7%66.1%26.3%76.7%-11.0%-4.4%34.5K-4.0M-34.8K0.0529.382121045,42421,578
2015-08-12$2.34$2.0090.4%22.7%64.0%33.7%78.8%76.6%-16.3%45.3K-4.1M-34.9K1.3025.722,6113,39745,50221,588
2015-08-13$2.31$2.0081.9%22.0%63.1%29.7%68.4%10.9%-6.4%36.6K-3.9M-34.0K1.3913.872,4333,38545,52821,767
2015-08-14$2.35$2.0075.1%20.0%63.3%26.6%68.9%25.4%-16.6%38.2K-4.2M-34.8K1.4920.252,2713,38045,73921,775
2015-08-17$2.32$2.0076.0%21.5%63.4%27.0%73.5%6.0%-1.6%38.0K-4.0M-33.8K1.4520.422,3323,38744,88921,777
2015-08-18$2.24$2.0076.0%22.0%64.5%27.0%71.8%7.0%-26.8%30.2K-3.5M-33.0K1.4520.952,3313,39045,08921,787
2015-08-19$2.17$2.0074.0%21.2%65.0%26.1%78.1%-5.5%19.2%27.3K-3.2M-31.1K0.0520.515893045,17421,801
2015-08-20$2.04$2.0087.1%24.0%66.8%32.2%88.0%-1.7%12.4%23.5K-2.9M-30.5K1.3235.422,3173,05745,72821,831
2015-08-21$2.04$2.0087.0%24.1%66.0%32.1%83.4%-15.2%5.9%19.7K-2.6M-30.7K1.1121.142,7503,05745,90321,785
2015-08-24$1.98$2.0087.7%24.2%66.7%32.4%86.1%-15.1%4.9%17.8K-2.6M-30.0K1.1957.482,4922,97542,70221,249
2015-08-25$1.98$2.0074.2%23.6%66.7%26.2%85.2%-49.9%1.7%18.5K-2.7M-30.2K0.9350.383,1622,95542,91121,355
2015-08-26$1.88$2.0079.1%17.5%68.6%28.5%68.3%3.5%5.3%16.9K-2.3M-29.7K0.9223.203,2022,93543,71221,375
2015-08-27$2.10$2.0096.3%24.9%80.2%36.4%88.4%18.6%-34.3%21.7K-3.0M-32.1K1.1126.212,6512,94443,73021,377
2015-08-28$2.23$2.00105.8%21.8%82.4%40.8%101.0%32.9%-5.2%23.6K-3.5M-33.0K0.9950.172,9662,92543,96721,379
2015-08-31$2.21$2.0085.8%19.1%81.9%31.6%79.8%23.5%-14.2%27.4K-3.6M-33.2K1.2518.522,3352,91344,02821,298