AMRN Options History — September 2015

In September 2015, AMRN traded between $1.93 and $2.46. ATM implied volatility averaged 91.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 22.5% (HV 20d: 69.0%). 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 11 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-09-03: Highest Volume — 23,091 contracts
  • 2015-09-24: Largest IV spike — 43.3% change
  • 2015-09-25: Highest IV Rank — 51.6%
  • 2015-09-17: Largest Expected Move — 31.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.29$1.93$2.46$2.12$1.93
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV91.5%63.6%129.1%87.4%81.0%
Expected Move22.2%17.2%31.0%23.8%18.9%
HV 20d69.0%53.1%87.6%83.3%55.9%
HV 60d62.2%60.4%63.0%61.3%62.8%
IV Rank34.2%21.3%51.6%32.3%29.3%
IV Percentile31.0%1.6%86.1%22.2%14.3%
Term Structure4.0%-26.6%39.9%2.0%18.7%
VWIV80.7%64.7%114.6%100.7%71.6%
Skew 25d14.3%-85.2%59.5%5.5%13.5%
Skew 10d11.7%-88.4%78.2%9.6%16.2%
Call IV 25d83.5%65.9%122.1%78.2%83.1%
Put IV 25d97.8%19.7%152.5%83.6%96.6%
Bid-Ask Spread %46.0014.03159.5429.5735.09
Gamma HHI0.290.200.460.210.24
Net GEX40.2K21.8K75.7K23.5K21.8K
Net DEX-4.8M-6.1M-3.0M-3.3M-3.0M
Net VEX-40.6K-44.8K-31.5K-32.0K-35.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.001.301.260.35
Total Volume6,385.71435423,0915,4944,031
Total OI78,629.1965,42083,97565,42079,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$2.12$2.0087.4%23.8%83.3%32.3%100.7%5.5%2.0%23.5K-3.3M-32.0K1.2629.572,4353,05944,11321,307
2015-09-02$2.32$2.0097.3%22.6%87.6%36.9%82.1%-85.2%19.8%28.2K-4.0M-31.5K0.6455.684,7423,05544,21321,456
2015-09-03$2.28$2.00105.6%24.0%87.1%40.7%84.6%38.2%39.9%34.0K-4.1M-32.8K0.5395.1315,0648,02745,85721,474
2015-09-04$2.34$2.0092.4%23.4%71.4%34.6%96.1%20.1%24.7%39.0K-5.2M-41.6K0.9585.238,4848,01956,23626,459
2015-09-08$2.38$2.0083.6%24.2%71.6%30.5%0.0%9.4%-8.3%43.7K-5.6M-42.6K0.0039.72354055,92226,408
2015-09-09$2.35$2.0073.6%22.7%70.9%25.9%76.5%10.8%-3.0%45.0K-5.5M-44.3K1.0022.673,0243,03956,02126,408
2015-09-10$2.40$2.0083.9%22.5%70.9%30.7%78.2%49.4%-16.2%49.2K-5.5M-44.8K1.0926.312,8053,05956,06426,308
2015-09-11$2.45$2.0076.4%20.7%71.0%27.2%75.1%36.2%1.7%58.1K-6.1M-44.0K1.1427.842,6313,01056,41226,328
2015-09-14$2.42$2.0082.5%21.9%71.0%30.1%76.0%-6.4%2.0%61.4K-5.8M-44.4K1.0323.132,8922,97556,72026,351
2015-09-15$2.37$2.0063.6%17.8%71.3%21.3%0.0%-9.8%21.6%70.4K-5.7M-43.1K0.0636.474632757,12426,346
2015-09-16$2.45$2.0076.0%21.8%70.8%27.1%77.1%-7.1%-7.6%75.7K-5.9M-43.6K1.0123.732,9943,02257,31626,301
2015-09-17$2.42$2.00103.0%31.0%69.8%39.5%114.6%-0.8%-25.2%32.1K-5.6M-43.0K1.01159.543,0183,03457,33626,326
2015-09-18$2.46$2.0075.3%21.8%65.2%26.7%77.3%3.7%-7.5%36.6K-5.7M-44.0K0.9324.483,3203,07957,63726,338
2015-09-21$2.35$2.0072.0%18.5%68.0%25.2%65.5%59.5%10.9%34.2K-5.0M-42.6K0.8930.143,4253,04450,27825,333
2015-09-22$2.31$2.0084.4%19.3%67.2%30.9%65.0%24.8%23.3%37.6K-4.9M-42.5K0.9814.033,1653,10451,85125,481
2015-09-23$2.29$2.0089.2%17.2%67.4%33.1%64.7%15.7%36.8%35.9K-4.8M-42.1K1.3018.662,4013,12252,10925,541
2015-09-24$2.25$2.00127.7%23.7%64.5%50.9%73.3%33.1%-4.6%33.6K-4.6M-41.5K0.4427.762,3351,01952,17725,695
2015-09-25$2.19$2.00129.1%19.8%53.2%51.6%71.8%55.0%-5.1%32.0K-4.2M-41.0K0.3764.312,8841,06952,21425,700
2015-09-28$2.06$2.00122.1%23.5%53.1%48.3%82.7%20.8%-26.6%27.6K-3.6M-38.3K0.4278.132,8101,18152,60625,749
2015-09-29$1.93$2.00115.6%28.1%57.4%45.3%99.5%14.1%-14.0%24.3K-3.1M-36.6K0.3248.323,6981,18152,95225,660
2015-09-30$1.93$2.0081.0%18.9%55.9%29.3%71.6%13.5%18.7%21.8K-3.0M-35.8K0.3535.092,9951,03653,42625,660