AMRN Options History — October 2015

In October 2015, AMRN traded between $1.82 and $2.08. ATM implied volatility averaged 99.6%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 55.1% (HV 20d: 44.4%). 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 11 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-10-22: Highest Volume — 5,264 contracts
  • 2015-10-09: Largest IV spike — 70.3% change
  • 2015-10-12: Highest IV Rank — 53.9%
  • 2015-10-28: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.96$1.82$2.08$1.97$1.92
Max Pain$1.93$1.50$2.50$1.50$1.50
ATM IV99.6%76.7%134.1%101.8%85.8%
Expected Move24.4%15.7%31.3%19.8%26.3%
HV 20d44.4%33.1%48.3%44.6%40.4%
HV 60d60.9%60.0%61.8%61.6%61.4%
IV Rank37.9%27.3%53.9%39.0%31.6%
IV Percentile43.9%10.3%90.5%46.8%23.4%
Term Structure-8.0%-57.4%33.6%-18.9%17.6%
VWIV85.7%56.1%123.9%118.4%91.9%
Skew 25d7.5%-33.9%81.4%0.5%2.7%
Skew 10d6.4%-44.1%33.8%2.0%-1.5%
Call IV 25d83.3%61.0%114.3%93.3%78.7%
Put IV 25d90.8%69.3%156.4%93.8%81.4%
Bid-Ask Spread %33.0717.29163.2440.0721.82
Gamma HHI0.250.230.280.240.26
Net GEX24.3K21.6K27.7K23.2K25.5K
Net DEX-2.9M-3.6M-2.2M-2.9M-2.8M
Net VEX-35.1K-38.7K-31.6K-36.6K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.240.850.300.79
Total Volume4,112.1824945,2644,1194,741
Total OI80,700.31879,12282,85979,28782,859

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$1.97$1.50101.8%19.8%44.6%39.0%118.4%0.5%-18.9%23.2K-2.9M-36.6K0.3040.073,17394653,63625,651
2015-10-02$2.06$1.5097.2%15.7%48.2%36.8%56.1%45.4%2.6%25.6K-3.1M-38.0K0.3172.753,05896053,80625,661
2015-10-05$2.05$2.50115.9%23.2%46.8%45.5%83.1%81.4%-13.8%27.7K-3.3M-38.3K0.2622.4539110354,24225,595
2015-10-06$2.04$2.5084.9%23.3%45.9%31.1%80.0%-8.9%2.5%25.9K-3.4M-37.6K0.2617.893,07181254,54225,687
2015-10-07$1.99$2.50124.6%22.5%46.3%49.5%75.5%-1.7%-49.5%25.6K-3.3M-36.9K0.3422.982,57788354,55725,697
2015-10-08$2.03$2.5076.7%24.0%46.2%27.3%79.5%13.9%2.9%24.3K-3.1M-37.7K0.3221.922,79288354,70225,700
2015-10-09$2.08$2.50130.6%27.4%46.5%52.2%86.8%23.6%-25.0%27.3K-3.6M-38.7K0.3035.462,90988754,88425,700
2015-10-12$1.99$2.50134.1%25.5%48.3%53.9%76.7%3.6%-57.4%23.3K-3.2M-36.2K0.2933.922,89683755,08925,713
2015-10-13$1.96$2.50124.1%18.4%48.1%49.3%66.4%14.0%-57.1%22.1K-2.8M-35.2K0.2734.733,15083755,15425,743
2015-10-14$1.96$2.50120.7%23.4%45.6%47.7%83.8%26.9%-40.6%22.6K-2.8M-35.2K0.2422.263,42483755,58425,743
2015-10-15$1.99$2.5085.5%21.5%46.6%31.4%83.5%6.5%-15.6%21.7K-2.3M-33.6K0.2427.793,43783755,91625,743
2015-10-16$1.98$2.0079.6%21.9%45.6%28.7%63.3%6.3%-10.0%24.7K-3.0M-35.6K0.2424.993,32779155,75325,743
2015-10-19$1.99$1.5078.5%23.1%43.9%28.2%74.0%-12.1%10.4%22.9K-3.0M-34.8K0.6318.802,8171,76953,54725,575
2015-10-20$1.94$1.5084.0%24.1%44.3%30.7%79.7%9.3%17.1%25.4K-2.9M-33.4K0.5417.293,2941,77453,97525,413
2015-10-21$1.93$1.5092.8%26.6%44.3%34.8%85.9%-3.2%-19.5%24.3K-3.1M-34.3K0.5620.533,1121,75254,80125,443
2015-10-22$1.89$1.5092.2%26.5%44.4%34.5%89.9%-10.3%1.7%21.8K-2.9M-33.5K0.5017.883,5121,75255,33525,453
2015-10-23$1.88$1.5091.5%24.9%43.9%34.2%88.8%-3.4%9.2%23.6K-2.9M-34.0K0.6119.942,8771,75255,51825,453
2015-10-26$1.83$1.5092.4%25.2%39.8%34.6%82.4%0.7%-1.6%22.5K-2.4M-32.4K0.7721.852,2511,74255,45825,388
2015-10-27$1.82$1.50121.1%31.2%33.1%47.9%108.3%-11.9%7.9%21.6K-2.2M-31.6K0.8521.212,1371,81355,79125,388
2015-10-28$1.95$1.5095.8%31.3%41.8%36.2%123.9%14.7%33.6%27.4K-2.8M-33.9K0.73163.242,8852,11355,80825,464
2015-10-29$1.88$1.5081.2%30.9%43.1%29.4%107.4%-33.9%27.0%26.0K-3.0M-32.7K0.7827.842,5552,00256,73325,764
2015-10-30$1.92$1.5085.8%26.3%40.4%31.6%91.9%2.7%17.6%25.5K-2.8M-33.0K0.7921.822,6482,09356,98125,878