AMRN Options History — November 2015

In November 2015, AMRN traded between $1.93 and $2.12. ATM implied volatility averaged 83.8%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 34.9% (HV 20d: 48.9%). Max pain ranged from $1.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-11-30: Highest Volume — 9,845 contracts
  • 2015-11-11: Largest IV spike — 37.8% change
  • 2015-11-05: Highest IV Rank — 60.5%
  • 2015-11-03: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.02$1.93$2.12$2.03$2.08
Max Pain$2.35$1.50$2.50$1.50$2.50
ATM IV83.8%68.5%106.9%104.3%77.8%
Expected Move23.3%19.7%28.0%27.7%26.7%
HV 20d48.9%44.9%53.4%45.5%46.2%
HV 60d53.1%44.7%56.7%55.1%44.7%
IV Rank44.8%34.5%60.5%58.5%40.8%
IV Percentile21.9%2.0%59.9%54.8%11.5%
Term Structure1.4%-58.8%47.2%-29.6%47.2%
VWIV75.3%55.8%101.8%95.9%101.8%
Skew 25d3.4%-33.3%72.9%31.6%24.8%
Skew 10d4.0%-32.9%109.0%40.7%-32.9%
Call IV 25d77.8%56.4%125.4%80.7%69.4%
Put IV 25d81.1%59.9%129.3%112.4%94.1%
Bid-Ask Spread %24.5314.3391.1322.4291.13
Gamma HHI0.260.220.300.290.28
Net GEX30.5K22.9K36.8K28.5K29.9K
Net DEX-3.3M-4.1M-2.8M-3.2M-3.5M
Net VEX-32.6K-35.2K-30.7K-34.0K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.131.220.710.13
Total Volume3,907.41739,8455,6919,845
Total OI84,193.981,61086,16382,15081,867

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$2.03$1.50104.3%27.7%45.5%58.5%95.9%31.6%-29.6%28.5K-3.2M-34.0K0.7122.423,3362,35556,58225,568
2015-11-03$2.04$1.5086.0%28.0%45.5%46.1%96.3%-11.0%-0.9%36.0K-3.7M-35.1K0.9715.002,4882,40557,69625,887
2015-11-04$1.97$1.5099.6%22.4%46.4%55.3%79.3%4.6%26.1%35.6K-3.3M-33.7K0.5526.662,3431,29958,20526,012
2015-11-05$1.98$2.50106.9%23.2%45.8%60.5%62.1%-33.3%-0.3%36.5K-3.0M-33.3K0.4519.242,8321,26158,08126,011
2015-11-06$2.04$2.5090.2%23.4%46.3%49.2%0.0%-8.6%-26.4%30.4K-3.5M-34.0K0.1727.034878458,58225,994
2015-11-09$2.11$2.5072.1%23.5%44.9%36.9%72.0%7.9%12.0%34.5K-4.1M-35.0K0.5619.561,35676057,56725,877
2015-11-10$2.07$2.5068.5%23.9%45.1%34.5%71.2%-10.0%18.9%34.4K-3.9M-34.8K0.5222.293,2651,68658,63226,403
2015-11-11$2.12$2.5094.4%22.6%45.7%52.0%70.4%-0.6%-8.1%36.8K-4.0M-35.2K0.5218.663,2651,68659,51126,561
2015-11-12$1.99$2.5078.0%22.7%51.3%40.9%78.6%-14.3%1.5%30.6K-3.3M-32.9K0.5616.992,8751,60959,50326,561
2015-11-13$2.01$2.5089.0%23.8%51.4%48.4%70.5%25.0%-3.8%32.0K-3.3M-33.4K0.5020.413,2081,60359,59926,564
2015-11-16$1.93$2.5083.8%24.1%53.4%44.8%76.6%-0.4%-2.1%28.1K-3.0M-31.0K0.4123.521235059,34426,358
2015-11-17$1.93$2.5072.9%20.8%52.6%37.5%72.6%-6.7%17.3%28.9K-2.8M-31.0K0.6126.872,8001,69659,41626,403
2015-11-18$1.96$2.5080.0%22.9%52.9%42.3%71.3%-8.3%26.9%29.3K-2.8M-31.4K0.5525.622,8991,60459,45326,360
2015-11-19$2.00$2.5080.3%23.2%52.7%42.5%63.4%13.1%-2.1%31.5K-3.0M-31.3K0.5517.082,9931,63259,45126,408
2015-11-20$1.96$2.5078.0%21.9%53.2%40.9%62.9%-9.3%-2.1%23.7K-2.9M-31.4K0.7220.482,8692,06059,55626,421
2015-11-23$1.98$2.5084.9%21.0%52.2%45.6%79.7%-26.5%-58.8%22.9K-3.0M-30.7K0.3918.881,30251055,92525,685
2015-11-24$1.99$2.5078.0%22.1%52.0%40.9%77.1%10.4%33.8%25.5K-2.9M-30.7K1.1518.3514817056,67625,425
2015-11-25$2.07$2.5072.0%21.6%48.1%36.9%73.9%72.9%-9.7%27.6K-3.3M-31.4K1.2226.101,7682,15056,16225,595
2015-11-27$2.11$2.5078.9%19.7%46.0%41.6%55.8%6.2%-12.2%27.7K-3.6M-31.4K0.9014.331,7521,57456,38225,595
2015-11-30$2.08$2.5077.8%26.7%46.2%40.8%101.8%24.8%47.2%29.9K-3.5M-31.2K0.1391.138,7321,11356,26825,599