AMRN Options History — December 2015

In December 2015, AMRN traded between $1.84 and $2.09. ATM implied volatility averaged 107.8%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 61.5% (HV 20d: 46.3%). 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 9 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-12-15: Highest Volume — 4,535 contracts
  • 2015-12-10: Largest IV spike — 115.0% change
  • 2015-12-29: Highest IV Rank — 85.1%
  • 2015-12-10: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.93$1.84$2.09$2.05$1.89
Max Pain$2.05$2.00$2.50$2.50$2.00
ATM IV107.8%56.0%143.4%85.5%137.7%
Expected Move25.4%18.4%29.6%25.9%21.0%
HV 20d46.3%41.8%50.3%42.3%47.8%
HV 60d46.1%44.4%48.9%44.4%44.9%
IV Rank61.1%26.0%85.1%46.0%81.3%
IV Percentile59.3%0.4%96.8%25.8%94.8%
Term Structure2.9%-70.9%76.1%-11.8%36.6%
VWIV91.8%71.1%110.3%102.1%77.2%
Skew 25d5.5%-164.2%149.1%8.7%35.1%
Skew 10d7.5%-136.3%144.0%-6.6%40.8%
Call IV 25d112.5%54.9%194.5%74.0%86.1%
Put IV 25d118.0%30.3%208.4%82.8%121.2%
Bid-Ask Spread %40.2914.2291.4616.6838.31
Gamma HHI0.320.240.410.350.27
Net GEX26.3K5.5K46.6K42.8K10.9K
Net DEX-2.6M-4.0M-1.6M-3.8M-2.2M
Net VEX-25.9K-32.0K-20.1K-31.8K-21.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.001.610.001.04
Total Volume3,280.4096804,5356863,197
Total OI85,362.81876,67090,49987,53480,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$2.05$2.5085.5%25.9%42.3%46.0%102.1%8.7%-11.8%42.8K-3.8M-31.8K0.0016.68686061,88525,649
2015-12-02$2.09$2.5082.0%28.4%42.8%43.6%73.7%-0.6%-4.4%45.4K-4.0M-32.0K1.2921.101,8942,44562,37425,649
2015-12-03$2.04$2.0087.6%29.1%41.8%47.4%90.5%4.7%-10.0%46.6K-3.5M-31.1K0.9720.952,1132,04162,62925,649
2015-12-04$2.00$2.0097.4%26.6%42.4%54.1%90.9%7.3%4.1%42.9K-3.5M-29.8K1.1224.811,7631,97462,72925,699
2015-12-07$1.87$2.00107.7%27.6%47.3%61.0%94.4%26.0%-30.6%31.5K-2.5M-27.2K0.4535.8447021063,07925,569
2015-12-08$1.84$2.00137.6%26.4%45.2%81.3%90.8%149.1%-34.9%29.1K-2.1M-26.5K1.1975.461,6741,99363,21525,779
2015-12-09$1.87$2.0056.0%26.0%45.7%26.0%94.6%-164.2%56.0%20.7K-1.8M-26.1K1.3053.531,5291,99263,48525,758
2015-12-10$1.93$2.00120.3%29.6%46.4%69.6%102.8%-17.1%-25.4%30.0K-2.4M-27.7K1.1018.321,8041,99263,48125,758
2015-12-11$1.87$2.0090.8%28.6%42.3%49.6%110.2%-1.7%4.0%28.0K-2.3M-26.8K1.0214.221,9621,99264,04425,758
2015-12-14$1.86$2.00113.3%27.6%42.0%64.8%95.6%-4.3%47.0%28.8K-2.2M-25.8K1.6138.351,2592,02763,93425,638
2015-12-15$1.96$2.0097.7%26.3%44.1%54.2%110.3%1.2%33.6%31.4K-2.3M-26.4K0.8033.582,5152,02063,99525,513
2015-12-16$2.04$2.0096.7%27.7%46.2%53.6%107.7%0.0%76.1%44.6K-3.2M-27.5K1.1091.461,8462,03064,97325,526
2015-12-17$1.93$2.0098.3%27.2%50.3%54.6%92.3%-20.9%22.9%29.5K-3.2M-22.2K1.2634.311,6502,07564,88725,547
2015-12-18$1.94$2.0090.3%26.6%49.8%49.2%104.9%-26.6%-18.8%16.7K-2.3M-24.7K0.5230.532,0931,09564,84025,547
2015-12-21$1.90$2.00127.1%27.0%49.8%74.1%95.9%-49.5%-29.4%13.8K-2.2M-23.9K0.4260.132,19391953,19223,478
2015-12-22$1.89$2.00101.0%25.6%49.6%56.5%100.9%-33.3%57.2%14.8K-2.1M-24.1K0.3760.211,92471053,97323,449
2015-12-23$1.93$2.00133.5%18.4%50.3%78.5%71.1%55.1%-9.8%20.9K-2.6M-24.1K0.3570.022,29580154,82223,448
2015-12-24$1.92$2.00116.3%20.7%47.9%66.9%72.2%14.2%-10.1%18.7K-2.3M-24.4K0.4148.491,96680155,25423,466
2015-12-28$1.86$2.00131.1%19.7%48.1%76.9%74.2%29.5%-15.9%15.8K-2.0M-23.2K0.8624.101,8911,63355,25223,366
2015-12-29$1.87$2.00143.4%21.3%48.1%85.1%77.8%45.1%-1.6%9.1K-1.6M-23.2K1.0227.781,6071,63355,53824,224
2015-12-30$1.86$2.00119.9%21.4%48.0%69.2%88.6%63.2%-70.9%5.5K-2.3M-20.1K0.9048.221,8221,63355,60724,234
2015-12-31$1.89$2.00137.7%21.0%47.8%81.3%77.2%35.1%36.6%10.9K-2.2M-21.5K1.0438.311,5641,63355,85624,234