AMRN Options History — January 2016

In January 2016, AMRN traded between $1.40 and $1.84. ATM implied volatility averaged 126.6%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded above realized volatility by 77.6% (HV 20d: 49.0%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.26.

Notable Days

  • 2016-01-04: Highest Volume — 16,533 contracts
  • 2016-01-28: Largest IV spike — 371.9% change
  • 2016-01-04: Highest IV Rank — 100.0%
  • 2016-01-12: Largest Expected Move — 34.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.58$1.40$1.84$1.81$1.42
Max Pain$1.97$1.50$2.00$2.00$1.50
ATM IV126.6%13.7%207.4%207.4%105.0%
Expected Move28.0%21.6%34.5%26.5%30.1%
HV 20d49.0%39.9%59.2%49.3%59.2%
HV 60d48.2%45.4%51.7%45.4%50.3%
IV Rank57.7%0.0%100.0%100.0%47.2%
IV Percentile61.7%0.0%100.0%100.0%57.1%
Term Structure-22.1%-123.2%71.5%-14.8%4.8%
VWIV105.3%75.3%133.1%98.0%133.1%
Skew 25d-0.9%-80.9%69.4%14.0%-27.6%
Skew 10d2.1%-39.7%72.3%59.1%-39.7%
Call IV 25d112.9%70.0%181.0%105.1%125.2%
Put IV 25d111.9%48.2%250.4%119.1%97.5%
Bid-Ask Spread %54.1320.76146.2586.5352.14
Gamma HHI0.290.210.380.210.27
Net GEX12.3K-5.8K39.4K4.5K11.0K
Net DEX-1.3M-3.1M-329.6K-1.1M-1.3M
Net VEX-21.3K-24.0K-17.7K-21.4K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.040.770.040.68
Total Volume7,8292,18716,53316,5333,396
Total OI78,181.36852,150108,84679,22156,552

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$1.81$2.00207.4%26.5%49.3%100.0%98.0%14.0%-14.8%4.5K-1.1M-21.4K0.0486.5315,86367055,01024,211
2016-01-05$1.84$2.00119.3%28.2%49.6%53.6%100.1%3.0%22.1%39.4K-2.0M-23.6K0.4858.601,47371466,64324,371
2016-01-06$1.74$2.00192.3%30.5%47.8%92.0%87.4%69.4%-52.6%33.7K-1.6M-22.6K0.4366.491,55666967,21224,415
2016-01-07$1.69$2.0098.8%28.2%48.5%42.8%104.0%-80.9%7.0%13.8K-606.3K-18.3K0.7738.747,2355,60467,51324,414
2016-01-08$1.64$2.00193.0%24.4%48.7%92.4%91.7%-0.5%-30.6%15.5K-1.0M-24.0K0.0941.806,33156873,04029,419
2016-01-11$1.55$2.00162.2%27.5%49.6%76.2%118.8%-15.2%-25.6%7.8K-662.1K-21.5K0.0466.5811,70647473,07129,458
2016-01-12$1.55$2.00184.6%34.5%49.1%88.0%131.1%54.9%-41.5%12.7K-828.9K-22.7K0.1035.096,41364878,92429,448
2016-01-13$1.54$2.00182.4%28.9%49.1%86.8%104.5%14.6%-115.1%-4.6K-474.1K-21.7K0.1545.017,4611,11178,93429,426
2016-01-14$1.56$2.0057.5%30.0%44.2%21.1%102.2%-4.7%71.5%-5.8K-527.6K-22.0K0.0822.077,79463979,49729,038
2016-01-15$1.49$2.00176.8%31.3%41.4%83.9%112.3%-30.6%-21.2%13.5K-329.6K-20.5K0.0650.588,01649479,82129,025
2016-01-19$1.43$2.00101.9%29.2%39.9%44.4%113.1%-9.5%55.2%10.2K-1.4M-18.5K0.1163.697,19381239,23412,916
2016-01-20$1.50$2.0096.8%27.8%45.2%41.8%100.0%57.9%-68.3%11.1K-1.2M-20.6K0.1138.447,08081240,27013,416
2016-01-21$1.56$2.00126.3%31.5%48.7%57.3%104.8%6.1%70.8%16.9K-1.5M-21.5K0.2051.776,5751,31740,54713,416
2016-01-22$1.62$2.0078.0%27.0%51.6%31.9%105.5%-13.5%-78.5%12.8K-3.1M-17.7K0.2320.766,8691,57840,83913,777
2016-01-25$1.59$2.0055.5%26.1%50.6%20.0%96.3%-2.9%1.5%15.2K-1.7M-22.7K0.2538.086,6281,67540,94414,082
2016-01-26$1.58$2.00189.4%23.0%50.5%90.5%92.2%-22.3%38.8%9.3K-1.6M-21.9K0.2258.116,3951,41041,14114,186
2016-01-27$1.54$2.0013.7%21.6%50.2%0.0%75.3%-15.8%-123.2%7.0K-2.2M-22.5K0.21146.256,6061,41041,26914,206
2016-01-28$1.40$2.0064.4%25.2%58.4%26.2%130.7%-13.6%-120.9%9.0K-1.4M-20.3K0.6147.782,2031,35341,53514,226
2016-01-29$1.42$1.50105.0%30.1%59.2%47.2%133.1%-27.6%4.8%11.0K-1.3M-19.9K0.6852.142,0181,37842,29814,254