AMRN Options History — February 2016

In February 2016, AMRN traded between $1.27 and $1.48. ATM implied volatility averaged 130.5%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded above realized volatility by 62.0% (HV 20d: 68.5%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-02-26: Highest Volume — 5,369 contracts
  • 2016-02-02: Largest IV spike — 485.5% change
  • 2016-02-23: Highest IV Rank — 100.0%
  • 2016-02-09: Largest Expected Move — 41.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.37$1.27$1.48$1.41$1.46
Max Pain$1.07$1.00$1.50$1.50$1.00
ATM IV130.5%33.6%220.1%33.6%220.1%
Expected Move31.1%21.3%41.8%31.1%28.3%
HV 20d68.5%56.4%73.0%58.2%64.1%
HV 60d55.2%50.0%57.6%50.3%57.4%
IV Rank59.3%10.3%100.0%10.3%100.0%
IV Percentile62.8%0.8%100.0%0.8%100.0%
Term Structure18.0%-182.7%144.4%86.6%55.2%
VWIV109.2%13.2%153.0%137.4%110.5%
Skew 25d19.7%-61.2%148.7%-32.5%18.1%
Skew 10d19.3%-88.6%165.5%-28.2%28.6%
Call IV 25d103.7%2.0%156.1%134.7%79.1%
Put IV 25d123.4%86.7%171.8%102.2%97.1%
Bid-Ask Spread %57.0930.02165.5157.4552.53
Gamma HHI0.290.270.350.270.28
Net GEX16.5K6.6K26.3K12.7K26.3K
Net DEX-1.1M-1.9M-102.1K-1.9M-1.4M
Net VEX-18.6K-20.9K-16.6K-20.4K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.360.860.650.37
Total Volume3,821.42,6085,3693,2445,296
Total OI57,814.754,57661,42057,04556,875

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$1.41$1.5033.6%31.1%58.2%10.3%137.4%-32.5%86.6%12.7K-1.9M-20.4K0.6557.451,9611,28342,80714,238
2016-02-02$1.38$1.50196.5%33.0%57.3%94.4%130.5%-23.5%-181.8%11.4K-1.3M-19.7K0.7244.651,7931,28443,09714,238
2016-02-03$1.34$1.50103.0%31.4%56.4%46.1%153.0%-61.2%139.4%10.5K-1.1M-19.0K0.7645.421,6421,24943,12314,239
2016-02-04$1.48$1.0089.1%32.3%67.6%38.9%107.3%23.9%91.6%10.1K-1.5M-20.9K0.7535.281,7181,29343,10314,249
2016-02-05$1.37$1.00194.6%35.7%71.6%93.4%118.5%3.4%-14.0%10.2K-1.3M-19.2K0.7146.791,8071,27543,42114,283
2016-02-08$1.30$1.00160.6%39.6%72.9%75.9%128.4%16.8%-62.3%8.7K-1.6M-17.4K0.6735.281,5581,05043,65113,958
2016-02-09$1.29$1.0091.5%41.8%70.9%40.2%98.0%56.4%135.5%6.6K-1.9M-17.3K0.5979.351,7851,05043,79313,958
2016-02-10$1.31$1.00174.5%28.1%71.4%83.0%101.4%33.7%-116.6%11.9K-985.9K-18.0K0.5668.611,9051,06744,03013,958
2016-02-11$1.27$1.00100.6%33.8%71.8%44.9%132.2%67.2%19.7%17.8K-662.5K-16.6K0.8646.861,9021,63944,14513,975
2016-02-12$1.27$1.0073.6%31.9%71.4%31.0%119.7%68.6%49.2%19.5K-494.5K-17.1K0.7956.912,0121,59444,31215,033
2016-02-16$1.32$1.0078.8%23.9%72.2%33.6%80.8%32.4%138.3%16.6K-273.8K-16.7K0.6953.362,3031,59344,33215,047
2016-02-17$1.38$1.0099.1%28.4%73.0%44.1%99.2%-5.2%59.1%19.9K-383.6K-19.0K0.6255.902,5331,56344,62316,038
2016-02-18$1.35$1.00102.9%32.2%70.9%46.1%122.5%48.5%-65.4%22.1K-102.1K-17.2K0.6083.732,4661,47245,05516,038
2016-02-19$1.35$1.00139.7%28.6%69.0%65.0%100.9%17.2%144.4%19.5K-277.3K-17.4K0.5630.022,6251,48245,36816,052
2016-02-22$1.43$1.00173.9%28.1%71.0%82.7%97.8%5.9%-0.8%22.8K-1.2M-19.2K0.4742.373,0101,42043,61510,961
2016-02-23$1.38$1.00217.2%21.3%71.7%100.0%13.2%148.7%-182.7%14.5K-1.4M-18.5K0.42165.513,3891,42044,38510,968
2016-02-24$1.41$1.0058.4%36.1%72.4%22.0%119.3%-5.9%12.8%23.0K-1.8M-19.9K0.4243.423,3981,42045,32910,968
2016-02-25$1.41$1.00116.9%30.3%72.0%50.7%121.2%-19.9%57.8%23.2K-1.4M-19.4K0.4266.163,3721,43045,30610,968
2016-02-26$1.45$1.00185.3%26.4%64.3%84.3%92.5%2.5%-6.4%22.2K-1.1M-18.9K0.3632.143,9491,42045,77210,983
2016-02-29$1.46$1.00220.1%28.3%64.1%100.0%110.5%18.1%55.2%26.3K-1.4M-19.5K0.3752.533,8781,41845,89410,981