AMRN Options History — March 2016

In March 2016, AMRN traded between $1.38 and $1.63. ATM implied volatility averaged 127.8%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 27.1%. IV traded above realized volatility by 71.7% (HV 20d: 56.1%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2016-03-18: Highest Volume — 10,525 contracts
  • 2016-03-17: Largest IV spike — 55.0% change
  • 2016-03-02: Highest IV Rank — 93.5%
  • 2016-03-04: Largest Expected Move — 42.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.51$1.38$1.63$1.48$1.52
Max Pain$1.45$1.00$1.50$1.00$1.50
ATM IV127.8%75.1%206.8%201.1%114.2%
Expected Move27.1%21.5%42.9%31.6%22.8%
HV 20d56.1%40.2%64.2%64.2%59.9%
HV 60d59.0%56.4%61.3%57.3%60.7%
IV Rank55.3%29.8%93.5%90.8%48.7%
IV Percentile70.7%11.1%98.8%98.8%67.9%
Term Structure-5.9%-56.0%86.6%-10.3%-3.5%
VWIV95.7%72.9%128.9%108.4%84.2%
Skew 25d-4.9%-93.5%64.1%-3.5%-9.7%
Skew 10d-0.8%-25.5%73.8%-11.6%-9.1%
Call IV 25d110.1%71.2%238.2%116.9%101.9%
Put IV 25d105.2%78.6%164.7%113.4%92.2%
Bid-Ask Spread %65.3031.71165.19106.4978.34
Gamma HHI0.300.270.390.270.31
Net GEX23.6K16.5K36.6K21.7K22.3K
Net DEX-1.6M-2.5M-1.1M-2.5M-1.5M
Net VEX-20.5K-22.1K-18.3K-18.3K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.100.590.360.39
Total Volume5,324.9093,29910,5255,3473,314
Total OI58,322.31853,43766,43857,18856,894

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$1.48$1.00201.1%31.6%64.2%90.8%108.4%-3.5%-10.3%21.7K-2.5M-18.3K0.36106.493,9291,41846,18711,001
2016-03-02$1.52$1.00206.8%23.3%64.1%93.5%80.4%-12.8%-56.0%25.1K-1.4M-19.9K0.3885.493,8661,47646,29811,001
2016-03-03$1.49$1.50190.8%26.4%63.5%85.8%91.3%-5.9%-11.6%22.8K-1.1M-19.1K0.3679.594,0631,46146,40311,056
2016-03-04$1.53$1.5099.7%42.9%53.7%41.7%118.2%-11.7%-5.7%28.4K-1.4M-20.6K0.4659.793,2391,48446,70111,061
2016-03-07$1.56$1.5090.3%28.0%45.1%37.1%88.9%-25.0%6.1%31.5K-1.6M-20.8K0.5267.383,1481,62946,46711,149
2016-03-08$1.54$1.50101.9%27.1%40.2%42.8%128.9%-25.9%-31.0%28.7K-2.0M-21.4K0.5571.443,1181,70746,98111,299
2016-03-09$1.63$1.50146.2%22.9%43.2%64.2%92.8%52.1%-53.8%36.6K-2.2M-22.1K0.2363.823,10972047,01611,397
2016-03-10$1.54$1.50122.6%32.3%49.5%52.8%102.8%-3.1%-54.9%30.5K-1.6M-20.8K0.1947.313,52067847,58911,434
2016-03-11$1.62$1.50105.4%22.7%49.4%44.4%80.9%64.1%-9.5%16.5K-1.5M-20.7K0.2350.963,45678247,73311,474
2016-03-14$1.61$1.5088.1%23.1%49.7%36.1%82.9%-4.7%31.4%19.3K-1.6M-21.4K0.2235.293,50778247,76111,634
2016-03-15$1.50$1.50102.2%27.3%56.6%42.9%112.2%-34.2%22.4%23.6K-1.6M-20.7K0.1152.138,28289352,88111,777
2016-03-16$1.45$1.5075.1%21.5%56.4%29.8%72.9%-93.5%83.0%23.7K-1.6M-20.4K0.10165.198,72185853,22411,830
2016-03-17$1.38$1.50116.4%27.4%58.8%49.8%94.3%-22.9%86.6%21.3K-1.5M-19.3K0.1331.719,0601,13754,20811,845
2016-03-18$1.43$1.50115.8%27.6%60.0%49.5%97.4%-20.6%41.4%19.5K-1.3M-19.8K0.1659.959,0591,46654,42912,009
2016-03-21$1.52$1.50120.4%30.0%60.5%51.7%99.9%39.6%-35.7%21.3K-1.4M-20.4K0.4260.293,0151,26241,26312,174
2016-03-22$1.51$1.50130.3%28.5%58.9%56.5%102.7%5.5%-17.5%21.7K-1.5M-20.8K0.5132.162,5891,33141,48812,270
2016-03-23$1.46$1.50167.5%27.1%60.0%74.5%95.8%-7.4%-41.3%20.7K-1.6M-20.9K0.5961.162,0791,22042,01012,317
2016-03-24$1.46$1.50128.3%27.8%60.0%55.5%100.1%1.9%-5.7%19.9K-1.5M-20.4K0.5051.612,4251,22042,00812,367
2016-03-28$1.44$1.50123.6%24.5%59.4%53.2%84.8%-19.4%-14.7%19.4K-1.6M-20.1K0.4774.402,6471,24542,31712,325
2016-03-29$1.49$1.50128.4%22.7%60.6%55.6%79.4%0.5%-23.7%21.3K-1.4M-20.4K0.5659.852,9081,61642,58812,867
2016-03-30$1.50$1.50136.5%29.1%60.5%59.5%105.4%29.2%-25.1%23.0K-1.4M-21.1K0.3342.232,78392642,79213,566
2016-03-31$1.52$1.50114.2%22.8%59.9%48.7%84.2%-9.7%-3.5%22.3K-1.5M-21.3K0.3978.342,37893643,31813,576