AMRN Options History — April 2016

In April 2016, AMRN traded between $1.58 and $1.90. ATM implied volatility averaged 115.8%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 25.2%. IV traded above realized volatility by 70.5% (HV 20d: 45.3%). Max pain ranged from $1.50 to $1.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2016-04-07: Highest Volume — 4,687 contracts
  • 2016-04-28: Largest IV spike — 36.1% change
  • 2016-04-29: Highest IV Rank — 75.1%
  • 2016-04-04: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.75$1.58$1.90$1.58$1.83
Max Pain$1.50$1.50$1.50$1.50$1.50
ATM IV115.8%83.8%168.7%124.1%168.7%
Expected Move25.2%18.8%31.2%19.7%18.8%
HV 20d45.3%32.7%61.2%60.9%35.0%
HV 60d57.9%53.8%61.2%61.2%53.8%
IV Rank49.5%34.0%75.1%53.5%75.1%
IV Percentile66.1%23.8%93.3%80.2%93.3%
Term Structure0.9%-34.6%73.8%-11.6%-32.8%
VWIV87.4%60.4%104.7%60.4%75.1%
Skew 25d15.5%-16.7%69.9%13.7%-16.7%
Skew 10d17.6%-67.3%95.0%7.4%-27.7%
Call IV 25d102.2%77.1%174.5%84.8%174.5%
Put IV 25d117.7%86.5%187.4%98.5%157.8%
Bid-Ask Spread %56.1021.51143.1369.1453.20
Gamma HHI0.360.310.480.320.48
Net GEX36.5K25.0K55.4K25.0K55.4K
Net DEX-2.0M-2.4M-1.4M-1.4M-2.4M
Net VEX-24.0K-25.8K-21.2K-21.2K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.290.490.290.44
Total Volume3,7923,0474,6874,1573,483
Total OI59,112.42957,01860,64157,01860,641

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$1.58$1.50124.1%19.7%60.9%53.5%60.4%13.7%-11.6%25.0K-1.4M-21.2K0.2969.143,22193643,43513,583
2016-04-04$1.59$1.50125.6%31.2%60.3%54.2%101.2%21.6%-13.3%27.1K-1.6M-22.0K0.3272.583,1391,01643,92913,541
2016-04-05$1.58$1.50105.6%25.2%60.0%44.5%89.3%-10.0%18.7%27.9K-1.5M-21.7K0.3256.423,4191,10544,04113,730
2016-04-06$1.60$1.50130.0%23.0%59.9%56.3%89.8%69.9%73.8%28.0K-2.0M-23.4K0.42141.902,9311,24544,39113,837
2016-04-07$1.71$1.50134.6%26.4%61.2%58.6%96.6%56.5%68.5%27.4K-1.6M-23.1K0.3467.453,5021,18544,43713,987
2016-04-08$1.72$1.50141.2%30.0%57.0%61.8%97.1%56.3%-9.6%34.0K-2.0M-24.0K0.4641.322,7671,28545,31514,027
2016-04-11$1.72$1.50127.7%29.2%54.5%55.2%93.0%10.6%-19.2%33.6K-1.9M-23.8K0.4621.512,7671,28445,23214,252
2016-04-12$1.71$1.50128.5%24.1%54.5%55.6%85.9%8.3%-22.7%30.8K-1.9M-23.8K0.4729.062,5041,18445,50214,302
2016-04-13$1.73$1.50131.3%27.7%47.0%57.0%91.1%-6.6%-11.1%29.8K-2.2M-24.4K0.4968.502,4121,18445,65614,302
2016-04-14$1.77$1.50105.2%21.7%44.7%44.3%74.7%28.8%-23.0%34.0K-2.2M-24.7K0.4523.552,4461,09745,91514,302
2016-04-15$1.74$1.50121.0%30.0%40.3%52.0%87.4%26.8%-26.8%38.2K-2.4M-24.2K0.3746.003,2301,19046,16814,319
2016-04-18$1.78$1.50106.2%28.6%39.5%44.8%104.7%0.4%13.4%32.2K-2.1M-24.6K0.4334.522,5101,07543,32513,974
2016-04-19$1.76$1.5083.8%24.0%35.5%34.0%84.2%3.8%18.3%36.1K-2.0M-24.3K0.4134.412,4861,00944,03814,154
2016-04-20$1.76$1.5089.2%25.6%35.2%36.6%90.3%12.2%24.8%34.8K-2.0M-24.8K0.4150.612,4331,00944,47514,332
2016-04-21$1.84$1.50100.8%28.3%34.0%42.2%98.7%12.5%13.7%37.7K-2.3M-25.5K0.3430.282,79495944,64714,342
2016-04-22$1.89$1.5084.1%22.8%34.1%34.1%79.7%-1.6%16.0%45.7K-2.2M-25.8K0.3727.792,60696144,98114,388
2016-04-25$1.90$1.5097.3%25.7%32.7%40.5%90.8%29.3%-34.6%46.5K-2.2M-25.4K0.4665.252,09495345,09914,393
2016-04-26$1.85$1.50107.8%23.5%34.8%45.6%83.9%0.7%14.5%44.9K-2.2M-25.3K0.4123.252,5491,05645,32014,395
2016-04-27$1.85$1.5092.7%21.5%35.0%38.3%77.4%-9.1%-10.7%47.8K-1.6M-22.7K0.49143.132,1711,06145,82714,500
2016-04-28$1.87$1.50126.2%21.4%35.0%54.5%83.3%19.2%-28.3%50.1K-2.0M-24.7K0.4678.302,3131,06145,81714,510
2016-04-29$1.83$1.50168.7%18.8%35.0%75.1%75.1%-16.7%-32.8%55.4K-2.4M-25.0K0.4453.202,4221,06145,96114,680