AMRN Options History — May 2016

In May 2016, AMRN traded between $1.53 and $2.08. ATM implied volatility averaged 109.3%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded above realized volatility by 49.2% (HV 20d: 60.1%). 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 12 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2016-05-31: Highest Volume — 5,771 contracts
  • 2016-05-12: Largest IV spike — 72.7% change
  • 2016-05-12: Highest IV Rank — 65.3%
  • 2016-05-18: Largest Expected Move — 42.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.74$1.53$2.08$1.93$2.08
Max Pain$1.50$1.50$1.50$1.50$1.50
ATM IV109.3%38.4%148.4%99.9%38.4%
Expected Move26.7%17.5%42.3%23.3%32.9%
HV 20d60.1%38.6%75.3%38.6%75.3%
HV 60d54.1%48.3%59.2%51.1%59.2%
IV Rank46.3%12.0%65.3%41.7%12.0%
IV Percentile59.2%0.8%91.7%50.8%0.8%
Term Structure12.4%-62.8%79.8%0.4%19.9%
VWIV86.9%65.3%109.7%85.5%92.4%
Skew 25d11.4%-53.8%64.0%14.2%5.5%
Skew 10d18.4%-26.6%56.8%20.9%25.5%
Call IV 25d91.0%63.9%162.1%106.8%102.4%
Put IV 25d102.4%50.9%170.6%121.0%107.9%
Bid-Ask Spread %63.2316.88176.0234.81160.66
Gamma HHI0.330.270.430.430.31
Net GEX26.4K11.7K53.3K53.3K36.2K
Net DEX-1.6M-2.6M-1.0M-2.6M-2.4M
Net VEX-21.9K-25.9K-19.4K-25.9K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.260.670.480.52
Total Volume4,199.9053,1955,7713,3475,771
Total OI60,839.71455,15063,48060,82558,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$1.93$1.5099.9%23.3%38.6%41.7%85.5%14.2%0.4%53.3K-2.6M-25.9K0.4834.812,2641,08346,14114,684
2016-05-03$1.91$1.50113.9%25.0%38.9%48.5%95.1%38.1%-3.3%53.0K-2.6M-25.8K0.4636.622,3561,08346,40014,741
2016-05-04$1.81$1.50122.3%21.0%44.9%52.6%74.8%8.5%19.0%48.1K-2.2M-24.5K0.4739.922,2871,08346,45414,741
2016-05-05$1.66$1.50104.2%34.8%50.1%43.8%100.6%29.1%65.1%34.4K-1.5M-21.3K0.52147.572,0961,09946,76014,741
2016-05-06$1.53$1.50104.6%23.3%57.5%44.1%83.9%-10.3%46.8%22.1K-1.0M-19.4K0.2941.463,7981,11146,93514,803
2016-05-09$1.63$1.50121.9%28.0%62.5%52.4%96.5%50.7%-2.5%14.1K-1.1M-20.1K0.2635.174,2811,11846,81914,769
2016-05-10$1.61$1.50146.8%28.6%62.6%64.5%105.1%14.6%-32.2%16.0K-1.2M-20.5K0.2837.673,9831,09747,79614,823
2016-05-11$1.57$1.5085.9%31.8%62.8%35.0%109.7%-53.8%-14.4%15.8K-1.1M-19.8K0.2735.584,0071,09747,95914,853
2016-05-12$1.56$1.50148.4%25.9%62.0%65.3%91.2%-2.4%-55.2%21.9K-1.3M-19.8K0.3325.323,3611,09748,03114,853
2016-05-13$1.60$1.50129.3%20.8%62.8%56.0%90.3%-10.1%-62.8%11.7K-1.0M-19.5K0.3371.973,3061,09748,03914,853
2016-05-16$1.67$1.50106.6%24.3%64.3%45.0%87.3%17.0%79.8%28.3K-1.3M-20.5K0.3556.043,1741,09748,13614,853
2016-05-17$1.69$1.50100.8%27.1%64.5%42.2%92.3%6.2%72.9%20.5K-1.2M-21.1K0.3416.883,1821,09748,23614,853
2016-05-18$1.68$1.50147.4%42.3%64.5%64.8%92.3%19.9%-22.1%17.0K-1.4M-21.4K0.41145.082,4811,02248,42014,918
2016-05-19$1.68$1.50119.5%30.9%62.1%51.3%87.7%29.5%68.9%18.4K-1.4M-21.6K0.4037.002,5801,02148,54014,918
2016-05-20$1.72$1.50111.2%27.6%61.9%47.2%73.9%20.5%28.3%18.6K-1.3M-20.8K0.3840.153,0651,15148,56214,918
2016-05-23$1.82$1.5094.7%20.4%65.6%39.3%75.7%5.8%-20.8%20.2K-1.5M-21.9K0.3022.383,19794740,78414,366
2016-05-24$1.84$1.50134.3%22.4%65.0%58.4%78.6%10.8%-28.0%24.0K-1.6M-22.2K0.3647.822,61693942,15414,366
2016-05-25$1.86$1.5074.9%17.5%65.2%29.7%65.3%6.9%16.4%26.8K-1.7M-22.5K0.3429.072,78193942,78114,338
2016-05-26$1.82$1.50100.2%21.7%65.5%41.9%76.0%-25.1%37.6%25.6K-1.8M-22.8K0.3590.692,67893942,99014,338
2016-05-27$1.85$1.5089.8%30.4%65.3%36.9%69.9%64.0%47.6%28.9K-1.4M-22.2K0.67176.022,8781,93942,99614,338
2016-05-31$2.08$1.5038.4%32.9%75.3%12.0%92.4%5.5%19.9%36.2K-2.4M-25.6K0.52160.663,7931,97843,29615,338