AMRN Options History — June 2016

In June 2016, AMRN traded between $1.98 and $2.31. ATM implied volatility averaged 101.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 43.8% (HV 20d: 58.0%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-06-29: Highest Volume — 9,291 contracts
  • 2016-06-21: Largest IV spike — 46.9% change
  • 2016-06-28: Highest IV Rank — 57.2%
  • 2016-06-09: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.14$1.98$2.31$2.06$2.15
Max Pain$1.75$1.50$2.00$1.50$2.00
ATM IV101.8%72.8%131.7%122.7%114.9%
Expected Move24.8%20.5%30.9%24.3%24.5%
HV 20d58.0%41.3%76.1%75.3%41.3%
HV 60d55.9%53.5%60.8%59.2%55.9%
IV Rank42.7%28.7%57.2%52.8%49.0%
IV Percentile51.0%6.7%85.7%77.0%67.5%
Term Structure0.9%-32.1%56.5%2.5%-16.4%
VWIV87.4%66.7%111.3%83.8%95.1%
Skew 25d3.0%-43.8%73.2%6.6%-43.8%
Skew 10d-5.9%-58.1%33.8%-35.2%-38.6%
Call IV 25d96.2%38.8%159.1%102.5%118.4%
Put IV 25d99.2%72.1%147.0%109.1%74.6%
Bid-Ask Spread %74.4424.04157.24132.27157.24
Gamma HHI0.300.260.350.300.30
Net GEX40.0K20.9K54.1K41.4K54.1K
Net DEX-2.5M-3.4M-1.5M-2.3M-2.6M
Net VEX-28.1K-30.2K-25.2K-25.2K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.181.580.560.44
Total Volume4,642.6823,1639,2915,5764,514
Total OI62,806.90954,89169,24959,85269,249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$2.06$1.50122.7%24.3%75.3%52.8%83.8%6.6%2.5%41.4K-2.3M-25.2K0.56132.273,5781,99844,42615,426
2016-06-02$2.22$1.50100.4%20.5%76.1%42.0%77.6%33.4%1.2%47.0K-2.9M-27.9K0.5063.304,0052,01344,90515,447
2016-06-03$2.25$1.50110.3%23.5%67.0%46.8%86.0%-6.0%1.8%49.8K-3.1M-28.2K1.1294.061,9342,16346,37715,462
2016-06-06$2.28$1.50106.3%28.2%56.5%44.8%86.4%-27.7%8.9%51.0K-3.4M-28.3K1.5843.221,6132,54446,46215,488
2016-06-07$2.31$1.50100.3%23.8%54.1%42.0%77.9%-20.3%4.1%50.5K-3.3M-30.2K0.7954.092,1041,65446,54816,981
2016-06-08$2.27$1.5095.3%23.9%54.5%39.5%84.0%-5.5%-6.0%47.4K-3.2M-29.7K0.8751.141,7931,55346,68017,091
2016-06-09$2.22$1.50122.0%30.9%54.2%52.5%96.5%55.7%-14.5%45.6K-2.9M-29.3K0.6040.082,9031,75146,70917,205
2016-06-10$2.12$1.50107.1%25.6%58.2%45.2%111.3%-8.3%-22.4%43.6K-2.8M-28.3K0.6452.922,8021,79947,44017,518
2016-06-13$2.13$1.5083.5%21.8%58.2%33.8%80.5%-11.7%21.9%24.0K-2.6M-27.7K0.6329.492,8571,81047,99817,738
2016-06-14$2.13$1.5096.6%25.2%57.4%40.2%86.0%7.4%7.9%45.3K-2.8M-29.1K0.6461.232,8361,81048,45318,045
2016-06-15$2.11$1.5077.1%22.1%57.9%30.8%94.8%2.4%41.7%45.7K-2.5M-27.9K0.66146.092,7751,82048,55618,095
2016-06-16$2.13$2.0086.7%25.6%57.6%35.4%94.9%-0.3%-32.1%23.2K-2.6M-28.3K0.8277.802,8952,36548,61818,110
2016-06-17$2.06$2.0088.6%24.0%59.7%36.3%87.4%-24.6%-0.7%20.9K-2.5M-27.4K0.7038.402,6881,89548,65418,660
2016-06-20$2.09$2.0072.8%21.7%59.5%28.7%77.9%-8.1%15.2%22.6K-1.7M-27.4K0.7824.041,8861,46537,68317,208
2016-06-21$2.07$2.00107.0%28.1%57.2%45.2%109.0%11.1%-21.9%22.5K-1.5M-26.9K0.2631.435,0911,34538,22217,445
2016-06-22$2.06$2.00127.0%30.5%57.3%54.9%89.8%32.0%-12.1%31.2K-1.7M-26.5K0.3887.973,5541,33541,46917,490
2016-06-23$2.10$2.0095.8%24.3%57.5%39.8%80.5%-24.5%-3.4%40.5K-2.2M-27.8K0.75139.671,8871,40643,27817,500
2016-06-24$2.01$2.00102.6%28.7%59.4%43.1%92.3%-0.3%-15.3%36.5K-1.9M-27.7K0.9797.101,8771,81743,77717,596
2016-06-27$1.98$2.00104.6%26.0%59.6%44.1%90.6%73.2%56.5%37.7K-1.7M-26.2K1.00138.591,7721,77844,19518,069
2016-06-28$2.12$2.00131.7%21.2%48.8%57.2%72.9%-12.1%-17.3%50.6K-2.3M-28.7K0.6733.831,8901,27344,41718,148
2016-06-29$2.17$2.0086.9%21.2%49.2%35.5%66.7%38.3%21.0%49.7K-2.7M-29.2K0.1843.687,9051,38644,76418,150
2016-06-30$2.15$2.00114.9%24.5%41.3%49.0%95.1%-43.8%-16.4%54.1K-2.6M-29.3K0.44157.243,1381,37651,03618,213