AMRN Options History — July 2016

In July 2016, AMRN traded between $2.15 and $2.65. ATM implied volatility averaged 107.5%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 73.4% (HV 20d: 34.1%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-07-29: Highest Volume — 10,493 contracts
  • 2016-07-08: Largest IV spike — 32.4% change
  • 2016-07-01: Highest IV Rank — 57.8%
  • 2016-07-21: Largest Expected Move — 33.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.29$2.15$2.65$2.18$2.65
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV107.5%87.8%133.1%133.1%90.4%
Expected Move24.3%15.6%33.7%17.6%28.4%
HV 20d34.1%14.9%41.3%41.3%38.8%
HV 60d53.7%51.8%54.6%54.4%54.6%
IV Rank45.4%35.9%57.8%57.8%37.2%
IV Percentile57.0%31.0%85.7%85.7%33.7%
Term Structure-2.0%-89.0%40.6%-13.4%34.2%
VWIV89.9%71.8%121.6%72.7%121.6%
Skew 25d7.3%-70.5%130.3%38.2%1.3%
Skew 10d-14.3%-85.2%91.6%16.8%-2.5%
Call IV 25d112.5%65.1%168.1%103.1%110.0%
Put IV 25d119.9%77.1%195.4%141.3%111.3%
Bid-Ask Spread %63.2319.48151.1691.54122.48
Gamma HHI0.420.310.510.340.45
Net GEX53.6K36.6K68.9K67.7K68.9K
Net DEX-3.2M-4.8M-2.7M-3.1M-4.8M
Net VEX-31.4K-36.8K-28.8K-31.2K-36.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.221.320.730.22
Total Volume4,292.93,19410,4933,25910,493
Total OI72,257.6569,55776,91070,66673,491

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$2.18$2.00133.1%17.6%41.3%57.8%72.7%38.2%-13.4%67.7K-3.1M-31.2K0.7391.541,8791,38052,50018,166
2016-07-05$2.17$2.00108.4%22.1%40.9%45.9%111.5%-23.2%7.9%39.2K-3.4M-29.2K0.7665.161,8141,38052,63518,170
2016-07-06$2.15$2.00118.6%25.8%40.6%50.8%92.8%-39.7%-9.1%63.6K-3.0M-29.8K0.6739.851,9611,31152,65718,170
2016-07-07$2.17$2.0090.1%18.3%40.5%37.0%72.5%-70.5%8.8%62.6K-2.7M-28.8K1.3242.461,6812,22452,55918,200
2016-07-08$2.19$2.00119.3%25.0%40.0%51.2%88.0%-17.7%-1.3%63.5K-3.0M-29.9K1.2636.511,7972,26852,62319,142
2016-07-11$2.19$2.0096.6%24.5%36.2%40.2%88.6%22.1%11.9%64.6K-3.2M-29.9K0.5619.482,5531,43752,78819,167
2016-07-12$2.23$2.00112.6%25.5%36.6%47.9%94.5%19.5%-15.3%62.3K-3.3M-30.9K0.4541.683,1301,41053,45019,410
2016-07-13$2.24$2.00126.8%26.0%36.6%54.8%95.3%35.0%-19.3%36.6K-3.5M-30.4K0.2480.645,9991,44954,00219,578
2016-07-14$2.26$2.00104.8%26.0%36.4%44.2%98.7%74.7%-31.1%43.3K-3.9M-31.8K0.5782.792,9391,68556,47919,649
2016-07-15$2.29$2.00116.8%18.7%36.5%49.9%71.8%12.2%-89.0%39.1K-3.6M-31.1K0.6442.132,7151,73256,79620,114
2016-07-18$2.32$2.0087.8%24.6%33.9%35.9%83.9%-8.6%34.3%48.4K-2.8M-32.0K0.5193.892,4781,27350,23419,323
2016-07-19$2.29$2.0093.0%26.6%34.4%38.4%97.8%-2.2%26.1%45.3K-2.9M-32.0K0.3781.193,3811,26150,78719,392
2016-07-20$2.32$2.0091.3%26.2%34.1%37.6%83.5%-3.4%40.6%48.8K-2.9M-32.8K0.5830.602,2481,29651,91019,463
2016-07-21$2.33$2.00115.5%33.7%33.9%49.3%89.4%3.9%24.7%49.8K-3.0M-32.6K0.6460.812,0221,29652,23719,481
2016-07-22$2.34$2.0092.0%24.5%33.5%38.0%79.5%-3.8%3.0%51.4K-2.8M-32.3K0.6553.622,0041,29952,56919,481
2016-07-25$2.38$2.00104.9%24.5%28.2%44.2%84.6%-30.4%11.3%54.7K-2.8M-31.8K0.5142.042,3081,16952,58919,428
2016-07-26$2.36$2.00117.9%25.8%27.6%50.5%89.4%-0.9%-31.8%53.1K-2.8M-31.5K0.5331.062,2321,18153,14519,456
2016-07-27$2.37$2.00125.5%25.9%16.3%54.2%91.7%130.3%-20.5%54.9K-3.0M-32.4K0.5255.482,2631,18353,37619,475
2016-07-28$2.38$2.00103.9%15.6%14.9%43.7%89.6%9.4%-11.2%53.5K-4.3M-30.9K0.56151.162,3961,33153,60619,455
2016-07-29$2.65$2.0090.4%28.4%38.8%37.2%121.6%1.3%34.2%68.9K-4.8M-36.8K0.22122.488,5851,90853,88819,603