AMRN Options History — September 2016

In September 2016, AMRN traded between $2.58 and $3.36. ATM implied volatility averaged 115.7%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 28.5%. IV traded above realized volatility by 54.9% (HV 20d: 60.8%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2016-09-12: Highest Volume — 11,949 contracts
  • 2016-09-07: Largest IV spike — 56.9% change
  • 2016-09-07: Highest IV Rank — 75.7%
  • 2016-09-06: Largest Expected Move — 37.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.95$2.58$3.36$2.80$3.18
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV115.7%86.5%170.0%135.5%101.2%
Expected Move28.5%21.2%37.5%30.3%21.2%
HV 20d60.8%47.6%73.2%47.6%68.8%
HV 60d56.2%50.4%59.6%51.0%59.6%
IV Rank49.4%35.3%75.7%59.0%42.4%
IV Percentile57.7%17.9%93.3%87.3%41.7%
Term Structure-8.5%-66.9%45.5%-8.0%4.7%
VWIV102.8%71.2%165.1%139.5%85.4%
Skew 25d8.8%-69.6%55.6%-33.0%-0.1%
Skew 10d17.6%-85.1%112.3%-76.6%112.3%
Call IV 25d114.0%71.4%170.2%170.2%106.8%
Put IV 25d122.8%80.8%163.8%137.3%106.6%
Bid-Ask Spread %102.0858.42157.35123.00143.54
Gamma HHI0.300.230.340.230.30
Net GEX105.0K70.7K141.0K72.0K128.9K
Net DEX-5.5M-10.5M-2.6M-4.3M-7.0M
Net VEX-45.7K-59.5K-38.4K-41.6K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.210.470.240.37
Total Volume7,074.5245,24911,9496,2216,120
Total OI106,976.42997,684118,620100,070104,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$2.80$3.00135.5%30.3%47.6%59.0%139.5%-33.0%-8.0%72.0K-4.3M-41.6K0.24123.005,0281,19373,35226,718
2016-09-02$2.93$3.00143.2%25.4%50.4%62.8%102.8%-26.5%-16.9%82.9K-5.1M-44.1K0.2489.004,8911,16474,77526,699
2016-09-06$2.98$3.00108.4%37.5%49.8%45.9%150.0%-6.5%28.3%93.9K-5.9M-44.3K0.3375.244,7961,58476,12726,693
2016-09-07$3.15$3.00170.0%36.8%51.5%75.7%161.7%41.9%-24.8%102.0K-6.5M-45.9K0.2787.924,8621,32377,23427,137
2016-09-08$3.36$3.00141.4%35.5%56.7%61.9%133.9%19.3%-18.2%138.0K-10.2M-59.5K0.2580.256,5181,62787,77527,251
2016-09-09$3.17$3.00119.8%36.5%54.0%51.4%165.1%-13.7%19.9%131.6K-10.5M-57.4K0.3082.945,4831,65390,07627,352
2016-09-12$2.96$3.00116.9%28.0%59.5%50.0%87.1%26.2%-37.9%126.5K-5.4M-46.6K0.21128.659,8962,05390,05427,381
2016-09-13$2.85$3.00111.9%23.4%59.6%47.6%87.1%-6.0%-52.2%109.2K-4.4M-46.1K0.27113.727,0201,91591,42727,193
2016-09-14$2.74$3.00141.9%28.8%60.7%62.1%93.2%36.5%-33.0%99.6K-4.4M-45.4K0.3058.425,5161,66890,61327,278
2016-09-15$2.72$3.00140.5%24.6%60.7%61.5%104.7%55.6%45.5%76.1K-3.3M-42.2K0.2865.656,5891,83290,80327,319
2016-09-16$2.67$3.00118.7%28.9%60.7%50.9%101.5%39.7%18.3%73.9K-2.8M-40.6K0.30112.556,8632,02690,35227,826
2016-09-19$2.58$3.00107.3%30.7%60.1%45.3%89.3%6.7%-27.5%70.7K-2.9M-39.4K0.3586.904,3181,51973,14824,536
2016-09-20$2.66$3.0089.5%25.3%61.8%36.7%86.2%5.3%19.8%74.6K-3.1M-41.7K0.3370.073,9491,30074,18124,712
2016-09-21$2.73$3.00100.4%28.8%62.7%42.0%76.6%1.1%-44.2%77.2K-2.6M-38.4K0.22157.356,3231,40074,67924,712
2016-09-22$2.72$3.00117.8%34.0%61.9%50.4%75.5%3.5%-66.9%90.1K-3.4M-41.7K0.2499.424,7431,15876,10524,636
2016-09-23$2.95$3.0087.2%23.5%69.2%35.6%83.9%20.5%10.0%108.6K-4.1M-42.6K0.2878.074,1911,17277,16024,665
2016-09-26$3.15$3.0096.3%24.0%73.2%40.0%82.5%42.7%-5.0%134.2K-6.6M-47.6K0.24118.405,7801,37977,47424,678
2016-09-27$3.21$3.0092.8%22.6%73.0%38.3%71.2%-69.6%-0.7%141.0K-6.9M-47.2K0.27106.345,2421,39078,32424,662
2016-09-28$3.22$3.0086.5%24.7%67.3%35.3%85.8%32.6%10.8%137.7K-8.4M-50.4K0.31129.814,7681,49278,62624,773
2016-09-29$3.12$3.00103.4%27.0%68.6%43.5%94.8%9.3%-0.1%136.8K-8.1M-50.7K0.47136.474,6512,17079,11324,790
2016-09-30$3.18$3.00101.2%21.2%68.8%42.4%85.4%-0.1%4.7%128.9K-7.0M-45.4K0.37143.544,4671,65379,25024,846