AMRN Options History — October 2016

In October 2016, AMRN traded between $2.97 and $3.42. ATM implied volatility averaged 101.6%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded above realized volatility by 55.3% (HV 20d: 46.4%). 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 12 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-10-03: Highest Volume — 6,636 contracts
  • 2016-10-05: Largest IV spike — 30.2% change
  • 2016-10-05: Highest IV Rank — 55.8%
  • 2016-10-31: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.16$2.97$3.42$3.20$3.12
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV101.6%87.4%128.8%110.2%103.9%
Expected Move26.5%22.3%31.9%23.8%31.9%
HV 20d46.4%29.4%67.2%67.2%36.4%
HV 60d58.3%51.2%60.9%59.6%52.4%
IV Rank42.6%35.7%55.8%46.8%43.7%
IV Percentile41.4%18.3%80.2%56.3%45.2%
Term Structure11.7%-25.6%115.1%-4.0%4.2%
VWIV93.6%73.9%114.9%81.1%98.2%
Skew 25d12.1%-28.1%55.9%7.4%-3.2%
Skew 10d19.5%-62.2%87.8%-25.4%27.3%
Call IV 25d114.2%85.6%141.3%126.4%137.2%
Put IV 25d126.3%90.2%163.1%133.9%134.0%
Bid-Ask Spread %108.0434.14152.25152.25107.79
Gamma HHI0.330.260.540.310.26
Net GEX114.3K73.3K151.0K145.4K78.1K
Net DEX-6.5M-7.9M-5.0M-7.2M-6.0M
Net VEX-44.2K-50.0K-39.9K-46.3K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.310.620.340.33
Total Volume4,948.194,1536,6366,6365,461
Total OI95,932.04876,380104,674101,34680,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$3.20$3.00110.2%23.8%67.2%46.8%81.1%7.4%-4.0%145.4K-7.2M-46.3K0.34152.254,9551,68176,35324,993
2016-10-04$3.20$3.0099.0%26.2%67.1%41.3%73.9%-12.3%4.6%136.6K-7.4M-46.3K0.41132.654,1801,69777,29524,910
2016-10-05$3.21$3.00128.8%22.3%64.2%55.8%83.6%4.0%37.1%147.3K-7.9M-50.0K0.41126.643,7131,53777,45824,928
2016-10-06$3.15$3.00108.9%24.6%59.9%46.1%94.8%23.9%-1.2%139.6K-7.3M-49.2K0.47101.183,3531,56677,85824,939
2016-10-07$3.13$3.00118.7%27.9%56.3%50.9%82.6%15.5%-25.6%134.3K-7.2M-48.4K0.4485.873,5871,57177,98324,929
2016-10-10$3.19$3.0088.9%27.2%50.6%36.4%86.1%18.9%35.4%129.3K-6.7M-45.6K0.4585.763,0381,35276,97624,894
2016-10-11$3.13$3.0087.4%26.4%49.0%35.7%93.2%22.1%19.8%126.2K-6.3M-45.1K0.4534.142,8691,28477,10524,919
2016-10-12$3.00$3.00106.1%28.0%49.4%44.8%103.3%45.6%-3.1%113.2K-5.3M-42.8K0.4499.802,9651,30277,09524,899
2016-10-13$2.98$3.00102.6%26.3%49.3%43.1%103.2%15.0%-19.8%117.0K-5.2M-42.6K0.3591.483,0751,08577,26124,979
2016-10-14$2.97$3.00105.3%27.1%48.7%44.4%97.7%-1.4%-1.1%113.6K-5.3M-42.7K0.33130.033,2811,09577,41624,987
2016-10-17$2.99$3.0098.8%26.9%46.4%41.2%100.6%55.9%8.0%110.9K-5.5M-42.4K0.31109.133,5261,09277,55124,951
2016-10-18$3.00$3.0090.5%26.0%45.6%37.2%110.8%-1.7%20.7%132.3K-5.0M-40.0K0.32116.593,6651,18178,14724,951
2016-10-19$3.06$3.0094.4%27.1%45.3%39.1%74.7%12.2%115.1%151.0K-5.7M-39.9K0.41102.153,1811,31678,46225,076
2016-10-20$3.14$3.0097.4%27.9%45.7%40.5%114.9%15.4%20.0%131.8K-6.9M-42.7K0.40133.153,3111,33579,28825,281
2016-10-21$3.17$3.0094.5%25.0%36.4%39.2%90.8%-4.0%17.5%73.3K-7.5M-41.5K0.6291.753,6882,29379,40025,274
2016-10-24$3.28$3.00110.3%26.5%30.5%46.8%79.7%13.1%-6.1%77.8K-6.3M-43.4K0.36100.423,6591,31453,19823,182
2016-10-25$3.32$3.0096.1%26.1%30.1%40.0%89.8%1.3%12.6%86.7K-6.8M-45.3K0.42128.923,1851,34155,46823,488
2016-10-26$3.42$3.0090.3%25.9%31.7%37.1%102.3%9.7%22.0%90.3K-7.1M-43.6K0.39113.453,1391,23955,58423,573
2016-10-27$3.39$3.0092.5%28.7%29.4%38.2%96.7%45.4%-0.4%82.8K-7.5M-45.1K0.37115.803,9151,45155,91323,540
2016-10-28$3.23$3.00109.8%25.6%34.2%46.6%106.8%-28.1%-11.1%81.9K-6.4M-43.2K0.36109.883,9931,44156,24623,749
2016-10-31$3.12$3.00103.9%31.9%36.4%43.7%98.2%-3.2%4.2%78.1K-6.0M-41.7K0.33107.794,1081,35356,32623,748