AMRN Options History — November 2016

In November 2016, AMRN traded between $2.77 and $3.47. ATM implied volatility averaged 83.1%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 23.8% (HV 20d: 59.3%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2016-11-29: Highest Volume — 7,330 contracts
  • 2016-11-03: Largest IV spike — 541.1% change
  • 2016-11-01: Highest IV Rank — 54.3%
  • 2016-11-02: Largest Expected Move — 34.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.22$2.77$3.47$3.20$3.25
Max Pain$2.55$2.50$3.00$3.00$2.50
ATM IV83.1%13.9%125.8%125.8%112.7%
Expected Move21.3%14.6%34.2%32.0%17.6%
HV 20d59.3%37.6%64.1%37.6%59.5%
HV 60d56.1%51.7%57.9%52.2%55.2%
IV Rank33.6%0.1%54.3%54.3%48.0%
IV Percentile20.1%0.4%77.0%77.0%60.7%
Term Structure-0.9%-39.6%47.4%-39.6%-21.4%
VWIV76.2%49.6%116.6%105.1%66.9%
Skew 25d19.1%-101.9%88.0%30.2%67.3%
Skew 10d12.7%-105.2%65.5%61.2%65.5%
Call IV 25d78.3%31.8%130.7%130.7%47.0%
Put IV 25d97.4%4.2%160.9%160.9%114.3%
Bid-Ask Spread %99.5367.30167.67115.12113.62
Gamma HHI0.290.260.550.270.30
Net GEX117.7K70.5K176.3K83.3K133.6K
Net DEX-6.1M-9.1M-3.4M-5.8M-5.7M
Net VEX-37.1K-42.5K-24.1K-41.1K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.210.650.370.55
Total Volume4,989.5243,5847,3305,0423,584
Total OI81,582.42978,92984,18780,76981,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$3.20$3.00125.8%32.0%37.6%54.3%105.1%30.2%-39.6%83.3K-5.8M-41.1K0.37115.123,6711,37156,99823,771
2016-11-02$3.12$3.0013.9%34.2%38.6%0.1%116.6%88.0%29.6%95.9K-4.7M-37.5K0.36149.653,8181,37857,14523,765
2016-11-03$2.77$2.5089.0%23.8%56.7%36.5%83.9%35.0%-4.9%73.9K-3.4M-33.3K0.3884.333,9071,49657,21823,924
2016-11-04$2.80$2.5086.8%27.9%57.0%35.4%92.7%1.4%1.3%70.5K-3.7M-36.1K0.3867.383,6591,39157,61024,083
2016-11-07$2.94$2.50103.0%24.7%59.7%43.3%81.5%9.9%-22.3%86.8K-4.4M-39.7K0.2990.074,2891,24957,11423,823
2016-11-08$2.93$2.5085.4%24.7%59.4%34.7%81.8%-10.9%-3.7%85.6K-4.2M-38.4K0.3077.953,7511,13057,46923,832
2016-11-09$3.10$2.5062.1%14.9%61.1%23.4%82.5%-101.9%-24.1%176.3K-3.5M-24.1K0.30167.673,7611,13957,57023,833
2016-11-10$3.06$2.5099.2%24.3%61.2%41.4%77.1%-19.7%-27.1%97.0K-5.7M-39.8K0.6587.982,2831,48557,84823,895
2016-11-11$3.17$2.50102.6%23.4%62.4%43.1%85.0%10.0%-29.5%91.6K-5.0M-37.5K0.38110.374,0141,53058,14423,504
2016-11-14$3.26$2.5088.9%21.9%63.0%36.4%77.2%3.5%43.4%90.4K-6.5M-38.7K0.3467.304,4281,51459,66823,410
2016-11-15$3.34$2.5079.1%22.8%63.4%31.7%81.0%12.8%23.0%147.5K-8.0M-42.5K0.3476.274,4321,51660,16023,408
2016-11-16$3.46$2.5083.7%24.0%64.1%33.9%81.1%25.3%12.2%155.4K-9.1M-40.8K0.2979.333,8461,11460,37423,380
2016-11-17$3.43$2.5080.3%21.0%63.9%32.3%79.6%27.0%25.1%150.4K-7.9M-39.4K0.2886.184,0041,11060,32423,421
2016-11-18$3.41$2.5084.7%19.4%63.9%34.4%70.1%22.4%47.4%119.9K-7.8M-38.3K0.3686.423,0971,13060,74123,446
2016-11-21$3.47$2.5048.0%15.4%63.1%16.6%56.1%17.0%18.3%135.4K-7.7M-36.7K0.4185.182,6461,07456,97621,953
2016-11-22$3.39$2.5073.0%15.1%63.7%28.7%62.7%26.3%-20.1%133.8K-7.1M-35.7K0.44122.552,5981,13457,80721,964
2016-11-23$3.44$2.5082.8%14.8%63.0%33.5%55.6%74.5%-26.4%138.7K-6.8M-37.2K0.49120.442,6021,26758,13922,033
2016-11-25$3.42$2.5087.5%14.8%63.0%35.7%57.6%22.6%-3.3%145.5K-7.1M-35.6K0.51104.562,4731,25458,50122,049
2016-11-28$3.34$2.5080.0%16.3%61.0%32.1%56.8%40.4%-4.6%130.0K-7.4M-38.9K0.2179.176,0141,29158,47422,030
2016-11-29$3.30$2.5076.5%14.6%59.7%30.4%49.6%19.8%6.9%131.1K-6.2M-35.0K0.21118.526,0641,26659,62622,076
2016-11-30$3.25$2.50112.7%17.6%59.5%48.0%66.9%67.3%-21.4%133.6K-5.7M-33.3K0.55113.622,3181,26659,69422,031