AMRN Options History — January 2017

In January 2017, AMRN traded between $2.87 and $3.15. ATM implied volatility averaged 65.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 40.1% (HV 20d: 25.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-01-04: Highest Volume — 7,861 contracts
  • 2017-01-24: Largest IV spike — 43.8% change
  • 2017-01-04: Highest IV Rank — 39.1%
  • 2017-01-31: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.97$2.87$3.15$3.09$2.96
Max Pain$3.13$3.00$3.50$3.00$3.00
ATM IV65.2%49.1%94.3%75.5%75.8%
Expected Move15.5%12.5%23.8%19.3%23.8%
HV 20d25.1%23.0%27.3%23.4%26.5%
HV 60d43.1%41.0%44.4%44.0%41.2%
IV Rank24.9%17.2%39.1%30.0%30.0%
IV Percentile8.8%2.4%32.9%9.9%14.3%
Term Structure-3.3%-31.3%25.7%-5.7%-13.4%
VWIV63.3%48.2%81.9%81.9%81.3%
Skew 25d1.3%-70.7%44.0%-6.1%12.7%
Skew 10d14.3%-50.6%59.0%29.7%24.1%
Call IV 25d80.1%55.6%140.3%95.8%84.3%
Put IV 25d81.4%44.0%122.0%89.6%97.0%
Bid-Ask Spread %85.8229.66150.6461.89123.26
Gamma HHI0.470.280.770.420.28
Net GEX142.8K29.1K307.8K158.6K53.8K
Net DEX-3.0M-4.0M-1.7M-3.1M-2.7M
Net VEX-24.1K-27.6K-21.3K-23.4K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.152.230.440.74
Total Volume5,527.353,3547,8613,3544,788
Total OI64,389.5532,53182,68876,78340,646

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$3.09$3.0075.5%19.3%23.4%30.0%81.9%-6.1%-5.7%158.6K-3.1M-23.4K0.4461.892,3341,02055,76721,016
2017-01-04$3.15$3.0094.3%15.7%23.0%39.1%62.9%-1.0%-9.1%180.1K-3.5M-23.6K0.1586.736,8411,02055,81221,197
2017-01-05$3.06$3.5072.6%15.9%24.1%28.6%70.4%7.0%-23.4%198.2K-3.6M-23.2K1.3544.492,5813,47660,30522,102
2017-01-06$3.02$3.5084.1%15.3%24.0%34.1%71.3%29.2%-28.1%197.6K-3.3M-25.3K0.7192.762,8402,01260,86121,827
2017-01-09$3.06$3.5069.3%15.3%24.7%26.9%71.5%2.8%-24.8%208.1K-3.5M-23.9K0.76118.802,5361,93760,89520,881
2017-01-10$3.03$3.5061.5%16.3%24.8%23.2%73.8%44.0%-11.9%208.2K-4.0M-23.3K0.75150.642,5941,94760,90819,882
2017-01-11$2.99$3.5049.1%15.2%24.9%17.2%64.8%-27.1%7.7%181.8K-3.2M-22.9K0.8263.802,4552,01660,80919,142
2017-01-12$3.02$3.0066.3%15.8%25.4%25.5%62.8%39.8%-12.0%186.7K-3.4M-23.0K1.1393.072,3662,66861,34619,252
2017-01-13$3.02$3.0053.8%16.2%25.3%19.4%57.3%-70.7%0.8%225.0K-3.7M-22.7K1.64129.422,1703,55961,51418,367
2017-01-17$2.92$3.0058.0%15.8%27.3%21.5%64.6%-1.2%14.8%205.4K-2.7M-21.3K0.9177.013,8093,47958,11318,247
2017-01-18$2.92$3.0049.8%14.3%26.8%17.5%61.3%-21.3%2.5%256.9K-3.4M-22.7K1.94130.072,0083,88959,61816,030
2017-01-19$2.89$3.0049.3%12.5%26.9%17.3%56.2%-16.6%21.4%307.8K-3.7M-22.4K2.2388.042,2585,02459,58116,241
2017-01-20$2.94$3.0055.1%14.7%26.8%20.1%60.8%-3.3%10.4%29.1K-1.7M-23.5K1.9834.842,5765,09559,27717,540
2017-01-23$2.91$3.0053.9%12.9%26.2%19.5%48.2%21.2%-1.8%29.4K-1.9M-22.8K0.6960.253,1702,18025,6556,876
2017-01-24$2.89$3.0077.6%14.9%26.1%31.0%55.2%-5.5%-31.3%34.9K-2.0M-24.3K0.92119.252,2932,12027,6066,986
2017-01-25$2.89$3.0067.7%12.7%23.4%26.2%49.5%23.6%4.9%40.5K-2.1M-24.7K0.4837.934,4622,12028,6487,096
2017-01-26$2.90$3.0057.1%14.5%23.2%21.1%61.9%4.3%25.7%49.6K-2.5M-26.7K0.7170.282,9772,11031,4407,096
2017-01-27$2.94$3.0055.7%14.8%23.5%20.3%55.3%-7.2%6.2%51.4K-2.6M-27.5K0.67104.272,9701,99532,2587,101
2017-01-30$2.87$3.0077.1%14.8%24.5%30.6%54.4%2.2%0.8%53.0K-2.6M-26.9K0.6929.662,8671,98532,9096,944
2017-01-31$2.96$3.0075.8%23.8%26.5%30.0%81.3%12.7%-13.4%53.8K-2.7M-27.6K0.74123.262,7592,02933,6726,974