AMRN Options History — March 2017

In March 2017, AMRN traded between $3.13 and $3.36. ATM implied volatility averaged 78.4%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 43.8% (HV 20d: 34.6%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-03-08: Highest Volume — 8,343 contracts
  • 2017-03-31: Largest IV spike — 69.1% change
  • 2017-03-31: Highest IV Rank — 75.0%
  • 2017-03-03: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.23$3.13$3.36$3.36$3.21
Max Pain$3.43$3.00$3.50$3.00$3.50
ATM IV78.4%44.0%130.9%73.5%130.9%
Expected Move14.5%11.4%18.6%16.5%15.9%
HV 20d34.6%26.0%41.2%34.6%26.0%
HV 60d31.6%29.4%32.5%29.4%31.8%
IV Rank40.6%19.3%75.0%30.9%75.0%
IV Percentile30.0%0.8%93.3%17.9%93.3%
Term Structure-11.3%-105.8%52.4%-25.5%-105.8%
VWIV56.1%40.4%94.2%64.9%57.2%
Skew 25d13.7%-30.4%58.4%17.2%-30.4%
Skew 10d16.7%-51.3%52.3%9.9%8.3%
Call IV 25d72.6%35.7%139.3%78.8%139.3%
Put IV 25d86.3%40.8%136.3%95.9%108.8%
Bid-Ask Spread %81.8334.70145.61130.2939.64
Gamma HHI0.240.190.400.400.25
Net GEX74.5K60.7K140.6K140.6K74.3K
Net DEX-4.8M-5.8M-4.4M-5.8M-4.7M
Net VEX-33.9K-36.7K-32.3K-33.6K-34.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.261.101.100.35
Total Volume5,785.6963,1408,3435,3295,090
Total OI48,970.1344,94553,85347,71449,414

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$3.36$3.0073.5%16.5%34.6%30.9%64.9%17.2%-25.5%140.6K-5.8M-33.6K1.10130.292,5402,78941,8965,818
2017-03-02$3.18$3.0058.9%14.8%40.4%23.4%94.2%13.7%0.2%72.9K-4.7M-32.3K1.0397.102,6992,78842,0636,019
2017-03-03$3.27$3.0075.7%18.6%41.2%34.9%55.5%25.9%-10.0%78.6K-4.5M-32.8K0.99145.612,8922,85642,1995,982
2017-03-06$3.25$3.5092.6%11.9%38.8%50.4%48.3%22.1%-13.1%71.5K-4.8M-32.9K0.7595.673,8262,85939,0285,917
2017-03-07$3.24$3.50109.1%13.7%36.9%61.0%49.0%58.4%-15.9%79.8K-4.8M-32.8K0.70114.524,0652,85040,4585,948
2017-03-08$3.26$3.5066.8%14.0%33.9%33.9%52.7%50.7%-5.9%80.3K-4.9M-33.1K0.52109.115,4932,85041,5155,948
2017-03-09$3.27$3.5075.5%13.9%33.9%39.5%53.4%39.2%-3.6%80.2K-4.9M-33.1K0.61100.724,6512,85044,5225,948
2017-03-10$3.18$3.5072.3%16.1%33.9%37.4%57.7%18.3%-15.7%82.5K-4.8M-33.9K0.8087.603,5962,87046,6605,948
2017-03-13$3.15$3.5077.4%16.1%34.0%40.7%55.9%-5.9%-8.2%67.9K-4.7M-32.9K0.6199.284,8232,95044,7225,948
2017-03-14$3.13$3.50108.2%14.5%33.4%60.4%54.3%29.5%-53.0%75.0K-4.5M-32.6K0.7641.544,0253,07145,7246,048
2017-03-15$3.22$3.50120.3%15.1%33.6%68.1%58.5%3.6%-95.7%76.9K-5.3M-36.7K0.72137.564,1702,98646,3766,169
2017-03-16$3.27$3.5057.1%13.4%33.2%27.7%55.0%21.4%-6.3%64.5K-5.0M-34.7K0.6350.794,7602,98646,6396,184
2017-03-17$3.28$3.5044.0%11.4%33.3%19.3%44.3%6.3%3.3%68.5K-5.2M-35.5K0.6967.194,3552,98647,6696,184
2017-03-20$3.33$3.5058.4%13.0%33.7%28.5%51.6%-0.6%14.6%68.9K-5.0M-35.3K0.3836.382,27286840,1165,175
2017-03-21$3.19$3.5058.6%15.0%36.6%28.6%63.1%-20.5%52.4%62.6K-4.7M-33.3K0.2654.433,9611,01740,5975,248
2017-03-22$3.18$3.5046.1%13.2%35.1%20.6%40.4%10.8%38.5%60.7K-4.4M-33.0K0.3834.702,7641,05342,2705,299
2017-03-23$3.14$3.5058.4%15.2%35.0%28.5%57.2%1.3%10.1%64.3K-4.5M-32.9K0.4140.172,5691,04843,2205,386
2017-03-24$3.22$3.5066.1%12.6%36.5%33.4%56.1%-3.7%51.3%66.1K-4.5M-34.7K0.3037.973,5391,04843,3005,386
2017-03-27$3.25$3.5074.1%14.0%34.4%38.5%48.5%27.2%-3.8%70.6K-4.8M-36.1K0.3242.023,3991,09542,6565,346
2017-03-28$3.23$3.50121.8%15.6%34.3%69.1%71.5%-4.4%-60.6%65.2K-4.5M-33.7K0.31141.353,3671,03242,7655,506
2017-03-29$3.24$3.5080.0%12.7%34.2%42.4%50.5%21.2%-4.5%71.3K-4.7M-34.7K0.31137.473,3371,04342,8975,557
2017-03-30$3.22$3.5077.4%15.7%27.9%40.7%49.9%14.5%-2.7%70.5K-4.9M-35.2K0.3240.863,7801,20343,0355,608
2017-03-31$3.21$3.50130.9%15.9%26.0%75.0%57.2%-30.4%-105.8%74.3K-4.7M-34.5K0.3539.643,7801,31043,6385,776