AMRN Options History — May 2017

In May 2017, AMRN traded between $2.87 and $3.17. ATM implied volatility averaged 62.5%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 38.7% (HV 20d: 23.8%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2017-05-05: Highest Volume — 6,432 contracts
  • 2017-05-04: Largest IV drop — 33.2% change
  • 2017-05-02: Highest IV Rank — 49.7%
  • 2017-05-01: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.99$2.87$3.17$3.17$2.94
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV62.5%51.5%91.5%81.8%62.5%
Expected Move15.0%9.6%20.6%20.6%17.2%
HV 20d23.8%11.3%29.1%13.8%29.1%
HV 60d26.6%23.6%29.0%29.0%23.6%
IV Rank31.2%24.1%49.7%43.5%31.1%
IV Percentile17.7%4.4%51.6%38.5%22.6%
Term Structure0.4%-44.1%33.8%-1.4%-0.6%
VWIV60.7%33.6%78.8%63.4%78.8%
Skew 25d9.9%-20.0%107.9%30.2%5.1%
Skew 10d5.3%-52.2%113.0%13.1%39.0%
Call IV 25d65.8%39.9%85.0%80.0%78.4%
Put IV 25d75.7%48.1%168.7%110.2%83.5%
Bid-Ask Spread %64.0824.40162.92162.9245.31
Gamma HHI0.220.210.230.220.21
Net GEX68.1K57.5K83.3K70.3K71.2K
Net DEX-4.0M-4.6M-3.4M-4.4M-4.2M
Net VEX-32.3K-34.7K-29.7K-33.2K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.211.140.330.52
Total Volume4,773.3183,0666,4325,0845,441
Total OI59,988.22755,65965,86555,65965,865

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$3.17$3.5081.8%20.6%13.8%43.5%63.4%30.2%-1.4%70.3K-4.4M-33.2K0.33162.923,8271,25749,7165,943
2017-05-02$3.16$3.5091.5%15.8%11.3%49.7%57.2%15.5%-44.1%75.1K-4.5M-34.5K0.3146.744,2691,31749,8815,943
2017-05-03$3.03$3.5077.0%9.6%18.8%40.4%33.6%107.9%33.8%59.3K-3.6M-31.5K0.24151.274,9111,18250,2576,023
2017-05-04$2.94$3.5051.5%13.3%21.2%24.1%57.6%16.4%18.0%61.8K-3.6M-31.2K0.2764.804,4131,18851,2856,068
2017-05-05$2.90$3.5061.7%13.0%21.0%30.6%53.8%15.8%-9.9%57.5K-3.4M-29.9K0.2166.995,3371,09551,2996,106
2017-05-08$2.88$3.5071.0%15.2%20.9%36.6%53.4%6.1%-5.9%58.0K-3.4M-29.7K0.2329.594,4351,02351,7605,998
2017-05-09$2.87$3.5053.6%13.8%20.9%25.5%55.7%5.9%-8.9%59.7K-3.4M-29.8K0.2572.324,0741,02251,9386,038
2017-05-10$2.94$3.5053.3%15.7%23.1%25.2%59.6%-0.8%1.4%59.8K-3.6M-31.4K0.2131.024,76399452,6406,048
2017-05-11$3.01$3.5058.0%13.5%24.8%28.2%66.8%23.3%-13.3%69.0K-4.0M-32.8K0.2842.663,9951,13353,6126,049
2017-05-12$3.02$3.5054.0%15.0%24.9%25.7%67.5%16.2%-5.8%70.2K-4.2M-33.2K0.3033.583,5101,06953,9266,179
2017-05-15$3.07$3.5064.4%17.0%25.7%32.3%61.3%2.6%5.9%73.6K-4.1M-33.2K0.3229.823,3041,05853,4396,227
2017-05-16$3.02$3.5052.4%14.7%25.4%24.7%53.2%2.3%9.2%70.5K-4.2M-33.0K0.3155.353,3101,02453,7166,237
2017-05-17$2.98$3.5051.8%14.8%25.7%24.3%61.9%-7.7%23.5%68.5K-3.9M-31.6K0.3588.552,64293253,7226,187
2017-05-18$3.00$3.5053.5%15.1%25.8%25.4%59.2%-1.3%6.5%67.3K-4.2M-32.5K0.4375.322,17993054,0496,227
2017-05-19$2.95$3.5053.0%15.3%26.2%25.1%62.4%-10.8%-11.6%67.8K-4.0M-31.7K0.4831.162,0661,00054,1186,215
2017-05-22$2.95$3.5062.3%14.7%26.2%31.0%67.9%-3.2%-1.8%67.9K-3.9M-31.5K0.31137.292,88690053,8456,040
2017-05-23$2.93$3.5056.4%15.2%26.2%27.2%59.5%23.3%-1.4%64.2K-3.7M-31.0K0.2862.553,27790354,8986,162
2017-05-24$2.98$3.5069.8%15.5%27.2%35.8%64.6%-9.8%-9.2%75.4K-4.2M-33.1K0.2275.334,09989556,6866,197
2017-05-25$3.05$3.5058.6%16.3%28.2%28.6%57.3%-2.5%2.1%83.3K-4.6M-34.7K0.2626.993,43287757,5816,207
2017-05-26$2.98$3.5066.5%13.8%29.1%33.7%70.2%-20.0%10.3%77.5K-4.6M-34.1K0.5724.403,4041,94357,8546,205
2017-05-30$2.95$3.5071.6%15.4%29.1%37.0%69.9%4.5%13.2%70.8K-4.3M-33.8K1.1455.761,7311,96658,5156,840
2017-05-31$2.94$3.5062.5%17.2%29.1%31.1%78.8%5.1%-0.6%71.2K-4.2M-33.9K0.5245.313,5751,86659,0256,840