AMRN Options History — June 2017

In June 2017, AMRN traded between $2.94 and $4.03. ATM implied volatility averaged 85.0%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 59.6% (HV 20d: 25.5%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2017-06-27: Highest Volume — 22,866 contracts
  • 2017-06-08: Largest IV spike — 32.1% change
  • 2017-06-14: Highest IV Rank — 61.1%
  • 2017-06-28: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.20$2.94$4.03$2.99$4.03
Max Pain$3.05$3.00$3.50$3.50$3.00
ATM IV85.0%61.1%109.2%61.1%103.4%
Expected Move22.9%16.6%29.9%17.9%23.0%
HV 20d25.5%21.2%33.5%26.1%33.5%
HV 60d24.0%21.1%28.8%23.9%28.8%
IV Rank45.6%30.2%61.1%30.2%57.4%
IV Percentile51.3%19.8%82.1%19.8%75.4%
Term Structure-2.5%-56.1%39.9%2.6%-13.0%
VWIV103.6%68.1%136.3%77.4%112.1%
Skew 25d-5.9%-52.3%76.6%5.0%76.6%
Skew 10d-17.3%-97.1%46.0%11.0%-13.8%
Call IV 25d101.7%72.1%146.0%75.4%72.1%
Put IV 25d95.8%48.9%148.7%80.4%148.7%
Bid-Ask Spread %58.4925.48126.07126.0771.52
Gamma HHI0.200.180.230.200.19
Net GEX129.1K78.5K250.9K78.5K246.2K
Net DEX-7.6M-18.2M-4.4M-4.4M-18.2M
Net VEX-43.8K-65.8K-35.2K-35.2K-65.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.030.540.450.32
Total Volume6,665.5453,02222,8665,5094,830
Total OI79,291.13668,38798,13068,38798,130

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$2.99$3.5061.1%17.9%26.1%30.2%77.4%5.0%2.6%78.5K-4.4M-35.2K0.45126.073,8001,70960,9127,475
2017-06-02$3.02$3.5072.2%16.6%23.9%37.4%68.1%11.9%-1.2%83.2K-4.7M-36.7K0.5486.521,9571,06562,2077,661
2017-06-05$3.01$3.0067.9%21.6%23.3%34.6%97.1%12.5%0.2%79.4K-4.7M-36.2K0.4463.133,0331,33361,6757,839
2017-06-06$2.98$3.0087.8%22.4%23.5%47.3%103.1%-28.2%-23.2%80.5K-4.8M-36.9K0.4568.863,0461,36762,9788,094
2017-06-07$2.99$3.0069.5%21.9%23.4%35.6%135.2%-20.9%5.0%82.2K-5.1M-37.5K0.2851.914,8331,36763,8908,033
2017-06-08$3.02$3.0091.8%24.3%22.2%49.9%136.3%-31.2%32.2%100.0K-5.6M-38.9K0.2562.845,5231,37467,0198,033
2017-06-09$2.94$3.0092.6%24.2%22.7%50.4%109.3%-30.2%-41.5%92.3K-5.2M-37.4K0.3049.314,7301,39867,7308,043
2017-06-12$2.98$3.0090.8%23.8%23.2%49.3%99.7%10.7%-2.9%98.5K-4.7M-36.2K0.4143.533,4201,38968,3138,003
2017-06-13$2.96$3.00107.5%28.4%22.4%60.0%123.5%31.9%-5.6%95.2K-5.2M-37.7K0.3847.273,6071,38868,8038,163
2017-06-14$2.96$3.00109.2%18.6%21.7%61.1%88.3%4.0%-56.1%94.5K-4.6M-35.3K0.19105.277,4501,38869,9448,223
2017-06-15$2.94$3.0080.8%23.9%21.4%42.9%104.2%8.7%13.8%93.5K-4.9M-37.8K0.3936.056,5462,57875,0878,228
2017-06-16$2.94$3.0098.3%24.1%21.2%54.1%117.5%17.7%-18.6%94.5K-5.2M-40.3K0.4143.185,8442,40576,7689,409
2017-06-19$3.00$3.0077.3%22.5%21.6%40.6%127.4%-44.2%-17.5%101.7K-5.8M-40.7K0.1130.925,77965763,7966,731
2017-06-20$3.04$3.0077.9%22.5%22.0%41.0%91.0%-52.3%-32.7%114.4K-6.3M-42.3K0.1460.836,79196468,2226,754
2017-06-21$3.20$3.0062.1%17.8%28.0%30.9%93.2%-30.1%17.5%138.7K-7.5M-45.3K0.1942.155,24799671,1057,036
2017-06-22$3.30$3.0074.2%20.7%29.2%38.7%87.0%-30.3%13.3%155.5K-8.7M-47.6K0.1573.605,11274673,6527,114
2017-06-23$3.36$3.0075.3%20.5%28.8%39.4%91.6%-29.3%9.5%171.6K-8.8M-48.4K0.1725.484,53075975,5737,144
2017-06-26$3.47$3.0080.5%22.5%28.4%42.7%109.3%-1.1%39.9%184.3K-9.8M-50.1K0.2140.653,68378476,6647,147
2017-06-27$3.58$3.0087.9%29.8%28.8%47.4%107.9%-10.1%19.4%183.7K-11.6M-52.9K0.0373.4722,21065677,0467,217
2017-06-28$3.77$3.0096.7%29.9%31.9%53.0%101.0%-5.7%-8.9%221.2K-14.6M-60.7K0.1953.464,29780685,8367,342
2017-06-29$3.91$3.00105.9%27.4%33.0%59.0%98.8%4.8%12.9%250.9K-17.0M-63.6K0.1930.694,40384287,9597,407
2017-06-30$4.03$3.00103.4%23.0%33.5%57.4%112.1%76.6%-13.0%246.2K-18.2M-65.8K0.3271.523,6631,16790,5287,602