AMRN Options History — July 2017

In July 2017, AMRN traded between $3.57 and $4.29. ATM implied volatility averaged 117.5%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 35.4%. IV traded above realized volatility by 79.7% (HV 20d: 37.8%). 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 0.29.

Notable Days

  • 2017-07-05: Highest Volume — 34,122 contracts
  • 2017-07-26: Largest IV drop — 23.1% change
  • 2017-07-21: Highest IV Rank — 83.0%
  • 2017-07-14: Largest Expected Move — 43.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.10$3.57$4.29$4.21$3.57
Max Pain$3.45$3.00$3.50$3.00$3.50
ATM IV117.5%97.3%143.5%116.3%116.2%
Expected Move35.4%27.6%43.4%27.6%37.0%
HV 20d37.8%33.0%47.8%34.4%47.8%
HV 60d32.3%29.8%38.3%29.9%38.3%
IV Rank66.3%53.4%83.0%65.6%65.5%
IV Percentile86.8%67.5%99.2%88.5%87.7%
Term Structure-0.7%-70.6%65.0%14.9%-8.6%
VWIV142.4%101.9%197.6%109.7%138.4%
Skew 25d-25.3%-115.3%34.2%23.1%-27.9%
Skew 10d-43.8%-113.9%46.0%31.5%19.1%
Call IV 25d138.6%102.2%185.3%102.2%118.7%
Put IV 25d113.3%22.4%156.8%125.3%90.8%
Bid-Ask Spread %59.5526.06124.1182.4340.76
Gamma HHI0.180.170.200.180.20
Net GEX299.0K205.1K368.2K273.7K205.1K
Net DEX-21.2M-27.3M-12.2M-20.0M-12.2M
Net VEX-78.5K-94.2K-65.7K-67.6K-65.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.050.570.290.18
Total Volume8,198.153,41034,1227,4767,402
Total OI127,513.9599,122142,52099,122130,657

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$4.21$3.00116.3%27.6%34.4%65.6%109.7%23.1%14.9%273.7K-20.0M-67.6K0.2982.435,8001,67691,1687,954
2017-07-05$4.24$3.00115.8%28.5%33.1%65.3%101.9%0.6%-5.4%276.5K-21.0M-68.0K0.0595.3032,6011,52192,4798,554
2017-07-06$4.24$3.5098.4%34.3%33.3%54.1%141.3%-115.3%-70.6%342.3K-27.3M-94.2K0.2928.825,4751,609119,2178,770
2017-07-07$4.14$3.5097.3%34.0%36.4%53.4%149.7%-29.8%-63.7%303.7K-21.4M-78.7K0.2271.697,7021,663109,8988,892
2017-07-10$4.16$3.50107.9%35.5%33.0%60.2%137.1%15.3%23.5%324.9K-22.5M-80.6K0.4642.313,5891,651114,2539,057
2017-07-11$4.07$3.50105.2%36.1%35.8%58.5%155.3%-21.9%24.7%327.2K-21.4M-78.5K0.2926.064,4831,279115,0219,176
2017-07-12$4.02$3.50110.7%36.8%36.3%62.0%137.1%-3.9%15.9%277.5K-20.3M-72.6K0.0999.1913,7431,268116,2649,347
2017-07-13$4.01$3.50115.8%37.6%36.5%65.3%144.7%34.2%22.3%335.1K-22.6M-83.7K0.3645.703,6151,318126,0869,581
2017-07-14$4.18$3.50123.6%43.4%36.7%70.3%154.3%-101.3%65.0%335.9K-25.1M-86.4K0.5769.382,3131,321127,6929,759
2017-07-17$4.29$3.50137.5%39.4%36.2%79.2%142.1%-28.3%-12.2%368.2K-26.3M-86.5K0.4535.162,3441,066127,4469,638
2017-07-18$4.28$3.50137.7%39.6%36.9%79.3%140.3%-33.7%-16.8%363.3K-25.8M-84.6K0.4137.052,7961,146127,9279,880
2017-07-19$4.11$3.50130.8%37.5%42.3%74.9%139.3%-38.4%18.0%339.2K-23.7M-81.3K0.2430.444,6261,121128,99510,038
2017-07-20$4.18$3.50127.2%36.7%40.1%72.6%153.5%-32.6%-10.8%348.5K-24.4M-82.5K0.2734.313,9901,097130,41310,213
2017-07-21$4.16$3.50143.5%40.7%40.1%83.0%197.6%-80.2%-11.9%220.4K-23.7M-75.3K0.2080.429,8121,979132,19410,326
2017-07-24$4.11$3.50123.5%35.6%40.9%70.2%139.8%-12.8%-7.9%274.2K-17.7M-76.2K0.4638.664,7602,204110,4329,743
2017-07-25$4.07$3.50126.9%33.4%40.6%72.4%151.5%-24.4%-22.6%256.9K-19.0M-79.7K0.2096.956,6051,347111,80611,565
2017-07-26$4.09$3.5097.5%28.9%39.6%53.6%135.5%-13.7%15.7%275.5K-16.9M-75.3K0.14124.117,4661,081114,99311,700
2017-07-27$3.94$3.50108.5%31.4%38.8%60.6%134.9%2.8%15.9%272.4K-16.9M-76.5K0.3447.113,9751,367116,60611,832
2017-07-28$3.92$3.50109.3%34.0%36.7%61.1%144.9%-18.3%0.9%259.4K-16.1M-75.2K0.3465.233,8561,296118,33512,372
2017-07-31$3.57$3.50116.2%37.0%47.8%65.5%138.4%-27.9%-8.6%205.1K-12.2M-65.7K0.1840.766,2501,152118,56512,092