AMRN Options History — September 2017

In September 2017, AMRN traded between $3.09 and $3.63. ATM implied volatility averaged 55.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 16.2% (HV 20d: 39.0%). 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 11 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2017-09-27: Highest Volume — 8,741 contracts
  • 2017-09-12: Largest IV spike — 81.9% change
  • 2017-09-12: Highest IV Rank — 51.0%
  • 2017-09-20: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.30$3.09$3.63$3.26$3.51
Max Pain$3.30$3.00$3.50$3.50$3.50
ATM IV55.2%43.3%80.0%60.6%50.4%
Expected Move15.2%12.5%18.5%13.5%15.4%
HV 20d39.0%33.5%44.6%39.6%43.1%
HV 60d43.3%41.9%45.1%43.3%42.1%
IV Rank30.7%22.7%51.0%29.9%28.2%
IV Percentile16.2%0.8%54.4%23.8%9.1%
Term Structure3.2%-20.8%24.4%-11.3%7.7%
VWIV53.2%45.4%78.2%48.0%78.2%
Skew 25d7.8%-42.9%36.9%-6.0%10.1%
Skew 10d13.5%-36.9%70.3%24.3%-36.9%
Call IV 25d49.0%26.8%106.9%48.4%37.5%
Put IV 25d56.8%39.6%86.6%42.4%47.6%
Bid-Ask Spread %60.1614.83148.45123.47113.39
Gamma HHI0.300.250.340.310.33
Net GEX148.1K85.6K200.2K161.8K199.0K
Net DEX-5.1M-7.9M-3.3M-4.7M-6.5M
Net VEX-40.9K-45.7K-34.6K-41.0K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.471.022.391.121.23
Total Volume7,606.45,8618,7418,6398,282
Total OI95,976.9565,552125,145121,16172,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$3.26$3.5060.6%13.5%39.6%29.9%48.0%-6.0%-11.3%161.8K-4.7M-41.0K1.12123.474,0824,557107,50613,655
2017-09-05$3.21$3.0065.9%15.3%39.7%33.3%54.6%15.8%-3.2%133.6K-3.4M-36.5K1.0735.354,1984,496108,04413,708
2017-09-06$3.09$3.0060.8%15.1%39.9%30.1%54.1%10.3%-7.5%118.8K-3.5M-37.4K1.2863.943,4884,466108,16313,702
2017-09-07$3.16$3.0051.5%13.2%38.2%24.1%52.3%2.4%-9.1%114.3K-3.8M-38.7K1.3827.323,1734,389108,27413,771
2017-09-08$3.12$3.0047.3%15.4%34.5%25.8%52.2%31.1%-1.5%85.6K-3.3M-37.4K1.2159.293,6764,430108,42413,841
2017-09-11$3.17$3.0044.0%14.5%34.8%23.2%45.4%10.6%18.2%116.7K-3.9M-38.9K1.5039.482,9294,397108,62113,880
2017-09-12$3.19$3.0080.0%17.7%34.2%51.0%52.2%36.1%-20.8%120.0K-3.3M-34.6K1.0255.184,2484,312108,63513,895
2017-09-13$3.20$3.0059.6%16.3%33.5%35.3%54.4%36.9%4.3%136.4K-5.0M-42.7K1.6863.052,5744,317110,27913,954
2017-09-14$3.37$3.0049.3%15.8%36.3%27.4%54.3%10.8%9.5%146.4K-5.1M-42.0K1.2831.613,3534,289110,81713,979
2017-09-15$3.36$3.5060.5%17.3%36.4%35.9%53.7%-42.9%-3.1%138.3K-4.7M-41.0K1.2154.953,8074,603110,82114,324
2017-09-18$3.26$3.5053.4%15.6%38.3%30.5%54.0%1.6%24.4%134.0K-4.9M-39.9K1.0980.603,8884,23556,4559,097
2017-09-19$3.22$3.5043.3%12.5%38.7%22.7%46.3%4.8%23.7%133.9K-5.5M-43.2K1.5544.262,7304,24558,4269,295
2017-09-20$3.29$3.5064.5%18.5%39.3%39.1%58.3%11.0%14.9%150.9K-6.0M-42.8K2.39148.451,7314,13058,7029,335
2017-09-21$3.22$3.5050.9%14.5%40.3%28.6%49.3%7.3%5.5%137.6K-4.9M-40.6K2.3024.741,8644,28358,8069,455
2017-09-22$3.29$3.5048.3%12.6%39.7%26.5%45.5%12.7%11.9%151.7K-4.9M-39.5K1.8724.162,2614,23559,1499,556
2017-09-25$3.44$3.5053.7%13.9%42.2%30.7%55.0%1.6%-2.9%191.0K-7.1M-44.3K1.9336.862,2684,37159,0029,503
2017-09-26$3.48$3.5050.0%15.8%42.2%27.9%54.3%0.7%5.5%192.5K-7.9M-45.7K1.98120.522,2764,51659,6129,754
2017-09-27$3.63$3.5056.2%15.8%44.2%32.7%52.5%-1.2%-2.0%199.8K-7.4M-45.3K1.0941.804,1904,55160,1259,887
2017-09-28$3.53$3.5053.2%15.8%44.6%30.3%49.6%2.5%0.4%200.2K-6.6M-43.2K1.2214.833,7374,55162,4699,942
2017-09-29$3.51$3.5050.4%15.4%43.1%28.2%78.2%10.1%7.7%199.0K-6.5M-43.1K1.23113.393,7214,56162,7349,942