AMRN Options History — October 2017

In October 2017, AMRN traded between $3.29 and $3.53. ATM implied volatility averaged 54.6%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 23.2% (HV 20d: 31.4%). 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 13 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2017-10-04: Highest Volume — 9,964 contracts
  • 2017-10-17: Largest IV spike — 34.2% change
  • 2017-10-26: Highest IV Rank — 39.7%
  • 2017-10-17: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.40$3.29$3.53$3.48$3.42
Max Pain$3.07$3.00$3.50$3.50$3.00
ATM IV54.6%41.4%65.3%60.3%58.3%
Expected Move15.9%12.0%18.3%16.1%14.2%
HV 20d31.4%19.7%40.5%40.5%22.2%
HV 60d39.2%34.9%42.1%41.9%35.0%
IV Rank31.4%21.2%39.7%35.8%34.3%
IV Percentile19.9%0.4%44.8%28.2%29.4%
Term Structure1.4%-33.6%18.7%3.5%11.3%
VWIV56.4%42.9%64.0%53.3%55.9%
Skew 25d6.1%-10.1%21.9%7.0%5.1%
Skew 10d13.8%-38.8%62.4%42.9%-7.8%
Call IV 25d51.6%38.3%73.1%40.0%64.4%
Put IV 25d57.8%40.8%88.1%46.9%69.5%
Bid-Ask Spread %83.1123.14139.6030.9940.73
Gamma HHI0.320.290.350.320.33
Net GEX187.8K150.3K219.6K210.8K188.6K
Net DEX-6.1M-7.2M-5.0M-6.8M-6.1M
Net VEX-41.5K-45.2K-37.7K-45.0K-40.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.872.161.181.60
Total Volume7,516.0456,2269,9647,9626,991
Total OI74,834.40971,88678,20872,66074,904

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$3.48$3.5060.3%16.1%40.5%35.8%53.3%7.0%3.5%210.8K-6.8M-45.0K1.1830.993,6464,31662,7039,957
2017-10-03$3.48$3.5052.6%16.2%39.9%29.9%49.5%2.0%0.5%219.6K-7.0M-45.2K1.1527.493,9634,56662,9129,957
2017-10-04$3.53$3.5064.8%15.1%36.8%39.3%52.5%3.1%8.2%218.4K-6.6M-43.1K0.8785.525,3234,64163,34710,247
2017-10-05$3.47$3.0057.1%17.0%37.2%33.3%57.9%1.8%-5.4%212.5K-6.8M-44.1K1.1623.143,9994,64164,44710,341
2017-10-06$3.52$3.0053.8%18.0%36.8%30.8%63.3%3.8%-1.2%209.0K-7.1M-45.2K1.1655.803,9684,61464,62710,341
2017-10-09$3.49$3.0043.7%18.0%36.9%23.0%57.6%2.8%18.7%208.0K-6.6M-41.1K1.17111.973,9204,59064,66710,311
2017-10-10$3.46$3.0051.4%15.3%37.2%29.0%55.0%5.0%5.5%209.7K-6.6M-42.8K2.0124.822,2724,55664,69710,339
2017-10-11$3.41$3.0055.6%14.9%37.8%32.2%52.2%4.9%-0.3%203.6K-6.3M-41.8K2.1682.862,0854,50264,85210,363
2017-10-12$3.34$3.0054.9%16.9%34.0%31.6%59.8%21.4%5.4%177.0K-5.5M-40.6K2.0888.142,1704,50565,00310,273
2017-10-13$3.32$3.0054.4%17.4%34.1%31.3%62.7%2.6%10.9%173.3K-5.3M-39.2K2.11121.342,2274,70065,11510,300
2017-10-16$3.32$3.0046.7%12.0%32.2%25.3%42.9%10.4%3.8%174.5K-5.3M-38.8K1.19106.723,7754,49364,93010,162
2017-10-17$3.29$3.0062.7%18.3%32.1%37.6%64.0%9.9%-17.4%174.9K-7.2M-41.2K1.58132.542,8404,49367,05310,124
2017-10-18$3.37$3.0055.0%15.8%32.3%31.7%56.2%-1.5%-2.4%194.3K-5.9M-41.6K1.3082.013,4674,49167,31810,124
2017-10-19$3.39$3.0054.2%15.7%31.2%31.1%57.0%7.4%-2.5%199.6K-5.9M-41.4K1.3997.863,2364,49168,07210,136
2017-10-20$3.42$3.0054.1%16.2%30.5%31.0%56.2%5.8%-6.5%174.5K-6.2M-43.7K1.6094.942,8054,49168,05210,136
2017-10-23$3.33$3.0054.5%16.5%27.6%31.3%57.7%14.9%13.0%169.6K-5.7M-41.7K1.6090.162,5914,14862,2239,663
2017-10-24$3.32$3.0041.4%15.1%27.2%21.2%51.6%7.4%7.0%160.8K-5.0M-37.7K1.6199.152,7934,49863,0869,718
2017-10-25$3.31$3.0052.6%15.7%21.5%29.9%60.1%12.8%-33.6%152.2K-5.1M-38.5K1.88139.602,2244,17563,68410,053
2017-10-26$3.29$3.0065.3%13.9%19.7%39.7%57.2%-10.1%18.4%150.3K-5.1M-38.2K2.02138.662,0624,16463,74010,010
2017-10-27$3.34$3.0049.5%16.1%20.7%27.5%61.6%-3.9%3.5%165.9K-5.4M-39.9K1.52100.732,7554,19463,85010,020
2017-10-30$3.41$3.0059.0%16.0%22.2%34.8%56.2%21.9%-8.4%184.9K-6.0M-40.7K1.5253.262,7674,20564,5609,940
2017-10-31$3.42$3.0058.3%14.2%22.2%34.3%55.9%5.1%11.3%188.6K-6.1M-40.6K1.6040.732,6904,30164,9509,954