AMRN Options History — November 2017

In November 2017, AMRN traded between $3.17 and $3.66. ATM implied volatility averaged 42.0%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 13.6% (HV 20d: 28.4%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2017-11-06: Highest Volume — 11,895 contracts
  • 2017-11-02: Largest IV spike — 654.5% change
  • 2017-11-06: Highest IV Rank — 31.8%
  • 2017-11-07: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.41$3.17$3.66$3.45$3.26
Max Pain$3.02$3.00$3.50$3.50$3.00
ATM IV42.0%6.4%50.0%6.4%35.4%
Expected Move12.1%10.2%13.6%12.6%10.8%
HV 20d28.4%21.8%34.3%21.8%34.3%
HV 60d32.9%31.8%34.3%34.3%31.8%
IV Rank25.9%0.0%31.8%0.0%21.1%
IV Percentile4.4%0.0%11.5%0.0%0.8%
Term Structure5.5%-54.0%117.0%117.0%16.4%
VWIV40.3%31.3%52.3%48.1%35.4%
Skew 25d1.6%-22.6%43.0%43.0%16.4%
Skew 10d2.5%-22.5%48.1%11.1%48.1%
Call IV 25d43.4%26.6%66.5%34.1%29.3%
Put IV 25d45.0%31.2%77.1%77.1%45.7%
Bid-Ask Spread %48.8014.68152.41152.4122.27
Gamma HHI0.380.320.440.340.40
Net GEX179.9K90.1K258.7K198.7K126.3K
Net DEX-6.3M-8.0M-4.6M-5.9M-4.9M
Net VEX-40.5K-45.6K-37.1K-39.6K-38.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.662.781.520.95
Total Volume6,402.7625,06011,8957,8496,001
Total OI78,760.09574,94281,48474,94281,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$3.45$3.506.4%12.6%21.8%0.0%48.1%43.0%117.0%198.7K-5.9M-39.6K1.52152.413,1124,73764,89510,047
2017-11-02$3.58$3.0048.6%13.5%24.8%30.8%35.0%-2.0%-13.4%235.4K-6.7M-40.2K1.9735.972,4134,74765,1699,928
2017-11-03$3.60$3.0046.5%13.0%24.4%29.3%31.3%-7.6%-3.6%228.2K-7.1M-40.7K1.7230.152,7734,78065,5099,821
2017-11-06$3.66$3.0050.0%13.2%24.7%31.8%44.2%1.2%-7.8%258.7K-7.8M-40.6K0.6643.677,1484,74765,3439,786
2017-11-07$3.55$3.0048.7%13.6%27.1%30.8%45.9%-3.2%-0.1%238.9K-8.0M-45.6K0.9025.843,9563,57469,9289,919
2017-11-08$3.53$3.0047.2%13.3%26.6%29.7%46.8%11.8%-0.7%226.4K-7.4M-44.3K0.9314.683,7163,44869,9509,967
2017-11-09$3.49$3.0049.1%13.4%25.7%31.2%32.9%8.8%-7.3%224.8K-7.5M-43.9K1.0519.473,1993,35870,74310,034
2017-11-10$3.53$3.0045.1%12.7%25.7%28.2%35.8%12.2%-1.5%215.5K-7.7M-44.1K1.6068.362,1213,39170,75810,026
2017-11-13$3.52$3.0044.2%12.9%25.8%27.6%33.8%5.1%8.5%221.6K-7.5M-43.6K2.0120.201,6813,37970,52210,036
2017-11-14$3.51$3.0047.1%13.5%25.5%29.7%41.5%4.9%-4.8%216.2K-7.4M-43.5K1.6542.412,0403,36370,45710,056
2017-11-15$3.47$3.0042.5%12.2%24.8%26.3%46.9%-6.2%9.5%212.6K-6.8M-42.3K1.4847.382,2793,36370,11410,051
2017-11-16$3.42$3.0040.5%11.7%25.3%24.9%39.7%-5.0%9.2%200.8K-6.3M-41.1K1.7538.111,9203,36370,20110,051
2017-11-17$3.23$3.0042.4%10.8%32.3%26.2%41.1%-7.4%32.4%121.8K-4.8M-37.7K2.4429.971,5273,72670,39310,051
2017-11-20$3.29$3.0035.4%10.8%31.9%21.2%34.6%1.2%-7.5%134.9K-5.3M-38.1K2.7865.911,4173,93766,8239,552
2017-11-21$3.31$3.0030.6%11.4%31.9%17.6%34.5%4.6%5.3%130.2K-5.1M-38.0K2.3235.001,5543,60267,13810,277
2017-11-22$3.36$3.0046.7%10.2%32.3%29.4%36.3%-22.6%24.5%138.1K-5.4M-38.7K2.0287.941,8003,63967,50110,287
2017-11-24$3.30$3.0043.2%10.5%33.0%26.8%43.6%-3.1%-18.1%130.1K-5.4M-37.6K2.0764.101,7673,65867,85110,328
2017-11-27$3.23$3.0047.7%10.3%33.3%30.1%52.3%-19.0%-54.0%118.0K-5.1M-37.1K1.39122.072,6743,72867,79110,318
2017-11-28$3.23$3.0041.1%11.6%32.3%25.3%41.8%-1.1%12.1%110.1K-4.8M-38.0K1.3539.172,7443,71869,05311,118
2017-11-29$3.17$3.0042.8%12.0%32.7%26.6%44.5%0.7%-1.4%90.1K-4.6M-37.2K1.0319.803,1303,22869,53811,148
2017-11-30$3.26$3.0035.4%10.8%34.3%21.1%35.4%16.4%16.4%126.3K-4.9M-38.9K0.9522.273,0802,92170,03311,451