AMRN Options History — January 2018

In January 2018, AMRN traded between $3.74 and $4.46. ATM implied volatility averaged 57.8%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 10.7% (HV 20d: 47.2%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-01-30: Highest Volume — 11,879 contracts
  • 2018-01-24: Largest IV spike — 202.0% change
  • 2018-01-24: Highest IV Rank — 55.7%
  • 2018-01-25: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.17$3.74$4.46$4.23$3.74
Max Pain$3.95$3.50$4.00$3.50$4.00
ATM IV57.8%27.4%82.8%42.8%71.2%
Expected Move15.0%9.8%24.3%11.9%23.1%
HV 20d47.2%36.4%57.4%45.2%54.4%
HV 60d40.0%36.7%46.8%36.7%46.5%
IV Rank37.5%15.3%55.7%26.5%47.3%
IV Percentile42.2%0.4%79.8%10.7%64.7%
Term Structure3.6%-33.9%40.4%15.9%20.1%
VWIV53.9%36.9%87.2%44.3%57.5%
Skew 25d12.3%-11.4%32.3%10.5%-8.9%
Skew 10d6.4%-41.5%45.5%15.2%-41.5%
Call IV 25d49.7%27.3%82.6%42.7%68.1%
Put IV 25d62.0%32.1%99.8%53.2%59.2%
Bid-Ask Spread %147.2031.37179.7431.37179.74
Gamma HHI0.240.200.320.240.20
Net GEX157.5K124.3K210.1K138.3K154.1K
Net DEX-13.0M-15.6M-10.8M-11.7M-13.2M
Net VEX-62.8K-75.1K-49.1K-56.0K-75.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.160.760.510.27
Total Volume6,018.7622,84711,8793,2176,435
Total OI61,996.95251,20984,13451,20984,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$4.23$3.5042.8%11.9%45.2%26.5%44.3%10.5%15.9%138.3K-11.7M-56.0K0.5131.372,1321,08544,7976,412
2018-01-03$4.18$3.5052.9%12.5%44.2%33.9%38.2%-11.4%-6.2%185.7K-10.8M-49.1K0.59147.691,9531,15545,7186,316
2018-01-04$4.20$4.0059.0%15.7%42.9%38.4%58.0%30.7%-10.1%145.5K-12.0M-56.1K0.70148.591,6751,17246,5386,416
2018-01-05$4.38$4.0045.4%11.7%43.8%28.4%43.4%9.3%3.3%141.6K-13.4M-56.7K0.32112.524,8591,57046,5806,416
2018-01-08$4.29$4.0058.6%11.0%45.1%38.1%41.2%1.4%-14.0%141.0K-13.4M-59.4K0.34128.274,6711,58048,6846,929
2018-01-09$4.30$4.0050.9%12.3%44.9%32.5%41.1%14.2%-9.1%155.5K-13.7M-58.7K0.36176.624,0961,48249,4907,014
2018-01-10$4.37$4.0062.1%10.5%44.8%40.6%37.4%4.8%-17.7%157.8K-13.9M-60.4K0.52174.884,2382,22249,5907,164
2018-01-11$4.33$4.0032.3%14.5%42.6%18.9%46.6%1.5%11.8%150.7K-13.9M-60.2K0.49161.154,4472,19449,6807,914
2018-01-12$4.25$4.0063.5%14.0%44.1%41.7%55.9%16.0%-33.9%143.1K-12.6M-61.4K0.68156.542,1751,47749,2177,921
2018-01-16$4.11$4.0061.1%16.7%47.0%39.9%69.7%32.3%-14.5%153.2K-12.1M-59.9K0.76159.553,0672,34049,8427,826
2018-01-17$3.99$4.0043.4%12.4%48.7%27.0%51.1%14.6%29.0%175.1K-11.4M-59.2K0.32171.084,6051,46150,3718,994
2018-01-18$4.00$4.0051.8%15.2%46.6%33.1%59.3%21.8%-7.7%210.1K-11.9M-60.9K0.54173.572,5601,38552,6728,984
2018-01-19$3.97$4.0054.7%15.0%46.8%35.2%54.3%13.0%9.4%124.3K-11.5M-62.5K0.38177.363,6101,38553,8598,965
2018-01-22$4.04$4.0036.2%9.8%36.4%21.7%36.9%5.6%7.1%141.4K-11.8M-62.6K0.3870.243,2901,24651,2968,760
2018-01-23$4.46$4.0027.4%17.6%50.2%15.3%64.0%18.4%11.5%158.8K-13.3M-61.5K0.16172.599,2741,47852,5178,860
2018-01-24$4.33$4.0082.8%17.8%50.3%55.7%55.2%17.1%2.2%151.5K-15.1M-70.7K0.28148.638,1532,26557,6219,080
2018-01-25$4.26$4.0080.8%24.3%50.7%54.3%86.4%8.8%3.0%177.4K-15.2M-73.8K0.50148.734,4382,22662,29710,193
2018-01-26$4.27$4.0078.0%10.1%49.8%52.2%37.9%18.4%27.6%188.1K-15.6M-73.3K0.52154.663,7601,94962,47910,829
2018-01-29$4.01$4.0079.3%22.9%54.8%53.2%87.2%27.1%40.4%161.9K-13.7M-71.4K0.48173.663,6611,74463,01610,748
2018-01-30$3.82$4.0080.5%15.5%57.4%54.0%67.0%12.3%6.7%151.7K-12.2M-68.9K0.18123.8810,0971,78264,66111,136
2018-01-31$3.74$4.0071.2%23.1%54.4%47.3%57.5%-8.9%20.1%154.1K-13.2M-75.1K0.27179.745,0771,35872,50611,628