AMRN Options History — February 2018

In February 2018, AMRN traded between $3.49 and $3.80. ATM implied volatility averaged 87.1%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 39.0% (HV 20d: 48.1%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.53.

Notable Days

  • 2018-02-01: Highest Volume — 12,805 contracts
  • 2018-02-20: Largest IV spike — 56.6% change
  • 2018-02-23: Highest IV Rank — 73.1%
  • 2018-02-22: Largest Expected Move — 34.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.63$3.49$3.80$3.80$3.49
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV87.1%57.5%106.6%81.7%102.6%
Expected Move23.3%15.2%34.2%23.3%15.7%
HV 20d48.1%30.2%54.9%54.9%30.2%
HV 60d46.5%45.7%47.7%46.6%46.1%
IV Rank58.9%37.2%73.1%54.9%70.2%
IV Percentile76.5%40.9%87.7%78.6%85.3%
Term Structure-12.4%-102.3%65.0%-84.0%-8.8%
VWIV72.2%54.0%104.0%77.3%60.4%
Skew 25d-5.3%-122.8%40.6%19.0%-0.2%
Skew 10d-3.5%-53.3%61.1%18.9%2.2%
Call IV 25d83.8%48.8%172.1%72.2%97.0%
Put IV 25d78.5%49.3%104.8%91.2%96.8%
Bid-Ask Spread %144.77112.43172.53153.57167.12
Gamma HHI0.210.180.330.190.33
Net GEX150.4K115.2K193.2K147.6K193.2K
Net DEX-13.3M-15.8M-9.3M-14.6M-12.9M
Net VEX-78.3K-88.1K-53.1K-79.1K-75.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.483.500.483.50
Total Volume8,710.9477,22812,80512,8057,228
Total OI95,770.89585,83799,16585,83797,822

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$3.80$3.5081.7%23.3%54.9%54.9%77.3%19.0%-84.0%147.6K-14.6M-79.1K0.48153.578,6424,16374,16411,673
2018-02-02$3.75$3.5075.4%24.8%54.9%50.3%61.7%20.6%-59.3%145.6K-14.4M-88.1K0.52148.638,0164,13579,27114,595
2018-02-05$3.65$3.5098.7%23.8%52.4%67.3%93.0%14.5%65.0%139.2K-13.5M-85.2K1.49172.533,2534,84379,37114,612
2018-02-06$3.65$3.5078.7%18.9%52.3%52.7%64.6%-21.1%-45.7%131.5K-11.3M-70.9K1.34139.783,6124,83679,69515,404
2018-02-07$3.67$3.50101.7%22.8%52.4%69.5%71.1%-22.5%-25.9%145.5K-13.7M-87.0K1.28112.433,7854,83680,52515,419
2018-02-08$3.50$3.5079.0%17.2%53.3%52.9%54.0%-122.8%44.3%151.9K-10.9M-68.9K1.37156.083,5284,83981,28215,419
2018-02-09$3.49$3.5080.3%20.6%53.4%53.9%59.7%-3.6%-20.8%115.2K-9.3M-53.1K1.74138.472,6884,67881,27415,450
2018-02-12$3.51$3.5097.3%27.9%53.6%66.3%64.9%27.4%-22.1%124.6K-12.3M-65.2K1.78144.122,6314,68082,27515,443
2018-02-13$3.52$3.5066.9%20.0%53.0%44.1%69.8%-21.9%-102.3%131.4K-12.0M-78.5K1.79136.302,6214,68282,39215,510
2018-02-14$3.64$3.50100.6%28.8%54.3%68.7%73.5%10.5%-40.0%153.2K-12.5M-81.5K1.60125.942,9464,71282,39715,515
2018-02-15$3.65$3.5066.9%19.1%54.3%44.1%64.3%-5.4%2.2%156.1K-12.4M-80.9K1.45134.983,2944,78082,92015,561
2018-02-16$3.64$3.5057.5%15.2%54.3%37.2%81.3%-5.4%-7.6%150.6K-13.4M-82.9K1.44140.823,2784,73583,52215,643
2018-02-20$3.70$3.5090.0%32.2%54.2%61.0%80.9%9.3%17.5%143.7K-15.0M-81.6K1.42127.413,2204,57479,54214,362
2018-02-21$3.71$3.5082.6%22.7%38.4%55.6%76.2%-1.1%44.5%166.3K-15.3M-81.5K1.72148.553,2655,60079,76114,393
2018-02-22$3.67$3.5097.2%34.2%37.6%66.2%62.5%-44.2%-5.5%141.7K-15.8M-81.9K1.50154.973,7275,60080,04915,205
2018-02-23$3.69$3.50106.6%28.8%37.8%73.1%77.9%9.4%-8.5%163.1K-14.4M-84.9K1.41131.093,9705,58580,46615,198
2018-02-26$3.69$3.5088.5%23.7%37.7%59.9%74.6%40.6%12.8%180.5K-14.3M-84.1K1.24161.884,4925,59180,71515,162
2018-02-27$3.55$3.50102.7%22.7%33.8%70.3%104.0%-3.2%8.7%177.3K-13.9M-77.6K1.94155.942,8675,57682,44815,192
2018-02-28$3.49$3.50102.6%15.7%30.2%70.2%60.4%-0.2%-8.8%193.2K-12.9M-75.7K3.50167.121,6055,62382,62315,199