AMRN Options History — March 2018

In March 2018, AMRN traded between $3.00 and $3.75. ATM implied volatility averaged 71.4%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 35.5% (HV 20d: 35.9%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-03-05: Highest Volume — 16,536 contracts
  • 2018-03-19: Largest IV spike — 490.5% change
  • 2018-03-14: Highest IV Rank — 78.9%
  • 2018-03-15: Largest Expected Move — 29.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.34$3.00$3.75$3.39$3.02
Max Pain$3.83$3.00$4.00$3.50$3.00
ATM IV71.4%8.0%114.5%104.9%38.6%
Expected Move17.4%3.5%29.7%18.3%13.8%
HV 20d35.9%29.9%42.7%30.9%42.0%
HV 60d45.1%42.8%47.2%46.3%42.8%
IV Rank47.4%1.1%78.9%71.9%23.4%
IV Percentile54.3%0.4%92.9%86.1%9.5%
Term Structure-2.1%-69.9%26.6%25.2%12.3%
VWIV66.9%41.5%96.6%79.2%46.0%
Skew 25d7.3%-27.7%60.6%-19.5%4.2%
Skew 10d0.2%-55.2%62.8%62.8%7.9%
Call IV 25d64.8%26.2%132.0%126.6%33.7%
Put IV 25d72.2%30.1%176.4%107.1%37.9%
Bid-Ask Spread %152.26108.00186.03171.16134.14
Gamma HHI0.240.150.540.290.15
Net GEX153.2K76.7K319.3K163.9K84.4K
Net DEX-12.3M-17.1M-9.6M-11.9M-10.2M
Net VEX-83.0K-93.6K-76.1K-76.5K-80.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.251.921.690.42
Total Volume5,457.7142,54516,5368,6643,753
Total OI101,280.95290,682111,58597,98597,948

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$3.39$3.50104.9%18.3%30.9%71.9%79.2%-19.5%25.2%163.9K-11.9M-76.5K1.69171.163,2195,44582,71815,267
2018-03-02$3.37$3.5095.9%23.8%29.9%65.3%60.1%-23.6%-0.2%152.1K-11.4M-77.2K1.92168.322,8435,46083,32616,139
2018-03-05$3.44$4.0088.6%23.3%31.2%60.0%82.0%60.6%-14.2%230.6K-11.2M-76.7K0.55160.5610,6715,86582,58716,169
2018-03-06$3.36$4.0056.9%19.9%30.9%36.8%72.8%4.0%-12.3%165.3K-12.6M-85.3K1.27161.443,7324,73590,50216,687
2018-03-07$3.43$4.0078.2%12.2%32.1%52.4%75.6%7.9%-69.9%158.9K-13.6M-86.2K1.20143.123,4354,11691,20016,819
2018-03-08$3.55$4.00108.7%8.6%34.7%74.6%54.4%-11.7%24.7%215.0K-13.8M-91.1K1.15172.953,5814,11991,67616,943
2018-03-09$3.60$4.0092.0%28.7%30.5%62.5%53.4%44.4%-14.9%207.5K-15.3M-89.2K0.59142.642,2561,32492,01317,057
2018-03-12$3.68$4.0086.1%24.4%31.3%58.1%53.7%-27.7%23.3%226.9K-15.9M-91.8K0.74138.932,3771,76192,08217,235
2018-03-13$3.75$4.0077.8%13.1%31.8%52.1%51.1%-6.4%-35.8%230.0K-17.1M-93.6K0.75167.732,3681,78392,67117,839
2018-03-14$3.61$4.00114.5%16.6%35.0%78.9%59.8%16.4%-68.1%319.3K-16.0M-88.7K0.89160.931,9391,72392,89317,880
2018-03-15$3.55$4.0089.4%29.7%33.4%60.5%89.0%11.7%26.6%305.7K-13.8M-88.5K0.64174.412,7251,73593,13917,823
2018-03-16$3.42$4.008.0%3.5%35.7%1.1%68.6%-16.0%11.3%91.3K-10.3M-80.2K0.58180.752,7981,63293,72817,857
2018-03-19$3.24$4.0047.3%10.3%40.0%29.8%66.6%-5.9%25.6%95.7K-10.9M-82.7K0.33149.982,89795975,02315,659
2018-03-20$3.20$4.0044.0%9.0%39.2%27.4%41.5%-19.4%25.8%87.0K-10.9M-81.6K0.31146.572,93091076,01515,797
2018-03-21$3.16$4.0069.0%19.8%39.1%45.6%96.6%37.8%-11.0%84.5K-10.8M-80.5K0.44186.032,13993976,34315,862
2018-03-22$3.13$4.0084.3%24.1%39.0%56.8%94.3%24.4%2.5%80.0K-10.4M-77.2K0.55162.001,64789876,54515,995
2018-03-23$3.05$4.0070.0%19.5%39.2%46.4%92.6%41.5%8.0%76.7K-10.6M-76.1K0.25151.174,1111,04876,64015,995
2018-03-26$3.17$4.0053.1%17.4%42.7%34.1%59.4%17.0%-7.0%85.5K-10.7M-81.8K0.54108.452,0661,11978,57616,214
2018-03-27$3.06$3.5047.9%16.1%42.4%30.2%56.7%8.7%-6.9%79.4K-10.3M-79.4K0.56108.002,0291,14279,16416,519
2018-03-28$3.00$3.0044.5%14.5%42.5%27.8%51.8%5.4%10.1%77.9K-9.6M-78.1K0.35108.233,2501,13379,79516,560
2018-03-29$3.02$3.0038.6%13.8%42.0%23.4%46.0%4.2%12.3%84.4K-10.2M-80.0K0.42134.142,6431,11081,39216,556