AMRN Options History — April 2018

In April 2018, AMRN traded between $2.71 and $3.18. ATM implied volatility averaged 57.4%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 2.1% (HV 20d: 59.5%). 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 11 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2018-04-11: Highest Volume — 25,574 contracts
  • 2018-04-26: Largest IV spike — 21.6% change
  • 2018-04-04: Highest IV Rank — 47.9%
  • 2018-04-30: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.98$2.71$3.18$2.93$2.77
Max Pain$3.43$3.00$3.50$3.00$3.50
ATM IV57.4%45.5%72.1%61.3%56.2%
Expected Move17.5%14.3%20.3%17.3%20.3%
HV 20d59.5%41.6%68.0%42.9%67.5%
HV 60d48.3%43.0%51.3%43.1%48.5%
IV Rank37.2%28.5%47.9%40.1%36.3%
IV Percentile42.9%17.9%63.5%50.8%42.5%
Term Structure1.1%-22.3%38.0%38.0%1.4%
VWIV57.3%37.7%71.1%60.9%71.1%
Skew 25d-0.1%-13.6%13.5%0.7%-9.4%
Skew 10d5.2%-8.5%52.9%10.9%52.9%
Call IV 25d52.7%37.7%69.6%62.3%59.1%
Put IV 25d52.6%38.8%74.1%62.9%49.6%
Bid-Ask Spread %36.459.06134.09124.3113.16
Gamma HHI0.140.130.140.140.14
Net GEX113.6K78.0K151.7K78.0K124.1K
Net DEX-13.7M-16.9M-9.7M-9.7M-14.9M
Net VEX-99.1K-114.8K-76.9K-76.9K-112.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.061.890.141.89
Total Volume7,000.5243,65025,5748,9775,751
Total OI127,354.95297,928160,84697,928160,846

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$2.93$3.0061.3%17.3%42.9%40.1%60.9%0.7%38.0%78.0K-9.7M-76.9K0.14124.317,8781,09981,37816,550
2018-04-03$2.92$3.0065.7%19.3%41.6%43.2%65.5%1.4%-2.8%83.3K-10.1M-82.1K0.2277.508,1551,77286,51216,740
2018-04-04$3.18$3.0072.1%19.4%52.8%47.9%56.2%11.3%13.0%94.9K-12.2M-89.2K0.66134.092,4591,63187,95617,365
2018-04-05$2.99$3.5062.3%17.4%55.9%40.7%48.3%5.7%-22.3%87.8K-11.2M-84.6K0.5122.462,9141,47888,89517,368
2018-04-06$3.03$3.5058.3%18.5%54.3%37.9%50.9%-9.2%-6.8%91.9K-11.6M-86.6K0.4822.822,9481,42090,49617,392
2018-04-09$2.91$3.5052.7%18.1%54.8%33.7%55.4%-6.6%16.6%84.8K-10.7M-83.3K0.5221.922,8201,47290,57717,387
2018-04-10$3.17$3.5057.3%17.4%63.8%37.1%64.8%-2.6%24.4%105.4K-12.6M-90.3K0.3426.144,0471,36491,71317,446
2018-04-11$3.10$3.5057.6%17.9%63.2%37.3%55.4%12.5%4.1%98.5K-12.3M-87.8K0.0636.4724,1891,38592,48017,524
2018-04-12$3.08$3.5060.6%16.7%62.3%39.5%42.7%13.5%-3.3%121.1K-16.2M-107.3K0.2614.815,2011,346113,96417,548
2018-04-13$3.04$3.5050.7%16.3%62.2%32.3%48.9%8.4%8.0%121.7K-15.8M-108.5K0.4513.572,9841,356115,42917,610
2018-04-16$3.04$3.5057.6%16.4%61.3%37.3%57.6%-12.3%-1.3%128.1K-15.4M-107.6K0.5113.572,5641,304116,13417,619
2018-04-17$3.12$3.5057.4%16.4%59.5%37.2%55.0%-2.3%6.0%132.1K-16.9M-109.6K0.5613.132,3461,304116,37017,645
2018-04-18$3.18$3.5055.8%16.0%59.8%36.0%53.3%1.8%3.0%151.7K-16.9M-111.9K0.4413.242,8831,273116,72017,645
2018-04-19$3.03$3.5057.7%16.6%62.1%37.4%37.7%-7.9%0.6%133.2K-15.7M-106.2K0.5021.722,6051,307117,31617,652
2018-04-20$2.98$3.5060.1%16.9%62.2%39.1%63.8%-13.6%0.6%126.6K-15.2M-105.6K0.4114.782,6531,091117,54417,699
2018-04-23$2.84$3.5063.2%18.2%63.8%41.4%61.9%-11.2%-16.2%121.5K-13.3M-100.3K0.2715.6711,9043,254115,19317,644
2018-04-24$2.80$3.5051.2%18.5%61.9%32.7%63.9%-6.5%-4.2%118.9K-14.1M-104.1K0.4283.412,8211,186125,05219,615
2018-04-25$2.71$3.5045.5%14.3%61.8%28.5%63.5%10.5%-4.1%110.7K-13.2M-101.4K0.719.063,0682,186125,75419,547
2018-04-26$2.91$3.5055.3%17.8%67.3%35.7%62.2%3.4%-12.4%137.9K-14.7M-110.7K0.1110.6511,6811,296127,23620,602
2018-04-27$2.82$3.5046.6%18.6%68.0%29.3%64.4%10.3%-18.5%133.7K-15.1M-114.8K1.2762.922,9123,704137,50720,784
2018-04-30$2.77$3.5056.2%20.3%67.5%36.3%71.1%-9.4%1.4%124.1K-14.9M-112.5K1.8913.161,9893,762137,46323,383