AMRN Options History — May 2018

In May 2018, AMRN traded between $2.78 and $3.34. ATM implied volatility averaged 62.8%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 10.7% (HV 20d: 52.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2018-05-16: Highest Volume — 15,608 contracts
  • 2018-05-25: Largest IV spike — 86.6% change
  • 2018-05-31: Highest IV Rank — 84.0%
  • 2018-05-21: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.13$2.78$3.34$2.78$3.30
Max Pain$3.05$3.00$3.50$3.50$3.00
ATM IV62.8%39.5%121.5%52.0%121.5%
Expected Move15.4%12.2%18.1%13.1%15.4%
HV 20d52.1%39.7%67.6%67.6%42.0%
HV 60d51.1%48.5%52.3%48.5%52.1%
IV Rank41.2%24.1%84.0%33.2%84.0%
IV Percentile49.3%10.3%96.0%32.5%96.0%
Term Structure11.6%-26.4%117.9%8.0%-15.5%
VWIV52.5%35.2%70.2%47.1%51.8%
Skew 25d6.2%-39.1%41.2%23.5%-33.2%
Skew 10d8.8%-19.0%34.1%-4.9%4.9%
Call IV 25d59.6%35.6%101.6%72.9%82.3%
Put IV 25d65.7%49.1%116.1%96.4%49.1%
Bid-Ask Spread %39.888.06138.66110.4952.13
Gamma HHI0.140.130.160.140.16
Net GEX166.7K126.5K197.7K126.5K195.5K
Net DEX-18.9M-22.7M-14.7M-14.7M-22.1M
Net VEX-122.5K-128.0K-112.8K-112.8K-127.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.281.641.470.54
Total Volume6,605.4094,85315,6085,0774,853
Total OI165,049.182161,169170,720161,169170,720

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$2.78$3.5052.0%13.1%67.6%33.2%47.1%23.5%8.0%126.5K-14.7M-112.8K1.47110.492,0523,025137,73723,432
2018-05-02$2.86$3.5063.0%15.5%60.4%41.3%54.2%5.9%-6.6%137.0K-15.6M-117.5K1.64138.661,9243,147138,61725,480
2018-05-03$3.08$3.0062.8%15.8%62.8%41.1%54.3%9.3%7.8%156.1K-18.4M-124.6K1.0396.623,1553,265139,15225,673
2018-05-04$3.16$3.0062.5%15.1%63.2%40.9%54.2%33.1%1.6%170.9K-19.4M-128.0K0.8524.293,7793,225139,93825,710
2018-05-07$3.13$3.0049.1%16.2%61.4%31.1%54.9%0.5%11.4%166.0K-19.1M-125.8K1.5413.331,9993,073139,28725,632
2018-05-08$3.07$3.0054.6%14.9%53.7%35.2%54.0%-1.3%-2.6%159.2K-18.3M-123.4K1.0810.762,8623,092139,63725,666
2018-05-09$3.15$3.0055.6%15.8%53.9%35.9%56.0%11.6%-6.9%174.3K-19.5M-126.0K1.5729.031,9793,110140,14625,655
2018-05-10$3.11$3.0053.6%14.9%54.1%34.5%50.7%2.9%0.2%166.4K-18.6M-124.9K1.5110.722,0333,074140,31325,665
2018-05-11$3.15$3.0071.5%15.3%54.0%47.5%51.6%25.1%-26.4%174.0K-18.9M-125.6K1.3267.272,3503,100140,43225,667
2018-05-14$3.21$3.0060.8%17.5%54.3%39.7%58.5%4.0%3.8%177.5K-19.8M-127.3K1.2614.342,5253,173140,73225,809
2018-05-15$3.18$3.0055.4%16.0%53.8%35.8%54.8%0.9%15.0%176.5K-19.5M-125.5K1.1912.052,6353,142141,24925,918
2018-05-16$3.20$3.0053.0%15.2%53.4%34.0%52.3%4.4%7.9%181.3K-19.5M-126.2K0.288.4812,2213,387141,80525,902
2018-05-17$3.26$3.0051.0%14.2%50.5%32.5%50.6%2.2%10.4%174.0K-19.3M-123.2K0.578.066,1483,489135,63425,874
2018-05-18$3.26$3.0051.5%15.9%49.9%32.9%51.3%-4.0%-13.9%177.3K-19.9M-124.4K0.9914.093,5583,519135,93025,987
2018-05-21$3.12$3.0074.7%18.1%49.4%49.8%70.2%41.2%59.0%155.5K-18.6M-115.5K0.9585.183,4133,249135,61325,605
2018-05-22$3.06$3.0039.5%13.6%49.7%24.1%44.8%18.9%35.3%158.0K-17.7M-116.3K0.8317.873,9763,299136,10425,788
2018-05-23$3.02$3.0056.7%16.4%48.2%36.7%58.9%7.4%28.5%154.9K-16.9M-115.1K0.8120.784,0073,226136,98925,876
2018-05-24$3.05$3.0055.5%14.9%41.6%35.8%43.0%-7.9%4.3%157.1K-18.5M-116.8K0.9812.233,7493,673138,49826,054
2018-05-25$3.09$3.00103.6%12.2%39.7%70.9%35.2%-39.1%117.9%157.9K-18.0M-118.1K0.4265.294,3761,860138,82126,492
2018-05-29$3.21$3.0065.2%16.8%40.5%42.9%57.3%5.2%9.9%173.7K-20.5M-122.5K0.5854.353,1081,813140,40226,834
2018-05-30$3.34$3.0069.1%15.4%42.0%45.7%49.6%25.0%5.7%197.7K-22.7M-127.4K0.3711.364,8871,789141,66126,946
2018-05-31$3.30$3.00121.5%15.4%42.0%84.0%51.8%-33.2%-15.5%195.5K-22.1M-127.3K0.5452.133,1461,707143,61227,108