AMRN Options History — June 2018

In June 2018, AMRN traded between $2.74 and $3.47. ATM implied volatility averaged 86.1%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 48.1% (HV 20d: 37.9%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-06-28: Highest Volume — 10,538 contracts
  • 2018-06-28: Largest IV spike — 965.5% change
  • 2018-06-28: Highest IV Rank — 96.9%
  • 2018-06-25: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.19$2.74$3.47$3.37$3.08
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV86.1%13.1%139.2%78.4%82.1%
Expected Move24.6%12.6%28.4%16.0%23.7%
HV 20d37.9%31.6%54.2%34.3%54.2%
HV 60d51.0%49.1%52.6%52.1%51.3%
IV Rank58.1%4.8%96.9%52.5%55.2%
IV Percentile72.3%0.8%99.6%70.6%73.4%
Term Structure3.8%-96.3%106.8%13.2%-23.5%
VWIV91.8%67.6%146.6%67.6%78.0%
Skew 25d3.3%-99.0%58.2%17.8%40.9%
Skew 10d13.9%-99.3%80.2%1.8%49.4%
Call IV 25d86.4%61.1%115.2%69.2%75.1%
Put IV 25d89.7%13.1%173.4%87.1%116.0%
Bid-Ask Spread %51.7713.39126.9671.6878.65
Gamma HHI0.160.130.220.160.13
Net GEX161.3K109.4K230.1K203.8K134.3K
Net DEX-21.7M-25.3M-16.6M-23.5M-21.8M
Net VEX-123.9K-131.9K-112.4K-129.1K-125.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.341.790.740.34
Total Volume6,955.3814,71510,5386,7838,219
Total OI174,047.762157,909184,063171,470184,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$3.37$3.0078.4%16.0%34.3%52.5%67.6%17.8%13.2%203.8K-23.5M-129.1K0.7471.683,8972,886144,32527,145
2018-06-04$3.33$3.00103.4%24.7%33.9%70.8%81.3%-3.5%13.1%208.3K-22.7M-127.3K0.7937.483,7802,998145,24227,235
2018-06-05$3.33$3.0074.3%24.5%33.6%49.5%86.9%2.1%6.2%205.0K-22.4M-126.5K0.8025.973,8133,054145,52027,992
2018-06-06$3.41$3.0085.2%24.8%33.2%57.5%88.1%58.2%24.4%198.9K-23.0M-124.9K0.44111.307,1383,164145,78328,018
2018-06-07$3.39$3.0066.1%24.8%32.5%43.5%90.5%-3.2%-14.3%215.1K-24.4M-131.8K1.0913.392,7422,987149,28528,260
2018-06-08$3.43$3.0045.6%25.3%32.1%28.6%91.0%-5.6%6.0%224.3K-24.4M-131.9K1.1514.872,5872,981149,17528,285
2018-06-11$3.47$3.0070.0%24.5%32.0%46.4%92.9%-1.6%8.1%230.1K-25.1M-131.8K0.9014.582,9942,688149,21728,063
2018-06-12$3.38$3.0069.7%24.1%33.4%46.2%76.1%-0.1%12.7%223.3K-24.4M-129.1K0.9637.042,9842,861149,77428,196
2018-06-13$3.28$3.00121.5%12.6%35.1%84.0%146.6%56.1%-46.3%124.5K-25.3M-116.7K0.82126.962,8712,349150,08228,164
2018-06-14$3.27$3.0088.1%26.6%35.1%59.6%98.9%19.0%0.0%138.7K-21.8M-125.3K0.6332.412,8971,821150,35528,319
2018-06-15$3.23$3.0087.0%26.7%34.8%58.8%97.3%15.3%10.9%133.4K-21.5M-125.1K0.3450.734,2641,444150,32128,284
2018-06-18$3.29$3.0081.5%25.1%35.4%54.8%87.6%12.4%-1.4%149.5K-21.4M-125.2K0.6242.492,9101,805133,37424,535
2018-06-19$3.22$3.0092.6%26.5%32.5%62.9%95.7%0.5%6.2%138.1K-22.2M-123.8K0.9721.554,5044,373135,14725,258
2018-06-20$3.25$3.0093.2%26.7%31.6%63.3%92.9%-3.6%21.8%145.1K-22.3M-127.6K1.7922.413,0185,394137,65427,868
2018-06-21$2.99$3.0098.6%27.4%43.8%67.3%102.4%2.7%20.3%117.8K-19.9M-118.8K0.7586.844,0683,033138,24630,149
2018-06-22$2.87$3.0099.4%27.2%45.9%67.8%97.1%4.8%8.8%116.6K-18.2M-117.9K1.5318.003,1734,843140,49131,826
2018-06-25$2.80$3.00111.3%28.4%46.1%76.5%100.7%31.5%106.8%109.4K-16.6M-112.4K0.4870.315,5572,691141,10233,279
2018-06-26$2.79$3.00107.1%25.0%43.2%73.4%90.6%2.3%44.7%123.4K-17.2M-114.0K0.5713.664,1792,373143,11933,951
2018-06-27$2.74$3.0013.1%28.1%39.7%4.8%88.1%-99.0%-40.7%110.4K-17.1M-114.2K0.5591.434,0032,182144,77133,979
2018-06-28$3.01$3.00139.2%23.8%54.1%96.9%77.4%-77.4%-96.3%137.1K-21.1M-123.0K1.10105.345,0255,513145,16133,990
2018-06-29$3.08$3.0082.1%23.7%54.2%55.2%78.0%40.9%-23.5%134.3K-21.8M-125.6K0.3478.656,1132,106146,50837,555