AMRN Options History — July 2018

In July 2018, AMRN traded between $2.46 and $3.05. ATM implied volatility averaged 165.9%, placing in the 89.5% IV rank vs the trailing year. The 30-day expected move averaged 53.2%. IV traded above realized volatility by 105.0% (HV 20d: 60.9%). 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 14 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2018-07-17: Highest Volume — 15,282 contracts
  • 2018-07-30: Largest IV spike — 115.8% change
  • 2018-07-09: Highest IV Rank — 100.0%
  • 2018-07-06: Largest Expected Move — 62.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.83$2.46$3.05$2.95$2.55
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV165.9%91.5%208.7%133.6%91.5%
Expected Move53.2%21.6%62.2%23.6%61.5%
HV 20d60.9%54.5%71.0%55.9%58.3%
HV 60d50.6%48.5%53.2%52.0%50.2%
IV Rank89.5%42.0%100.0%92.8%42.0%
IV Percentile96.6%78.6%100.0%98.4%78.6%
Term Structure-20.0%-157.1%146.4%-118.5%-144.7%
VWIV183.8%59.1%223.1%59.1%218.2%
Skew 25d16.8%-130.0%104.7%102.8%24.2%
Skew 10d13.0%-129.5%118.4%95.7%-2.7%
Call IV 25d156.1%46.5%212.9%46.5%48.9%
Put IV 25d172.8%65.5%230.1%149.3%73.1%
Bid-Ask Spread %50.3320.25130.60105.4677.55
Gamma HHI0.120.110.130.120.12
Net GEX143.1K123.8K166.2K135.0K140.4K
Net DEX-20.7M-23.8M-16.0M-20.3M-18.3M
Net VEX-122.3K-128.0K-108.0K-123.9K-115.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.190.690.220.41
Total Volume11,595.5247,78115,28212,16413,763
Total OI215,636.048185,852239,886185,852239,886

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$2.95$3.00133.6%23.6%55.9%92.8%59.1%102.8%-118.5%135.0K-20.3M-123.9K0.22105.4610,0052,159148,38237,470
2018-07-03$3.00$3.00130.2%21.6%56.5%90.3%109.9%21.5%38.2%151.3K-21.6M-127.4K0.6962.096,7174,607154,38737,607
2018-07-05$2.93$3.00119.6%57.7%55.8%82.6%211.9%16.4%-133.2%134.4K-20.9M-124.9K0.2841.037,6752,120155,05539,772
2018-07-06$2.98$3.00114.5%62.2%56.4%78.9%223.1%-130.0%-157.1%133.1K-21.6M-126.0K0.3848.745,9602,236156,62139,946
2018-07-09$2.96$3.00175.7%59.5%56.0%100.0%196.6%20.8%14.3%138.5K-21.4M-124.6K0.6725.086,2204,169158,42240,076
2018-07-10$2.86$3.00156.9%59.0%56.3%88.9%206.9%31.3%53.2%127.4K-20.2M-121.4K0.3123.636,5472,002161,56442,358
2018-07-11$2.89$3.00174.6%57.1%56.4%99.4%198.6%-0.6%28.6%135.3K-21.0M-123.7K0.3420.255,7881,993164,31242,525
2018-07-12$3.01$3.00175.8%55.0%58.3%100.0%194.8%10.2%3.2%146.3K-22.1M-123.9K0.3136.656,3671,949165,41942,659
2018-07-13$3.05$3.00175.4%56.3%58.6%99.7%197.5%7.5%35.7%151.3K-23.8M-128.0K0.3336.587,0482,330166,91442,764
2018-07-16$2.79$3.00198.7%58.5%66.0%100.0%206.7%4.1%5.4%124.4K-19.9M-118.6K0.2129.7311,3232,369168,17143,284
2018-07-17$2.97$3.00196.4%57.3%70.0%98.8%203.4%6.4%9.4%153.0K-23.3M-127.8K0.3026.9211,7343,548175,39443,755
2018-07-18$2.85$3.00192.5%55.2%71.0%96.8%168.6%42.7%4.6%150.8K-22.1M-126.4K0.3536.617,2492,520180,85744,611
2018-07-19$2.78$3.00195.4%60.8%71.0%98.3%220.0%104.7%-149.3%132.1K-20.0M-120.9K0.2579.3610,9522,688180,87345,174
2018-07-20$2.80$3.00193.3%53.2%65.3%97.2%180.4%-10.8%29.3%141.4K-20.3M-122.9K0.3359.978,3442,727185,08346,065
2018-07-23$2.83$3.00168.0%53.7%63.9%84.0%188.4%41.6%146.4%148.0K-21.0M-122.7K0.1924.8912,0532,315180,10840,021
2018-07-24$2.75$3.00179.2%47.5%64.1%89.8%152.3%13.5%26.4%166.2K-20.7M-120.4K0.2267.2810,7092,394186,42540,563
2018-07-25$2.75$3.00208.7%59.9%64.1%100.0%186.4%4.0%-4.6%160.6K-20.9M-121.8K0.1929.8110,8462,093189,17541,346
2018-07-26$2.73$3.00205.6%53.1%63.8%98.5%189.7%0.7%35.9%160.1K-20.5M-121.4K0.2238.1110,3382,250192,56741,832
2018-07-27$2.63$3.0094.6%47.5%54.5%43.6%147.5%8.7%6.6%151.0K-19.4M-118.1K0.26130.609,7362,521193,50842,332
2018-07-30$2.46$3.00204.1%57.0%57.2%97.7%200.4%32.4%-149.3%123.8K-16.0M-108.0K0.2756.4911,8783,264188,19242,882
2018-07-31$2.55$3.0091.5%61.5%58.3%42.0%218.2%24.2%-144.7%140.4K-18.3M-115.8K0.4177.559,7564,007195,78444,102