AMRN Options History — September 2018

In September 2018, AMRN traded between $2.74 and $15.81. ATM implied volatility averaged 155.7%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 71.7%. IV traded below realized volatility by 11.5% (HV 20d: 167.3%). Max pain ranged from $3.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2018-09-25: Highest Volume — 136,884 contracts
  • 2018-09-05: Largest IV spike — 815.2% change
  • 2018-09-17: Highest IV Rank — 100.0%
  • 2018-09-20: Largest Expected Move — 98.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.84$2.74$15.81$3.29$15.81
Max Pain$3.32$3.00$6.00$3.00$6.00
ATM IV155.7%9.2%315.1%9.2%105.4%
Expected Move71.7%27.9%98.5%95.0%29.4%
HV 20d167.3%46.2%499.6%49.5%499.4%
HV 60d120.2%57.0%293.4%59.2%293.4%
IV Rank51.3%2.4%100.0%2.4%33.0%
IV Percentile81.7%1.2%100.0%1.2%76.6%
Term Structure-25.0%-334.9%222.0%-61.9%2.3%
VWIV256.3%98.5%345.2%256.4%104.6%
Skew 25d-18.5%-143.2%78.3%-143.2%12.0%
Skew 10d27.9%-143.2%240.6%-143.2%30.8%
Call IV 25d160.1%35.2%312.0%152.1%103.7%
Put IV 25d141.5%8.8%340.1%8.8%115.7%
Bid-Ask Spread %56.7915.41105.7859.6124.28
Gamma HHI0.140.100.210.140.10
Net GEX350.6K149.0K1.1M240.9K1.0M
Net DEX-104.3M-397.0M-21.3M-32.0M-397.0M
Net VEX-149.5K-348.0K-106.6K-133.7K-348.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.160.820.160.36
Total Volume45,690.36810,379136,88444,94672,199
Total OI340,787.684267,888452,069274,665452,069

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$3.29$3.009.2%95.0%49.5%2.4%256.4%-143.2%-61.9%240.9K-32.0M-133.7K0.1659.6138,7466,200225,80848,857
2018-09-05$3.25$3.0084.4%98.4%49.0%28.7%308.1%9.8%50.2%238.2K-37.8M-145.3K0.3933.209,4723,682259,09053,345
2018-09-06$3.18$3.0089.1%88.6%46.6%30.3%297.4%4.1%-43.7%274.3K-34.4M-138.8K0.2661.1813,5823,483261,55855,064
2018-09-07$3.18$3.00145.2%61.7%46.5%49.9%303.7%-47.8%-14.1%232.5K-35.4M-139.4K0.2446.1615,6603,778265,21956,396
2018-09-10$3.18$3.00166.1%93.5%46.2%57.2%304.5%28.1%155.9%256.9K-36.2M-138.5K0.2553.5316,0353,963258,58954,504
2018-09-11$3.17$3.00145.3%97.9%46.3%49.9%286.5%10.8%222.0%246.5K-35.0M-135.2K0.4445.167,1923,187264,93456,203
2018-09-12$3.08$3.0083.0%88.8%47.0%28.2%306.1%-59.6%177.4%257.5K-31.0M-128.9K0.3875.9215,2445,716266,70356,923
2018-09-13$2.95$3.00163.9%97.3%49.7%56.5%317.2%-90.6%214.2%217.8K-29.8M-122.8K0.2296.6418,9654,118272,02058,762
2018-09-14$2.90$3.00202.4%82.5%49.2%69.9%345.2%2.2%119.8%228.1K-26.0M-123.2K0.1676.0926,6454,353277,39960,171
2018-09-17$2.85$3.00302.2%97.9%48.7%100.0%297.3%-129.7%-205.3%174.5K-23.5M-112.1K0.3859.2312,2444,618286,01658,060
2018-09-18$2.74$3.00177.8%54.1%50.2%58.5%337.9%-123.2%-329.3%149.0K-21.3M-106.6K0.2070.4322,0564,359290,49659,629
2018-09-19$2.83$3.00253.2%72.6%51.6%83.7%320.2%78.3%-334.9%166.0K-25.5M-110.3K0.24105.7822,2775,429300,15259,699
2018-09-20$2.93$3.00315.1%98.5%52.7%100.0%317.8%40.6%-270.6%209.8K-25.3M-115.8K0.7358.1711,8608,619312,20761,848
2018-09-21$2.99$3.00208.7%73.2%47.4%66.0%294.3%23.8%-145.8%211.2K-28.0M-115.1K0.3899.0928,71310,769314,01965,945
2018-09-24$12.18$3.00184.2%42.0%499.4%58.2%148.5%9.9%-14.9%269.2K-265.9M-119.7K0.8260.8874,84361,482227,52240,366
2018-09-25$13.03$4.00116.1%33.4%499.2%36.4%120.6%6.0%2.8%298.0K-274.9M-137.5K0.5118.2590,87146,013223,94783,160
2018-09-26$13.47$4.00109.9%29.5%499.4%34.4%104.6%5.3%-0.6%898.3K-304.4M-222.0K0.6519.9767,51344,011274,341110,797
2018-09-27$13.86$4.0098.0%27.9%499.6%30.6%98.5%11.5%2.2%1.1M-317.7M-248.4K0.3215.4160,58619,634281,874121,274
2018-09-28$15.81$6.00105.4%29.4%499.4%33.0%104.6%12.0%2.3%1.0M-397.0M-348.0K0.3624.2852,94619,253303,483148,586