AMRN Options History — November 2018

In November 2018, AMRN traded between $15.30 and $22.95. ATM implied volatility averaged 124.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 36.3%. IV traded above realized volatility by 27.3% (HV 20d: 97.0%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-11-12: Highest Volume — 135,410 contracts
  • 2018-11-12: Largest IV drop — 37.4% change
  • 2018-11-01: Highest IV Rank — 62.3%
  • 2018-11-01: Largest Expected Move — 75.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.20$15.30$22.95$22.40$18.02
Max Pain$16.81$16.00$18.00$16.00$17.00
ATM IV124.4%82.2%197.0%197.0%82.2%
Expected Move36.3%24.7%75.5%75.5%24.7%
HV 20d97.0%51.2%129.9%77.3%127.5%
HV 60d299.0%294.2%303.7%294.3%303.5%
IV Rank39.0%25.6%62.3%62.3%25.6%
IV Percentile67.9%44.8%93.7%93.7%44.8%
Term Structure-5.0%-22.8%14.5%-17.1%14.5%
VWIV126.7%85.2%260.2%260.2%85.2%
Skew 25d8.5%-3.9%28.9%14.4%6.1%
Skew 10d16.6%-7.1%42.1%32.2%5.5%
Call IV 25d120.3%81.2%188.2%188.2%83.4%
Put IV 25d128.8%88.4%203.5%202.6%89.5%
Bid-Ask Spread %31.2613.9460.2415.2260.24
Gamma HHI0.090.070.160.080.08
Net GEX2.7M-97.8K5.5M4.4M2.2M
Net DEX-323.0M-644.5M-91.0M-618.1M-228.9M
Net VEX-936.8K-1.1M-687.0K-990.7K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.211.600.310.83
Total Volume65,710.61921,287135,41064,54421,287
Total OI564,677.286427,287719,776570,885571,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$22.40$16.00197.0%75.5%77.3%62.3%260.2%14.4%-17.1%4.4M-618.1M-990.7K0.3115.2249,23115,313405,945164,940
2018-11-02$22.72$17.00190.9%74.6%76.7%60.3%257.9%16.1%-16.6%3.3M-644.5M-1.0M0.3213.9439,57512,651421,481172,352
2018-11-05$22.95$16.00177.8%44.0%74.4%56.1%151.4%17.3%-10.7%4.1M-568.6M-997.1K0.2116.7655,94911,653383,396138,370
2018-11-06$22.51$16.00156.1%39.6%68.8%49.2%135.4%19.1%-9.4%4.8M-495.4M-1.0M0.2123.9467,68714,329374,566146,120
2018-11-07$21.94$16.00169.8%44.0%67.4%53.6%150.5%26.7%-12.7%4.7M-478.6M-1.0M0.2629.7862,65816,423391,117153,591
2018-11-08$21.55$16.00146.8%41.0%51.2%46.2%141.5%28.9%-6.4%5.5M-460.2M-1.0M0.3732.7960,42822,143414,618160,676
2018-11-09$21.10$16.00167.5%44.8%51.8%52.8%150.6%13.3%-22.8%4.1M-454.5M-1.1M0.4233.3574,81931,368444,429168,094
2018-11-12$19.58$17.00104.9%28.4%58.0%32.8%100.2%-0.0%-5.1%4.4M-324.1M-867.3K0.5932.4685,33150,079452,881177,464
2018-11-13$15.30$17.00111.6%31.3%103.3%35.0%110.0%-3.9%-0.5%-97.8K-91.0M-687.0K0.6439.8156,96336,194473,978196,834
2018-11-14$16.09$17.00117.7%32.1%104.8%36.9%115.5%-0.6%-7.4%151.2K-133.2M-792.5K1.1530.7640,87847,101476,859205,591
2018-11-15$17.69$17.00113.9%32.5%111.2%35.7%116.5%3.4%-2.0%340.1K-226.5M-884.0K0.5823.4641,96424,460492,154220,599
2018-11-16$18.15$17.00111.3%31.7%111.8%34.9%112.1%-1.2%1.3%1.8M-256.4M-884.1K0.8623.2928,60624,682498,595221,181
2018-11-19$17.30$17.00100.3%28.6%112.8%31.3%101.8%3.0%-1.4%1.7M-208.4M-828.7K1.2323.8113,61016,731305,322121,965
2018-11-20$17.25$17.0095.0%27.0%108.5%29.7%93.6%0.3%2.3%1.6M-201.7M-810.2K1.1925.6810,83412,838308,421126,715
2018-11-21$19.04$17.0097.1%27.8%115.3%30.3%101.0%3.2%-1.5%2.7M-280.5M-897.1K0.8224.9861,43350,447312,051132,998
2018-11-23$19.20$17.00102.3%29.7%114.7%32.0%110.9%-2.2%-3.3%4.5M-300.0M-1.1M0.6939.3424,27116,867356,325163,803
2018-11-26$19.34$17.0093.9%26.8%114.8%29.3%94.6%4.4%1.3%2.7M-285.1M-1.0M1.2827.0610,22713,117335,056157,093
2018-11-27$16.40$18.0099.0%27.4%127.6%30.9%96.4%7.1%-11.2%1.2M-148.4M-886.9K1.5329.1632,37649,489338,453159,793
2018-11-28$17.35$18.0090.4%25.6%129.9%28.2%88.0%19.3%6.6%1.8M-187.4M-944.2K0.9051.3920,12818,179350,536196,896
2018-11-29$17.30$17.0086.4%24.7%129.9%26.9%87.3%3.0%-3.4%1.8M-190.2M-960.8K1.6059.2514,46423,140359,962205,651
2018-11-30$18.02$17.0082.2%24.7%127.5%25.6%85.2%6.1%14.5%2.2M-228.9M-1.0M0.8360.2411,6529,635363,972207,380