AMRN Options History — December 2018

In December 2018, AMRN traded between $12.49 and $17.97. ATM implied volatility averaged 89.8%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded below realized volatility by 8.0% (HV 20d: 97.8%). Max pain ranged from $12.00 to $17.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-12-21: Highest Volume — 54,482 contracts
  • 2018-12-24: Largest IV spike — 14.0% change
  • 2018-12-24: Highest IV Rank — 34.6%
  • 2018-12-24: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.51$12.49$17.97$17.67$13.60
Max Pain$13.80$12.00$17.00$17.00$14.00
ATM IV89.8%79.1%110.4%84.0%87.1%
Expected Move26.0%22.5%31.8%22.9%25.6%
HV 20d97.8%71.4%130.2%127.2%71.4%
HV 60d212.0%94.8%304.1%303.6%94.8%
IV Rank28.0%24.6%34.6%26.1%27.1%
IV Percentile49.8%38.5%64.7%46.0%45.2%
Term Structure0.8%-7.9%8.9%2.5%6.7%
VWIV94.9%81.1%127.8%81.1%87.3%
Skew 25d13.0%2.4%26.1%14.9%12.2%
Skew 10d32.2%12.9%64.1%33.3%27.8%
Call IV 25d85.5%74.1%104.3%78.2%84.3%
Put IV 25d98.4%84.6%120.5%93.1%96.5%
Bid-Ask Spread %35.0214.2270.2366.7714.22
Gamma HHI0.110.080.210.080.09
Net GEX1.4M-364.5K3.0M2.0M1.0M
Net DEX-111.0M-229.1M-11.8M-197.1M-45.8M
Net VEX-684.4K-941.7K-443.6K-901.1K-443.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.262.500.260.29
Total Volume26,913.8513,57854,48236,62225,057
Total OI560,052.35464,910616,088552,724464,910

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$17.67$17.0084.0%22.9%127.2%26.1%81.1%14.9%2.5%2.0M-197.1M-901.1K0.2666.7729,1747,448350,063202,661
2018-12-04$17.05$17.0084.3%23.8%127.1%26.2%82.5%2.9%5.7%1.9M-173.9M-882.8K0.3567.8023,0227,945358,666206,369
2018-12-05$16.97$17.0084.0%24.9%127.2%26.2%84.7%2.4%3.7%1.8M-168.1M-861.1K0.3570.2323,5668,340358,666206,369
2018-12-06$17.97$12.0084.5%26.1%129.6%26.3%95.6%5.9%8.9%3.0M-229.1M-941.7K0.3628.8519,7067,152367,409209,277
2018-12-07$17.49$12.0082.1%26.2%129.7%25.5%93.1%11.8%2.2%2.7M-200.1M-900.8K0.6236.3215,0919,411375,012213,999
2018-12-10$16.71$12.0089.6%26.4%130.2%27.9%93.1%11.1%2.1%2.0M-157.8M-830.5K0.6427.0910,5666,760372,473211,745
2018-12-11$16.51$12.0087.0%25.0%128.1%27.1%88.1%9.6%0.3%1.8M-143.3M-792.7K0.4925.9110,7315,241376,033215,083
2018-12-12$16.88$12.0081.5%23.5%92.4%25.4%81.5%9.9%0.3%2.4M-156.9M-786.7K0.3037.5013,9894,167381,800217,233
2018-12-13$16.74$13.0080.5%22.5%90.9%25.0%82.8%12.6%-2.2%2.6M-149.2M-757.1K0.8432.177,3626,216388,364217,670
2018-12-14$16.15$13.0079.1%23.3%84.8%24.6%82.9%10.4%4.6%1.4M-115.5M-712.7K0.9831.627,2867,173388,357217,465
2018-12-17$15.48$13.0085.4%24.6%85.0%26.6%86.7%12.8%0.2%243.9K-82.7M-623.5K0.6018.1113,4278,109377,451212,074
2018-12-18$14.82$14.0092.1%26.2%84.8%28.7%101.7%26.1%2.4%98.8K-58.3M-590.1K0.8021.4413,38110,713379,724216,517
2018-12-19$14.99$14.0092.9%26.6%85.0%29.0%99.1%22.0%2.8%-356.7K-62.5M-596.6K1.3540.718,14111,019385,082220,035
2018-12-20$14.77$14.0095.1%27.3%75.3%29.7%108.6%18.1%-3.7%-364.5K-58.7M-586.6K1.4636.4310,38115,195386,901220,180
2018-12-21$13.18$14.0096.8%27.8%82.9%30.2%105.4%10.5%-1.1%789.0K-11.8M-533.9K1.5739.6921,21133,271388,796227,292
2018-12-24$12.49$14.00110.4%31.8%83.2%34.6%127.8%16.2%-4.6%699.9K-36.1M-461.9K1.5141.0814,71522,194296,196172,867
2018-12-26$13.86$14.00102.6%29.8%76.3%32.1%109.1%19.4%-7.9%1.2M-66.1M-520.6K2.5026.2815,12837,856300,216171,354
2018-12-27$13.57$14.00100.4%28.8%72.5%31.4%103.8%12.8%-2.2%1.2M-58.6M-497.0K0.5917.9315,6859,212305,771165,258
2018-12-28$13.22$14.0097.2%27.7%72.5%30.4%102.7%17.9%-3.7%967.4K-47.8M-467.0K0.9320.1512,04811,188308,958166,751
2018-12-31$13.60$14.0087.1%25.6%71.4%27.1%87.3%12.2%6.7%1.0M-45.8M-443.6K0.2914.2219,3855,672297,576167,334