AMRN Options History — September 2019

In September 2019, AMRN traded between $14.76 and $17.20. ATM implied volatility averaged 62.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 6.0% (HV 20d: 56.1%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2019-09-04: Highest Volume — 50,051 contracts
  • 2019-09-30: Largest IV spike — 29.4% change
  • 2019-09-04: Highest IV Rank — 18.2%
  • 2019-09-05: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.26$14.76$17.20$14.76$15.19
Max Pain$16.10$16.00$17.00$17.00$16.00
ATM IV62.2%53.1%77.3%61.8%77.3%
Expected Move16.9%14.9%19.2%18.0%17.0%
HV 20d56.1%42.8%90.4%84.5%42.8%
HV 60d68.5%62.1%70.4%68.0%62.1%
IV Rank5.8%0.0%18.2%17.2%16.8%
IV Percentile19.5%0.4%52.8%18.3%52.8%
Term Structure6.7%-5.4%53.2%0.4%-3.3%
VWIV59.4%51.1%67.9%62.0%60.0%
Skew 25d7.2%1.9%29.1%2.7%29.1%
Skew 10d18.1%-5.0%37.9%12.4%7.5%
Call IV 25d59.2%51.1%75.2%62.9%75.2%
Put IV 25d66.4%55.2%104.3%65.6%104.3%
Bid-Ask Spread %19.249.2931.4418.3613.36
Gamma HHI0.100.070.280.070.07
Net GEX3.8M1.6M7.3M1.6M2.6M
Net DEX-146.9M-204.9M-53.3M-53.3M-100.2M
Net VEX-1.3M-1.5M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.110.780.780.49
Total Volume22,531.056,22050,05120,27421,080
Total OI648,196.55542,082699,113626,013598,052

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$14.76$17.0061.8%18.0%84.5%17.2%62.0%2.7%0.4%1.6M-53.3M-1.2M0.7818.3611,3978,877446,837179,176
2019-09-04$16.07$17.0064.8%18.8%90.4%18.2%65.0%3.7%-0.7%3.0M-124.7M-1.4M0.1122.9344,9795,072453,315186,011
2019-09-05$16.01$16.0069.0%19.2%90.4%6.1%67.4%5.9%0.4%4.2M-137.5M-1.4M0.5319.8718,0059,540474,529188,591
2019-09-06$16.24$16.0068.2%19.2%88.4%5.8%67.3%6.7%-1.6%3.9M-158.5M-1.4M0.1123.3520,5082,243480,996196,170
2019-09-09$15.89$16.0066.6%19.2%60.3%5.2%67.9%4.7%1.1%3.0M-119.0M-1.4M0.3931.4416,0936,244474,969192,477
2019-09-10$16.29$16.0064.7%18.9%53.6%4.5%65.2%7.6%2.1%3.5M-141.9M-1.4M0.3520.4211,0323,861476,970197,023
2019-09-11$16.72$16.0063.6%17.9%53.2%4.1%64.1%11.5%-1.7%4.1M-178.4M-1.4M0.3125.3016,2895,002480,661200,523
2019-09-12$16.87$16.0063.3%17.4%51.9%3.9%61.1%10.5%-2.6%4.7M-192.4M-1.5M0.5218.239,7835,126485,143202,897
2019-09-13$16.73$16.0059.3%15.9%50.3%2.4%56.6%6.6%-5.4%4.9M-174.4M-1.4M0.3918.8314,7085,684488,342205,450
2019-09-16$17.19$16.0059.1%16.8%48.1%2.3%58.8%1.9%0.3%4.5M-200.0M-1.4M0.2014.6818,3483,681480,862202,714
2019-09-17$17.20$16.0058.0%16.4%47.3%1.9%58.0%4.0%7.4%5.0M-204.9M-1.4M0.2014.2213,3192,712489,133204,619
2019-09-18$16.98$16.0056.8%16.3%47.5%1.4%56.5%3.9%3.1%4.5M-192.7M-1.4M0.3827.004,5181,702490,956200,593
2019-09-19$16.93$16.0053.1%14.9%46.1%0.0%51.1%3.3%6.9%5.0M-188.7M-1.3M0.5715.8919,98711,403492,951201,009
2019-09-20$16.89$16.0054.4%15.4%44.8%0.5%53.9%6.3%2.6%7.3M-183.1M-1.3M0.5315.2619,80810,465496,630202,483
2019-09-23$16.66$16.0055.7%15.0%44.0%1.7%54.5%10.0%23.6%3.2M-153.9M-1.3M0.439.2915,9406,892393,170148,912
2019-09-24$15.97$16.0057.7%15.6%47.0%3.2%55.5%8.0%13.0%2.8M-118.9M-1.2M0.4312.3517,4597,548411,153158,520
2019-09-25$15.93$16.0057.5%15.0%44.2%3.1%53.2%6.7%22.1%3.1M-122.6M-1.3M0.3315.728,6712,893422,579161,916
2019-09-26$15.57$16.0072.5%15.6%43.9%13.5%55.0%6.7%53.2%2.8M-104.2M-1.2M0.5625.5216,1088,988427,223163,273
2019-09-27$15.14$16.0059.7%15.3%44.1%4.6%54.6%4.5%14.1%2.4M-88.1M-1.2M0.2022.8120,5294,127438,113168,990
2019-09-30$15.19$16.0077.3%17.0%42.8%16.8%60.0%29.1%-3.3%2.6M-100.2M-1.2M0.4913.3614,1116,969433,130164,922