AMRN Options History — November 2019

In November 2019, AMRN traded between $16.77 and $24.26. ATM implied volatility averaged 89.9%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 15.6% (HV 20d: 74.3%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.39.

Notable Days

  • 2019-11-15: Highest Volume — 236,318 contracts
  • 2019-11-12: Largest IV drop — 42.9% change
  • 2019-11-11: Highest IV Rank — 60.0%
  • 2019-11-01: Largest Expected Move — 47.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.86$16.77$24.26$16.80$21.23
Max Pain$17.26$15.00$19.00$15.00$19.00
ATM IV89.9%64.9%127.7%120.8%76.7%
Expected Move25.4%18.6%47.4%47.4%21.0%
HV 20d74.3%33.5%105.0%36.2%103.9%
HV 60d58.1%42.1%69.2%58.4%66.5%
IV Rank28.9%9.5%60.0%47.0%19.0%
IV Percentile64.5%31.7%97.6%93.3%56.3%
Term Structure-2.0%-22.0%11.1%-14.1%-7.2%
VWIV89.5%66.5%169.6%169.6%75.5%
Skew 25d15.3%-22.1%53.0%49.1%1.2%
Skew 10d34.2%-1.5%110.1%97.6%60.0%
Call IV 25d83.9%65.3%117.1%100.4%80.0%
Put IV 25d99.3%62.7%149.5%149.5%81.1%
Bid-Ask Spread %30.738.9162.6738.6832.01
Gamma HHI0.100.070.160.080.09
Net GEX8.7M4.1M14.6M4.1M10.9M
Net DEX-471.4M-1.09B-251.2M-262.6M-520.9M
Net VEX-1.8M-2.0M-1.5M-1.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.140.910.250.18
Total Volume83,476.26320,080236,31825,66630,517
Total OI790,851.526684,737973,985700,871786,385

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$16.80$15.00120.8%47.4%36.2%47.0%169.6%49.1%-14.1%4.1M-262.6M-1.5M0.2538.6820,4885,178499,303201,568
2019-11-04$17.40$16.00124.8%32.7%37.4%52.1%96.2%27.9%-3.9%4.7M-288.2M-1.5M0.4843.5356,22626,847489,098195,639
2019-11-05$17.38$16.00111.9%31.4%34.5%47.2%108.9%32.9%-22.0%5.4M-284.9M-1.5M0.4359.3937,31216,160526,284215,372
2019-11-06$17.62$16.00114.6%29.3%33.5%49.5%112.4%30.5%-5.6%6.3M-311.6M-1.6M0.8254.0718,32714,980536,387222,344
2019-11-07$16.77$16.00111.5%31.2%34.8%47.0%109.5%13.1%-10.1%4.7M-251.2M-1.5M0.9162.6726,34323,857537,722229,641
2019-11-08$17.41$16.00122.2%32.8%35.6%55.6%107.2%53.0%-13.7%6.0M-302.9M-1.6M0.1749.5571,05312,300554,170243,938
2019-11-11$16.99$16.00127.7%35.1%37.2%60.0%116.9%33.7%0.1%5.2M-295.2M-1.6M0.4744.6551,90224,535576,052238,119
2019-11-12$20.81$16.0072.9%20.0%79.5%16.0%77.1%15.9%-3.8%12.4M-652.3M-1.7M0.6422.50128,29481,711602,293251,688
2019-11-13$21.61$16.0076.8%21.2%80.0%19.1%74.2%13.2%-2.2%12.2M-727.8M-1.8M0.3730.02148,24054,180624,466277,155
2019-11-15$24.26$16.0070.7%19.9%87.6%14.2%69.9%9.0%-2.2%14.6M-1.09B-1.9M0.1428.02208,13928,179666,078307,907
2019-11-18$22.57$17.0067.0%19.1%92.8%11.3%68.4%-1.0%11.1%11.5M-634.5M-1.9M0.3413.71107,39936,262555,185159,061
2019-11-19$22.74$19.0064.9%18.6%92.6%9.5%66.5%1.6%9.9%12.2M-641.9M-2.0M0.2912.2930,6549,031596,925185,003
2019-11-20$20.19$19.0077.2%22.1%104.5%19.4%79.1%3.6%5.3%8.0M-406.9M-1.9M0.3614.9398,43035,641604,207189,836
2019-11-21$20.56$19.0073.2%20.7%104.4%16.2%77.4%1.6%8.3%9.4M-450.5M-2.0M0.2225.8943,0529,395633,429197,405
2019-11-22$20.87$19.0068.2%18.8%104.4%12.2%69.6%2.6%6.9%10.7M-474.4M-2.0M0.3413.3627,9549,455629,442201,426
2019-11-25$21.10$19.0073.9%20.7%103.7%16.7%73.1%12.3%6.5%9.6M-490.8M-2.0M0.2411.6536,1828,676573,524173,992
2019-11-26$20.39$19.0079.4%21.1%105.0%21.2%75.0%13.6%4.4%8.5M-429.1M-1.9M0.4618.0419,8479,223587,276178,562
2019-11-27$20.55$19.0073.8%20.4%103.7%16.7%73.7%-22.1%-5.7%9.0M-444.3M-1.9M0.278.9115,8734,207595,563183,734
2019-11-29$21.23$19.0076.7%21.0%103.9%19.0%75.5%1.2%-7.2%10.9M-520.9M-2.0M0.1832.0125,8554,662601,243185,142