AMRN Options History — December 2019

In December 2019, AMRN traded between $20.94 and $23.24. ATM implied volatility averaged 82.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 8.0% (HV 20d: 74.7%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2019-12-16: Highest Volume — 209,015 contracts
  • 2019-12-30: Largest IV spike — 59.5% change
  • 2019-12-12: Highest IV Rank — 43.5%
  • 2019-12-11: Largest Expected Move — 30.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.88$20.94$23.24$21.53$21.48
Max Pain$16.95$16.00$19.00$19.00$17.00
ATM IV82.7%50.0%107.1%85.7%69.1%
Expected Move23.6%19.4%30.2%22.0%19.4%
HV 20d74.7%43.6%106.4%103.8%43.7%
HV 60d68.1%66.5%69.6%66.5%67.7%
IV Rank24.1%0.0%43.5%26.3%15.0%
IV Percentile65.8%0.0%90.1%79.4%43.7%
Term Structure0.7%-19.4%11.0%-1.4%1.7%
VWIV84.1%68.9%106.5%79.4%68.9%
Skew 25d-1.6%-38.1%18.8%18.8%-12.8%
Skew 10d6.6%-41.9%46.1%-6.3%26.2%
Call IV 25d90.0%50.6%119.9%79.4%87.9%
Put IV 25d88.5%40.7%128.0%98.3%75.1%
Bid-Ask Spread %11.255.8030.437.835.80
Gamma HHI0.100.090.120.090.11
Net GEX11.3M8.8M13.3M10.1M10.0M
Net DEX-560.9M-745.4M-414.0M-541.0M-458.2M
Net VEX-1.9M-2.1M-1.6M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.200.630.220.28
Total Volume50,745.418,390209,01540,26443,227
Total OI798,655.4725,555919,728744,917735,867

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$21.53$19.0085.7%22.0%103.8%26.3%79.4%18.8%-1.4%10.1M-541.0M-2.0M0.227.8333,0337,231578,751166,166
2019-12-03$21.61$19.0085.9%21.7%103.8%26.4%78.5%8.1%8.9%10.9M-555.0M-2.0M0.528.1729,06315,035589,414170,530
2019-12-04$22.84$19.0084.9%22.6%104.6%25.6%80.1%8.9%-4.1%12.3M-687.3M-2.1M0.219.1951,62410,942600,910178,911
2019-12-05$21.91$16.0080.6%25.1%106.3%22.2%89.2%-19.7%8.3%12.0M-595.5M-2.0M0.3410.5526,9089,040614,849181,732
2019-12-06$22.28$16.0092.8%26.6%106.4%32.0%93.2%8.2%2.0%13.0M-643.7M-2.1M0.379.4427,77010,339625,123187,443
2019-12-09$22.60$16.0097.4%27.8%103.9%35.7%98.4%5.2%2.1%11.7M-670.7M-2.1M0.3511.6330,60610,652608,878168,315
2019-12-10$23.24$16.0098.9%28.7%103.7%36.9%101.9%5.4%2.3%12.3M-745.4M-2.1M0.207.9235,0487,112621,738175,887
2019-12-11$22.71$16.00103.0%30.2%103.6%40.2%106.5%5.7%3.5%12.0M-693.8M-2.1M0.4610.0325,62211,676630,272179,318
2019-12-12$22.96$16.00107.1%29.8%76.1%43.5%105.2%8.3%-6.1%12.7M-722.1M-2.1M0.3110.4418,6095,749638,772186,964
2019-12-16$22.98$16.0084.9%24.4%75.1%25.6%88.2%-4.5%3.8%13.3M-699.6M-1.9M0.248.73168,18140,834625,052179,645
2019-12-17$21.39$17.0081.2%23.3%66.8%22.6%85.2%-4.4%3.0%11.6M-516.7M-2.0M0.2810.2169,78819,439680,225202,814
2019-12-18$20.94$17.0080.5%23.1%62.4%22.1%82.8%-0.2%2.0%11.4M-455.4M-1.9M0.3212.2434,20911,078691,881209,309
2019-12-19$21.31$17.0078.3%22.3%62.8%20.3%80.9%1.2%2.4%12.0M-495.7M-1.9M0.4610.9739,09618,026695,683213,898
2019-12-20$21.07$17.0074.6%21.5%45.8%17.3%78.3%-3.3%-2.8%9.9M-460.3M-1.9M0.4513.4333,42915,120698,408221,320
2019-12-23$21.12$17.0070.7%21.2%45.4%14.2%75.4%-1.9%6.6%9.0M-435.9M-1.8M0.498.0026,17812,916574,811156,831
2019-12-24$21.35$17.0069.5%20.4%45.3%13.3%73.3%-1.3%-6.2%9.7M-456.7M-1.8M0.4011.2213,1555,235580,335164,245
2019-12-26$21.70$17.0078.1%20.8%45.5%20.2%74.3%-38.1%11.0%10.9M-492.1M-1.8M0.3012.8826,8197,986583,683167,979
2019-12-27$21.55$17.0050.0%20.2%43.6%0.0%73.2%-9.9%-4.8%11.5M-478.9M-1.8M0.6330.4319,91512,553591,570170,024
2019-12-30$21.03$17.0079.8%19.8%44.6%23.4%69.9%-5.1%-19.4%8.8M-414.0M-1.6M0.3115.8324,2077,458564,627160,928
2019-12-31$21.48$17.0069.1%19.4%43.7%15.0%68.9%-12.8%1.7%10.0M-458.2M-1.7M0.285.8033,6509,577570,535165,332