AMRN Options History — February 2020

In February 2020, AMRN traded between $14.39 and $18.82. ATM implied volatility averaged 104.5%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded above realized volatility by 60.9% (HV 20d: 43.6%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2020-02-26: Highest Volume — 125,003 contracts
  • 2020-02-07: Largest IV spike — 43.6% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 38.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.61$14.39$18.82$18.41$14.39
Max Pain$20.13$19.00$21.00$19.50$19.00
ATM IV104.5%77.3%180.2%78.3%180.2%
Expected Move26.2%17.8%38.6%18.7%38.6%
HV 20d43.6%36.3%50.5%49.4%50.5%
HV 60d56.4%42.7%71.2%71.2%48.1%
IV Rank42.6%21.4%100.0%22.2%100.0%
IV Percentile84.1%62.3%100.0%63.9%100.0%
Term Structure9.3%-4.9%47.3%1.7%23.0%
VWIV90.1%61.8%131.1%61.8%131.1%
Skew 25d12.4%-47.5%79.2%9.9%79.2%
Skew 10d30.5%-24.0%95.2%8.0%44.9%
Call IV 25d100.6%68.2%137.3%76.0%128.8%
Put IV 25d113.0%64.9%208.0%85.8%208.0%
Bid-Ask Spread %34.1818.8382.3232.0241.88
Gamma HHI0.090.070.130.090.08
Net GEX3.8M1.2M5.5M3.9M1.8M
Net DEX-88.1M-151.8M8.5M-97.3M6.1M
Net VEX-1.6M-1.7M-1.3M-1.6M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.120.880.280.57
Total Volume43,425.78912,192125,00338,38340,542
Total OI713,916.263631,284800,231631,284776,332

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$18.41$19.5078.3%18.7%49.4%22.2%61.8%9.9%1.7%3.9M-97.3M-1.6M0.2832.0230,0748,309433,993197,291
2020-02-04$18.82$19.5077.3%17.9%50.0%21.4%62.2%9.7%-3.4%4.8M-130.0M-1.6M0.3526.7222,0987,743449,920200,862
2020-02-05$18.74$19.5079.4%17.8%48.4%23.1%62.1%12.6%-3.8%5.1M-127.6M-1.6M0.4824.0110,0804,869461,285203,996
2020-02-06$18.53$20.0078.6%22.8%46.0%22.4%79.5%8.9%0.5%4.2M-102.8M-1.6M0.4918.8310,5555,168455,285205,487
2020-02-07$17.62$20.00112.9%23.8%47.3%49.3%88.1%-2.5%47.3%3.0M-62.7M-1.5M0.5282.3239,04920,474457,955206,054
2020-02-10$17.96$21.0077.4%23.6%44.9%21.5%82.8%23.7%4.5%3.9M-69.2M-1.5M0.1244.7952,3246,291461,084211,042
2020-02-11$17.95$21.0084.2%24.3%42.3%26.9%84.2%-8.5%8.9%4.7M-91.6M-1.6M0.3123.0918,4445,732500,936213,722
2020-02-12$18.27$21.0098.1%23.3%42.6%37.7%80.7%22.5%12.8%5.5M-108.3M-1.6M0.6627.177,3664,826508,178217,509
2020-02-13$17.66$21.00104.1%24.4%43.9%42.4%85.4%1.6%0.8%4.4M-67.1M-1.6M0.4960.2810,8355,278511,475216,750
2020-02-14$17.70$21.0088.0%23.4%41.7%29.8%79.6%-47.5%9.7%3.9M-62.5M-1.5M0.8847.8412,55511,045515,132218,683
2020-02-18$18.26$21.0085.1%24.5%43.7%27.6%91.2%13.2%9.7%4.3M-96.9M-1.5M0.7836.3636,73228,477498,571214,725
2020-02-19$18.14$20.0092.0%26.4%37.6%33.0%87.5%9.7%0.9%5.0M-107.0M-1.6M0.2337.2938,7868,783528,187247,253
2020-02-20$17.89$20.0094.1%26.9%37.7%34.6%91.0%7.0%-0.6%4.3M-91.9M-1.6M0.2923.7424,6447,178541,269251,522
2020-02-21$17.82$20.00119.7%32.3%37.6%54.7%111.2%0.6%22.2%3.2M-110.8M-1.7M0.3319.4453,58717,702546,965253,266
2020-02-24$17.66$20.00130.4%31.0%36.9%63.1%106.5%18.6%-4.9%3.3M-151.8M-1.7M0.8322.4929,99624,791455,538216,763
2020-02-25$17.60$20.00119.0%31.6%36.3%54.1%105.6%13.0%21.0%3.5M-149.1M-1.7M0.3041.3326,7618,098470,328232,075
2020-02-26$16.30$20.00134.0%32.3%41.8%65.9%108.5%30.8%22.5%1.7M-62.3M-1.5M0.2920.1597,19427,809479,949236,362
2020-02-27$14.81$19.00152.6%33.4%50.2%80.5%112.3%33.0%4.8%1.2M8.5M-1.4M0.4419.7042,28018,615521,636247,029
2020-02-28$14.39$19.00180.2%38.6%50.5%100.0%131.1%79.2%23.0%1.8M6.1M-1.3M0.5741.8825,76014,782529,433246,899