AMRN Options History — April 2020

In April 2020, AMRN traded between $4.76 and $8.26. ATM implied volatility averaged 109.8%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 33.4%. IV traded below realized volatility by 313.7% (HV 20d: 423.5%). Max pain ranged from $5.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-04-01: Highest Volume — 173,553 contracts
  • 2020-04-30: Largest IV spike — 46.9% change
  • 2020-04-01: Highest IV Rank — 58.5%
  • 2020-04-01: Largest Expected Move — 47.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.39$4.76$8.26$5.03$7.65
Max Pain$6.00$5.00$12.00$12.00$6.00
ATM IV109.8%67.3%152.1%152.1%98.9%
Expected Move33.4%26.8%47.2%47.2%32.2%
HV 20d423.5%85.6%463.7%456.9%85.6%
HV 60d268.9%266.2%271.4%266.2%271.4%
IV Rank34.2%9.9%58.5%58.5%28.0%
IV Percentile75.8%40.1%90.1%90.1%71.4%
Term Structure-3.8%-60.5%16.4%-60.5%16.4%
VWIV118.6%94.9%167.4%167.4%116.6%
Skew 25d-4.0%-32.5%7.0%-8.2%-7.3%
Skew 10d-4.9%-45.3%44.3%-18.5%-17.8%
Call IV 25d113.9%93.9%161.0%161.0%104.6%
Put IV 25d109.8%90.3%152.7%152.7%97.4%
Bid-Ask Spread %10.043.2731.1920.864.60
Gamma HHI0.180.090.560.170.12
Net GEX703.0K321.6K1.6M364.0K924.7K
Net DEX-5.9M-59.6M25.5M25.5M-41.5M
Net VEX-361.2K-519.1K-244.2K-274.1K-466.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.100.410.250.16
Total Volume50,581.2387,333173,553173,55342,684
Total OI582,777.238388,330737,411724,027439,514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$5.03$12.00152.1%47.2%456.9%58.5%167.4%-8.2%-60.5%364.0K25.5M-274.1K0.2520.86138,59034,963569,145154,882
2020-04-02$5.13$5.00140.4%40.9%457.7%51.7%150.5%-12.8%-25.9%581.8K17.7M-291.2K0.185.6873,25413,420563,028161,282
2020-04-03$4.76$5.00143.4%38.7%457.7%53.5%138.9%-32.5%1.2%321.6K25.0M-253.8K0.4131.1930,20812,245572,171161,996
2020-04-06$4.79$6.00126.9%37.3%458.2%44.0%131.5%-10.0%4.6%352.8K25.3M-244.2K0.1313.0737,6894,717526,838147,400
2020-04-07$5.06$5.00115.8%33.6%459.4%37.7%119.1%7.0%-1.0%512.2K21.0M-259.9K0.164.7747,0337,385538,365145,578
2020-04-08$5.79$5.00116.8%34.9%463.3%38.2%125.7%-3.4%5.6%759.1K8.0M-312.7K0.395.1278,32830,839547,848146,460
2020-04-09$6.06$5.00103.3%31.6%463.7%30.5%111.2%-5.1%13.5%1.5M2.6M-339.7K0.136.4055,8897,103562,921171,206
2020-04-13$6.39$5.00122.8%35.1%462.5%41.6%126.9%-1.0%-3.9%524.0K8.1M-371.1K0.2015.8443,5848,767535,293163,012
2020-04-14$6.38$6.00116.3%33.1%460.1%38.0%114.8%0.0%-2.4%696.3K9.7M-357.7K0.214.2644,1949,411554,494172,599
2020-04-15$6.38$6.00107.1%30.7%460.2%32.7%105.3%0.7%-1.3%752.3K9.2M-363.0K0.203.8522,3804,525560,858173,693
2020-04-16$6.12$6.0099.5%28.2%460.3%28.3%102.3%-6.5%4.8%690.4K13.5M-338.8K0.213.2715,3723,232565,427171,818
2020-04-17$6.56$6.0093.7%26.8%457.5%25.0%94.9%2.3%-2.3%520.2K2.6M-362.5K0.278.9634,9129,466565,009172,402
2020-04-20$6.71$6.00105.2%30.4%457.0%31.6%105.3%5.2%-1.9%532.7K-18.3M-381.0K0.2412.5718,8474,523274,434113,896
2020-04-21$6.48$6.00103.1%28.7%457.0%30.4%104.3%5.0%-0.7%530.3K-13.5M-365.4K0.329.0710,8213,492279,822114,059
2020-04-22$6.66$6.0097.9%27.9%454.8%27.4%97.0%7.0%3.6%614.5K-17.2M-374.4K0.137.906,481852282,614115,141
2020-04-23$6.74$6.00100.4%28.8%453.3%28.9%102.2%-0.7%-7.9%701.9K-19.1M-378.1K0.199.6414,4362,787284,187115,082
2020-04-24$7.49$6.0097.1%30.0%454.3%27.0%104.7%4.3%-2.1%1.6M-38.6M-418.0K0.198.5951,99110,125285,963116,226
2020-04-27$7.91$6.00101.0%32.7%455.3%29.2%116.7%-1.7%2.5%633.4K-43.4M-461.6K0.2211.2929,1856,323275,501115,653
2020-04-28$7.84$6.0097.4%29.7%455.1%27.1%106.2%-4.2%2.0%738.0K-41.5M-452.4K0.1218.1124,0732,938285,598118,062
2020-04-29$8.26$6.0067.3%42.6%104.0%9.9%149.2%-22.4%-23.5%861.4K-59.6M-519.1K0.105.8359,0986,044299,601119,244
2020-04-30$7.65$6.0098.9%32.2%85.6%28.0%116.6%-7.3%16.4%924.7K-41.5M-466.7K0.164.6036,6506,034316,888122,626