AMRN Options History — May 2020

In May 2020, AMRN traded between $6.79 and $7.91. ATM implied volatility averaged 88.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded above realized volatility by 22.4% (HV 20d: 66.3%). Max pain ranged from $6.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-05-05: Highest Volume — 49,602 contracts
  • 2020-05-14: Largest IV spike — 30.5% change
  • 2020-05-06: Highest IV Rank — 31.6%
  • 2020-05-14: Largest Expected Move — 30.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.42$6.79$7.91$7.34$6.85
Max Pain$8.70$6.00$10.00$6.00$8.00
ATM IV88.7%76.5%105.3%92.8%84.3%
Expected Move25.6%22.8%30.5%29.5%23.2%
HV 20d66.3%38.9%88.4%88.4%38.9%
HV 60d271.3%269.9%271.8%271.4%269.9%
IV Rank22.1%15.2%31.6%24.5%19.6%
IV Percentile62.8%50.0%75.0%67.9%57.9%
Term Structure1.8%-12.4%15.2%-3.1%1.0%
VWIV89.7%77.7%110.8%110.8%78.2%
Skew 25d3.7%-11.8%21.3%-6.8%9.6%
Skew 10d0.0%-45.0%34.5%0.7%15.0%
Call IV 25d86.0%68.9%106.9%96.4%81.2%
Put IV 25d89.7%76.5%106.5%89.6%90.8%
Bid-Ask Spread %7.213.0316.544.037.77
Gamma HHI0.110.080.140.100.08
Net GEX659.6K272.6K1.1M673.7K272.6K
Net DEX-24.4M-40.0M-7.4M-31.6M-10.0M
Net VEX-457.1K-491.4K-432.4K-448.6K-438.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.061.010.220.17
Total Volume19,595.99,70349,60221,40010,789
Total OI443,628.35397,427477,817449,366436,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$7.34$6.0092.8%29.5%88.4%24.5%110.8%-6.8%-3.1%673.7K-31.6M-448.6K0.224.0317,4863,914324,383124,983
2020-05-04$7.56$10.00103.8%29.8%81.4%30.8%105.7%4.1%2.5%772.6K-32.9M-442.4K0.159.4321,2033,165301,087118,859
2020-05-05$7.67$10.0092.0%29.1%81.2%24.1%102.2%-11.8%15.2%938.9K-37.4M-452.6K0.774.0728,10221,500312,051120,814
2020-05-06$7.39$10.00105.3%27.1%83.1%31.6%96.8%-9.0%-1.3%867.2K-30.1M-466.2K0.093.6515,6241,372326,112134,642
2020-05-07$7.54$10.0089.6%26.8%70.9%22.7%94.3%2.9%-2.5%1.0M-34.2M-475.6K0.124.149,0661,086333,088135,281
2020-05-08$7.73$10.0092.2%26.1%70.1%24.2%89.9%-5.8%-3.0%895.5K-38.6M-483.9K0.123.0316,6161,995335,661135,521
2020-05-11$7.91$10.0086.7%25.1%68.5%21.0%89.9%9.9%5.4%1.1M-40.0M-491.4K0.146.4311,8541,704323,135131,865
2020-05-12$7.76$9.0076.8%25.2%69.2%15.4%88.8%-5.3%14.0%1.1M-35.0M-473.5K0.123.1312,9721,599328,683132,576
2020-05-13$7.43$9.0076.5%23.8%71.7%15.2%81.9%10.6%4.4%900.7K-24.3M-432.4K0.153.2112,1721,771334,068132,471
2020-05-14$7.72$9.0099.9%30.5%70.0%28.6%105.6%21.3%7.2%1.1M-36.3M-472.4K0.066.5533,2351,908337,242133,023
2020-05-15$7.71$9.0086.0%25.8%66.7%20.6%92.5%8.2%4.0%456.5K-33.0M-458.1K0.094.4423,7792,170344,330133,487
2020-05-18$7.59$8.0081.3%23.7%67.0%17.9%81.7%1.7%-2.1%529.4K-19.6M-445.4K1.0113.9217,24717,431279,126118,301
2020-05-19$7.45$8.0087.8%24.9%65.9%21.6%87.1%2.8%-0.1%458.2K-16.8M-465.0K0.308.4713,5504,053288,376131,847
2020-05-20$7.46$8.0081.1%23.2%65.5%17.8%80.4%2.8%1.7%489.8K-17.4M-470.2K0.3611.517,1162,587294,589134,549
2020-05-21$7.33$8.0080.6%22.8%66.0%17.5%77.7%1.5%6.7%404.9K-15.3M-464.8K0.226.2310,2742,220298,059136,275
2020-05-22$7.17$8.0083.4%23.9%54.5%19.1%82.7%1.8%-1.0%275.1K-9.5M-445.9K0.1716.5420,5643,573301,921137,758
2020-05-26$7.09$8.0098.2%23.9%50.3%27.6%82.2%12.7%0.4%302.0K-10.8M-442.2K0.2013.1211,8462,358287,049133,934
2020-05-27$6.97$8.0087.2%23.4%50.4%21.3%79.5%14.2%-0.6%321.0K-8.6M-436.0K0.136.5212,5301,614292,962134,142
2020-05-28$6.79$8.0087.7%23.8%45.9%21.6%85.8%8.2%-12.4%289.9K-7.4M-437.0K0.107.998,976897299,294134,379
2020-05-29$6.85$8.0084.3%23.2%38.9%19.6%78.2%9.6%1.0%272.6K-10.0M-438.3K0.177.779,2271,562303,971132,673