AMRN Options History — June 2020

In June 2020, AMRN traded between $6.56 and $7.39. ATM implied volatility averaged 82.8%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 35.4% (HV 20d: 47.4%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-06-22: Highest Volume — 135,740 contracts
  • 2020-06-29: Largest IV spike — 33.5% change
  • 2020-06-29: Highest IV Rank — 28.9%
  • 2020-06-08: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.87$6.56$7.39$6.72$6.90
Max Pain$7.14$7.00$8.00$8.00$7.00
ATM IV82.8%67.8%100.4%87.8%67.8%
Expected Move22.9%18.3%26.0%24.5%18.3%
HV 20d47.4%33.7%53.1%36.9%53.1%
HV 60d230.0%61.9%269.9%269.8%61.9%
IV Rank18.8%10.2%28.9%21.6%10.2%
IV Percentile52.3%25.8%71.8%63.1%25.8%
Term Structure2.0%-9.3%9.3%-1.5%3.8%
VWIV80.4%63.4%91.7%77.2%63.4%
Skew 25d3.9%-2.1%12.0%0.2%12.0%
Skew 10d4.4%-31.6%50.3%2.0%50.3%
Call IV 25d81.0%69.4%88.2%85.6%69.4%
Put IV 25d84.9%76.7%92.3%85.8%81.4%
Bid-Ask Spread %13.135.0931.125.098.93
Gamma HHI0.100.070.170.080.13
Net GEX529.9K268.4K943.9K268.4K761.2K
Net DEX-22.9M-48.6M-8.0M-8.0M-40.3M
Net VEX-450.8K-539.6K-401.8K-419.5K-524.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.050.470.130.05
Total Volume17,360.9094,592135,74010,2698,694
Total OI423,524.318292,066451,467425,294412,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$6.72$8.0087.8%24.5%36.9%21.6%77.2%0.2%-1.5%268.4K-8.0M-419.5K0.135.099,1171,152295,046130,248
2020-06-02$6.85$8.0083.1%22.3%35.8%18.9%76.0%10.4%5.8%407.1K-9.6M-422.2K0.215.144,402937300,677131,165
2020-06-03$6.67$8.0083.1%22.6%35.9%19.0%77.7%4.9%0.5%359.9K-8.1M-415.7K0.095.645,609483302,235131,587
2020-06-04$6.78$7.0083.3%24.0%34.9%19.1%83.0%5.1%-1.3%456.5K-12.1M-422.4K0.4210.409,6184,020304,229128,980
2020-06-05$6.71$7.0083.0%23.2%33.7%18.9%80.0%-0.9%9.0%302.6K-9.7M-401.8K0.1311.968,0231,019305,807129,347
2020-06-08$7.39$7.0086.5%26.0%48.7%20.9%91.7%6.8%3.0%568.1K-29.4M-467.2K0.0914.6428,5932,620298,897128,077
2020-06-09$7.12$7.0087.3%24.4%49.2%21.3%89.0%0.2%-2.4%648.7K-24.9M-454.9K0.0812.698,615681311,056127,738
2020-06-10$7.08$7.0084.2%24.6%48.9%19.5%88.4%2.3%6.2%666.8K-21.8M-445.8K0.1513.504,643681313,024128,162
2020-06-11$6.72$7.0088.4%26.0%49.9%22.0%90.5%4.7%2.5%400.7K-12.1M-419.9K0.2819.396,2791,766314,523128,722
2020-06-12$6.56$7.0084.5%25.8%47.6%19.7%86.5%0.6%8.8%287.8K-10.9M-409.2K0.4031.126,7932,730315,620129,019
2020-06-15$6.83$7.0083.1%23.6%50.6%19.0%82.6%9.0%2.6%417.3K-15.4M-428.9K0.0922.0212,7111,128307,323128,104
2020-06-16$6.85$7.0077.6%22.4%50.6%15.8%83.3%3.4%0.9%471.3K-15.8M-415.3K0.4412.945,7982,543313,144128,692
2020-06-17$6.73$7.0080.6%23.1%50.5%17.5%82.8%-2.1%7.3%437.2K-15.5M-401.8K0.1411.0115,0562,140315,305126,740
2020-06-18$6.82$7.0080.1%22.9%50.9%17.2%79.2%-1.4%0.4%556.2K-17.9M-414.9K0.239.353,725867322,643127,637
2020-06-19$6.90$7.0078.9%22.4%51.0%16.5%81.9%0.2%3.9%352.0K-15.5M-411.2K0.2716.0813,4183,582323,494127,973
2020-06-22$7.17$7.0085.7%23.0%52.5%20.5%79.5%-0.3%-5.3%504.8K-32.6M-430.7K0.4710.8692,12343,617214,99877,068
2020-06-23$7.13$7.0083.9%21.8%52.4%19.4%80.9%10.5%9.3%922.9K-48.6M-539.6K0.218.6717,5193,720282,120119,534
2020-06-24$6.94$7.0079.1%21.0%52.9%16.6%75.1%3.9%0.8%849.1K-43.4M-529.9K0.0711.4513,253941287,468120,376
2020-06-25$6.87$7.0077.5%21.4%52.2%15.7%74.5%6.0%2.8%943.9K-41.5M-528.7K0.129.914,252494293,395120,689
2020-06-26$6.72$7.0075.2%20.2%52.7%14.4%77.7%0.5%-4.0%537.8K-35.5M-508.6K0.1924.918,3101,559294,020120,890
2020-06-29$6.68$7.00100.4%20.0%52.3%28.9%67.5%9.2%-9.3%537.3K-35.9M-504.8K0.3713.0713,6335,076280,660118,987
2020-06-30$6.90$7.0067.8%18.3%53.1%10.2%63.4%12.0%3.8%761.2K-40.3M-524.2K0.058.938,257437288,990123,126