AMRN Options History — July 2020

In July 2020, AMRN traded between $6.42 and $7.01. ATM implied volatility averaged 80.6%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded above realized volatility by 42.1% (HV 20d: 38.5%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2020-07-21: Highest Volume — 26,743 contracts
  • 2020-07-02: Largest IV spike — 34.1% change
  • 2020-07-31: Highest IV Rank — 36.3%
  • 2020-07-13: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.68$6.42$7.01$7.01$6.49
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV80.6%62.9%113.5%62.9%113.5%
Expected Move22.6%15.2%25.4%18.0%23.4%
HV 20d38.5%29.5%52.4%52.4%36.9%
HV 60d50.2%41.6%62.0%62.0%41.6%
IV Rank17.5%7.4%36.3%7.4%36.3%
IV Percentile44.3%15.5%77.8%15.5%77.8%
Term Structure14.6%-17.5%92.4%22.7%50.9%
VWIV78.9%56.2%89.1%63.2%79.9%
Skew 25d8.4%-31.6%93.9%17.9%0.8%
Skew 10d-0.0%-106.0%40.7%27.0%-15.8%
Call IV 25d81.0%56.2%107.6%57.4%95.4%
Put IV 25d89.3%62.8%193.7%75.3%96.2%
Bid-Ask Spread %12.228.3422.1510.0310.48
Gamma HHI0.120.100.180.180.11
Net GEX596.4K410.7K1.1M1.1M410.7K
Net DEX-35.1M-43.4M-28.4M-43.4M-31.7M
Net VEX-489.2K-530.9K-453.5K-530.9K-459.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.050.570.250.14
Total Volume9,415.7734,84726,7438,8729,710
Total OI423,606.955405,053433,473416,519431,597

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$7.01$7.0062.9%18.0%52.4%7.4%63.2%17.9%22.7%1.1M-43.4M-530.9K0.2510.037,0771,795293,221123,298
2020-07-02$6.92$7.0084.4%15.2%52.4%19.7%56.2%65.3%92.4%712.8K-41.6M-526.5K0.2010.278,7951,758295,713124,896
2020-07-06$6.96$7.0070.6%22.9%52.3%11.8%80.5%21.6%2.5%760.3K-41.8M-521.7K0.4511.3912,5025,660291,086123,716
2020-07-07$6.77$7.0072.7%23.5%39.4%13.0%81.9%9.3%14.7%707.4K-36.6M-508.3K0.1810.655,525974296,655124,683
2020-07-08$6.73$7.0084.5%23.4%37.5%19.8%82.8%-1.8%3.0%646.3K-35.4M-504.7K0.2614.504,6741,223298,420125,184
2020-07-09$6.62$7.0068.9%23.5%37.8%10.8%81.1%0.2%4.7%534.0K-33.2M-502.8K0.5710.593,0891,758300,266125,884
2020-07-10$6.69$7.0085.6%23.1%33.3%20.4%81.1%-10.1%4.0%506.8K-34.7M-505.0K0.0911.946,905643301,260127,371
2020-07-13$6.65$7.0087.2%25.4%32.2%21.3%89.1%9.2%9.7%527.3K-33.5M-491.9K0.0511.0914,242669294,827126,342
2020-07-14$6.51$7.0079.1%25.0%29.5%16.7%84.2%-6.9%14.4%489.7K-31.6M-483.1K0.1614.304,888775301,091126,285
2020-07-15$6.91$7.0078.1%24.2%36.8%16.1%85.8%-17.1%31.6%823.5K-40.8M-507.9K0.1914.7514,3922,805303,044126,377
2020-07-16$6.77$7.0073.8%23.2%37.0%13.6%83.1%11.3%13.1%761.2K-36.6M-500.4K0.1011.265,338550305,993126,560
2020-07-17$6.73$7.0079.0%23.6%36.7%16.6%81.3%-31.6%5.0%475.8K-35.9M-495.0K0.1510.815,175790307,026126,447
2020-07-20$6.59$7.0085.5%23.7%37.1%20.3%79.7%-2.2%8.4%442.2K-31.7M-472.2K0.1512.898,5551,310282,103122,950
2020-07-21$6.80$7.0073.8%21.4%36.2%13.6%74.6%-2.8%3.1%618.5K-38.9M-481.1K0.1022.1524,4232,320286,462123,499
2020-07-22$6.62$7.0075.8%21.7%37.2%14.8%76.0%-3.2%2.5%668.7K-34.8M-481.2K0.1210.946,543785297,466124,872
2020-07-23$6.59$7.0076.8%21.7%36.1%15.3%77.3%-1.5%8.5%618.0K-34.4M-482.4K0.118.346,644702299,556125,476
2020-07-24$6.46$7.0081.2%22.8%36.6%17.8%80.7%-1.8%-17.5%468.4K-32.0M-474.0K0.179.588,2731,442301,719125,839
2020-07-27$6.62$7.0091.1%23.6%37.1%23.5%79.2%17.3%17.4%517.1K-31.8M-466.8K0.1314.406,803889294,794125,801
2020-07-28$6.42$7.0068.5%23.1%38.6%10.6%76.5%93.9%-15.1%453.8K-29.8M-453.5K0.1517.155,097750298,004126,559
2020-07-29$6.46$7.0084.9%22.1%36.5%20.0%80.4%17.1%15.5%422.6K-28.4M-455.0K0.1311.534,295579300,321127,204
2020-07-30$6.59$7.0095.4%22.8%36.8%26.0%81.1%-0.4%28.5%465.2K-32.5M-458.9K0.169.905,210815301,964127,522
2020-07-31$6.49$7.00113.5%23.4%36.9%36.3%79.9%0.8%50.9%410.7K-31.7M-459.9K0.1410.488,5091,201303,528128,069