AMRN Options History — August 2020

In August 2020, AMRN traded between $6.62 and $7.78. ATM implied volatility averaged 119.9%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 32.2%. IV traded above realized volatility by 74.7% (HV 20d: 45.1%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2020-08-31: Highest Volume — 69,729 contracts
  • 2020-08-25: Largest IV spike — 44.9% change
  • 2020-08-31: Highest IV Rank — 68.7%
  • 2020-08-31: Largest Expected Move — 60.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.97$6.62$7.78$6.77$7.78
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV119.9%95.0%170.1%139.1%170.1%
Expected Move32.2%18.2%60.9%23.7%60.9%
HV 20d45.1%39.8%53.1%40.2%53.1%
HV 60d44.2%42.3%48.4%42.3%48.4%
IV Rank40.0%25.7%68.7%51.0%68.7%
IV Percentile77.6%59.9%90.9%88.9%90.9%
Term Structure-10.2%-90.5%51.2%1.5%34.9%
VWIV115.3%66.8%182.7%83.6%182.7%
Skew 25d-5.6%-76.1%126.8%126.8%-2.9%
Skew 10d-29.7%-168.3%12.1%-60.1%12.1%
Call IV 25d135.1%52.4%210.7%52.4%118.4%
Put IV 25d129.5%101.2%209.9%179.3%115.4%
Bid-Ask Spread %12.494.1060.417.3860.41
Gamma HHI0.150.110.440.110.11
Net GEX755.0K333.9K2.3M509.5K1.2M
Net DEX-49.2M-102.2M-30.7M-38.8M-102.2M
Net VEX-482.8K-579.0K-444.1K-474.0K-579.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.081.000.090.16
Total Volume22,694.5714,92469,72923,01869,729
Total OI462,827.19422,793522,461422,793522,461

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$6.77$7.00139.1%23.7%40.2%51.0%83.6%126.8%1.5%509.5K-38.8M-474.0K0.097.3821,2141,804295,805126,988
2020-08-04$7.12$7.00153.9%20.3%42.9%59.5%71.4%28.9%16.7%1.0M-51.7M-492.6K0.0911.3533,2133,082307,971128,123
2020-08-05$6.83$7.00133.6%18.2%45.6%47.8%66.8%-3.5%-11.8%823.7K-41.4M-472.5K1.0010.419,6789,692310,378127,899
2020-08-06$7.05$7.00101.6%35.3%46.4%29.5%124.0%7.0%-87.9%1.2M-52.3M-495.2K0.1223.4511,7451,364312,126133,493
2020-08-07$6.99$7.00121.7%33.3%46.5%41.1%118.0%-7.4%-29.7%2.3M-48.5M-490.6K0.1025.7824,0282,506313,877134,251
2020-08-10$6.99$7.00109.7%33.0%46.4%34.2%117.4%-10.4%2.6%624.7K-44.5M-475.0K0.3514.4210,6653,785301,756132,831
2020-08-11$6.63$7.00101.3%31.9%49.8%29.4%109.9%-76.1%51.2%372.5K-31.8M-447.0K0.2914.046,3131,831305,253134,970
2020-08-12$6.62$7.0097.6%31.1%44.7%27.2%109.5%14.1%13.8%333.9K-30.7M-444.1K0.086.617,183542306,039135,924
2020-08-13$6.80$7.00114.2%32.9%45.3%36.7%113.1%-18.2%4.5%367.0K-36.8M-457.9K0.765.3920,77715,747310,533136,213
2020-08-14$6.83$7.00109.8%31.0%45.2%34.2%110.7%-5.3%-3.6%373.7K-39.3M-482.4K0.248.084,9991,209326,783151,785
2020-08-17$6.89$7.00114.9%32.8%44.6%37.1%119.4%-16.7%-16.0%361.7K-42.7M-477.0K0.104.109,678986317,957151,103
2020-08-18$6.84$7.00111.6%31.7%43.3%35.3%126.6%-28.3%3.0%427.3K-43.6M-477.9K0.104.546,993705322,216151,706
2020-08-19$6.90$7.00111.1%31.9%42.2%35.0%123.9%-11.1%-41.3%434.1K-44.1M-471.5K0.484.656,8913,336325,620151,995
2020-08-20$6.91$7.00114.9%33.5%42.1%37.1%126.9%-11.0%-13.6%335.3K-43.0M-475.2K0.087.064,561363328,882154,317
2020-08-21$6.89$7.00104.0%30.3%41.3%30.9%113.2%-10.1%-4.1%637.8K-37.3M-467.8K0.265.408,4882,206330,368154,417
2020-08-24$6.77$7.0095.0%28.3%41.2%25.7%108.6%-24.9%-4.1%639.2K-40.1M-448.2K0.514.1312,3886,318303,061138,458
2020-08-25$6.69$7.00137.6%35.9%39.8%50.1%120.6%26.9%-90.5%568.7K-38.6M-445.3K0.0918.7927,6872,356310,705143,755
2020-08-26$7.08$7.00101.7%28.8%44.2%29.6%107.2%-14.4%-2.3%1.1M-57.1M-485.0K0.107.0430,9153,175329,914145,572
2020-08-27$7.63$7.00139.9%32.1%50.6%51.4%124.7%-45.5%-34.9%1.3M-86.3M-533.3K0.088.0749,4713,894342,910146,887
2020-08-28$7.38$7.00133.8%39.6%52.1%48.0%142.2%-34.7%-3.2%1.1M-82.9M-547.9K0.1511.2530,4684,601365,780148,289
2020-08-31$7.78$7.00170.1%60.9%53.1%68.7%182.7%-2.9%34.9%1.2M-102.2M-579.0K0.1660.4160,2089,521373,625148,836