AMRN Options History — September 2020

In September 2020, AMRN traded between $3.64 and $7.26. ATM implied volatility averaged 73.3%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 65.2% (HV 20d: 138.5%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-09-02: Highest Volume — 197,613 contracts
  • 2020-09-09: Largest IV drop — 35.0% change
  • 2020-09-02: Highest IV Rank — 64.9%
  • 2020-09-01: Largest Expected Move — 51.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.30$3.64$7.26$7.26$4.15
Max Pain$6.31$5.00$7.00$7.00$5.00
ATM IV73.3%47.8%163.5%152.2%59.7%
Expected Move21.4%14.7%51.1%51.1%17.7%
HV 20d138.5%57.0%144.5%57.0%139.5%
HV 60d87.9%46.5%91.7%46.5%91.7%
IV Rank14.1%0.0%64.9%58.5%6.7%
IV Percentile20.6%0.0%90.5%89.7%4.4%
Term Structure-1.6%-50.3%39.2%-25.1%-9.6%
VWIV81.7%54.9%186.4%186.4%68.9%
Skew 25d-8.0%-33.8%36.4%-26.2%-17.4%
Skew 10d-16.7%-109.3%21.1%-109.3%-7.3%
Call IV 25d84.3%39.7%182.7%168.1%73.9%
Put IV 25d76.3%41.5%179.6%141.9%56.5%
Bid-Ask Spread %12.343.9748.5217.208.32
Gamma HHI0.160.100.260.130.11
Net GEX59.0K-222.0K1.2M1.2M163.9K
Net DEX17.9M-91.9M45.1M-91.9M2.9M
Net VEX-233.0K-569.3K-157.4K-569.3K-223.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.100.540.450.21
Total Volume28,700.815,985197,61357,27515,259
Total OI534,476.143376,153668,096558,282402,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$7.26$7.00152.2%51.1%57.0%58.5%186.4%-26.2%-25.1%1.2M-91.9M-569.3K0.4517.2039,38517,890402,554155,728
2020-09-02$5.04$7.00163.5%43.6%141.7%64.9%172.2%36.4%-39.3%223.9K-7.3M-390.3K0.2848.52154,92642,687420,988166,516
2020-09-03$4.58$7.00119.6%30.8%143.3%39.8%104.9%-30.2%-22.4%-86.1K24.6M-311.9K0.4715.5461,52028,990462,466189,009
2020-09-04$4.34$7.0089.1%25.2%143.7%22.4%100.0%-11.5%-50.3%-148.6K34.4M-270.2K0.5445.5919,91710,729472,054196,042
2020-09-08$4.36$7.0091.0%25.2%143.8%23.5%92.3%-17.2%8.0%-222.0K30.7M-259.3K0.1317.3427,8863,583429,970181,233
2020-09-09$4.24$7.0059.2%19.6%143.4%5.3%75.6%-33.8%13.0%-134.5K38.1M-217.2K0.386.1914,8445,567445,355181,940
2020-09-10$4.21$7.0057.2%15.2%143.3%4.1%58.2%13.4%4.1%-126.5K39.4M-207.6K0.304.628,4602,540448,871182,332
2020-09-11$4.06$7.0047.8%15.1%142.1%0.0%66.3%9.5%7.2%-68.9K45.1M-157.4K0.477.0313,3456,299450,330181,125
2020-09-14$4.28$7.0053.8%15.3%144.5%3.4%63.3%-15.4%3.6%-85.7K38.6M-197.4K0.165.3210,8991,703439,157176,201
2020-09-15$4.15$6.0050.8%14.7%144.0%1.7%67.1%-20.6%-2.1%-34.4K41.8M-168.0K0.158.247,5371,102442,591175,688
2020-09-16$4.18$6.0056.1%16.1%144.4%4.7%62.2%-18.5%-3.8%1.9K40.0M-187.7K0.346.254,7651,612445,613176,028
2020-09-17$4.20$6.0064.8%17.3%144.2%9.6%62.6%-9.6%26.4%-9.0K38.1M-187.1K0.5117.466,1113,113447,688172,365
2020-09-18$4.17$6.0052.2%14.9%144.1%2.5%61.8%-12.4%3.7%65.5K36.3M-199.7K0.314.798,6042,632451,799172,773
2020-09-21$4.03$6.0049.7%15.2%143.8%1.1%54.9%16.3%18.7%37.9K10.8M-177.8K0.527.837,5873,946276,67299,481
2020-09-22$3.89$6.0056.5%17.1%143.8%4.9%63.7%-20.5%-5.6%49.9K11.3M-181.1K0.277.8512,9953,535281,973101,479
2020-09-23$3.68$6.0060.8%15.9%144.0%7.4%65.0%19.5%27.8%21.8K12.8M-169.2K0.265.6910,1172,660289,172103,458
2020-09-24$3.64$6.0060.3%20.2%140.6%7.0%71.5%0.2%-10.8%41.5K12.1M-175.6K0.468.479,1844,242293,858104,911
2020-09-25$3.81$6.0075.5%19.0%138.0%15.7%69.2%14.7%-21.8%67.3K8.7M-205.7K0.133.976,251828298,965107,889
2020-09-28$4.01$5.5060.9%19.8%141.3%7.4%78.2%-26.6%39.2%107.1K5.6M-218.1K0.106.9612,2131,269289,551106,035
2020-09-29$4.04$5.0058.7%20.4%138.7%6.2%71.2%-18.4%6.2%160.6K4.0M-219.1K0.185.915,051934294,999106,162
2020-09-30$4.15$5.0059.7%17.7%139.5%6.7%68.9%-17.4%-9.6%163.9K2.9M-223.6K0.218.3212,5942,665296,297106,681