AMRN Options History — October 2020

In October 2020, AMRN traded between $4.19 and $5.38. ATM implied volatility averaged 80.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 15.5% (HV 20d: 65.0%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-10-05: Highest Volume — 53,093 contracts
  • 2020-10-14: Largest IV spike — 38.8% change
  • 2020-10-07: Highest IV Rank — 29.9%
  • 2020-10-07: Largest Expected Move — 26.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.95$4.19$5.38$4.19$4.83
Max Pain$4.95$4.00$5.00$5.00$5.00
ATM IV80.5%56.5%100.8%58.5%87.7%
Expected Move24.2%17.6%26.4%17.6%26.2%
HV 20d65.0%55.1%69.5%60.5%63.7%
HV 60d96.1%91.8%97.4%91.8%96.0%
IV Rank18.5%4.9%29.9%6.0%22.6%
IV Percentile35.2%3.2%63.1%3.6%54.4%
Term Structure9.2%-34.6%94.7%-2.1%1.9%
VWIV89.4%65.4%107.7%65.4%97.1%
Skew 25d-14.1%-130.4%18.8%-27.0%-11.8%
Skew 10d-6.6%-47.4%53.5%-32.1%8.1%
Call IV 25d95.9%73.8%191.7%73.8%84.3%
Put IV 25d81.8%46.8%102.3%46.8%72.5%
Bid-Ask Spread %6.923.5814.728.098.25
Gamma HHI0.120.090.170.130.11
Net GEX348.4K181.5K753.7K181.5K238.2K
Net DEX-11.5M-24.6M1.7M1.7M-7.4M
Net VEX-274.8K-336.6K-228.4K-228.4K-254.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.070.510.120.26
Total Volume12,843.7733,09153,0934,5207,898
Total OI399,283.682374,865429,443407,431387,634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$4.19$5.0058.5%17.6%60.5%6.0%65.4%-27.0%-2.1%181.5K1.7M-228.4K0.128.094,020500300,363107,068
2020-10-02$4.42$5.0066.9%21.8%55.1%10.8%81.0%-18.9%29.4%189.3K-2.8M-242.3K0.1714.3614,0072,333300,824106,825
2020-10-05$4.99$5.0081.2%24.0%67.0%18.9%85.6%-36.3%6.5%319.4K-12.7M-278.3K0.078.1649,4993,594294,393105,317
2020-10-06$5.01$5.0091.6%24.0%67.0%24.8%87.5%-130.4%94.7%540.6K-14.6M-295.3K0.254.4819,9584,930308,157105,785
2020-10-07$5.38$4.00100.8%26.4%69.3%29.9%100.1%1.0%-34.6%668.6K-24.6M-324.6K0.127.1734,8204,054312,595107,514
2020-10-08$5.32$5.0093.8%25.1%69.5%26.0%90.9%5.9%1.0%753.7K-24.3M-336.6K0.514.4318,3099,280318,113109,492
2020-10-09$5.24$5.0083.4%24.3%67.9%20.1%85.9%-17.1%-32.4%403.1K-18.2M-305.8K0.263.587,9302,085320,930108,513
2020-10-12$5.14$5.0082.4%25.0%67.1%19.6%90.5%-12.4%23.9%417.6K-14.0M-289.8K0.225.085,3181,192304,591106,347
2020-10-13$5.10$5.0056.5%23.9%65.8%4.9%90.5%18.8%32.4%438.8K-14.2M-298.6K0.1214.724,914577305,675107,157
2020-10-14$4.96$5.0078.5%24.4%67.2%17.3%87.1%-5.9%30.8%392.6K-8.9M-273.9K0.206.485,6581,129306,394107,157
2020-10-15$5.07$5.0076.9%24.7%67.3%16.4%87.7%13.5%11.4%464.5K-11.5M-278.9K0.146.516,507931307,325107,414
2020-10-16$5.12$5.0070.7%22.5%67.0%13.0%86.2%-5.4%4.7%293.7K-14.0M-281.3K0.165.9911,0611,800308,518106,459
2020-10-19$5.06$5.0077.3%22.9%65.5%16.7%94.3%-16.6%12.4%254.0K-12.9M-275.7K0.245.864,2581,005278,79896,067
2020-10-20$4.89$5.0075.7%22.1%65.4%15.8%82.4%-8.6%19.4%240.3K-9.2M-261.9K0.1310.204,628595280,68396,519
2020-10-21$4.76$5.0086.4%24.8%62.2%21.8%85.3%-19.4%10.2%245.7K-8.4M-261.3K0.226.214,6791,025282,72796,827
2020-10-22$5.04$5.0086.8%24.9%63.5%22.0%92.0%-11.0%-1.6%284.7K-12.0M-266.1K0.236.808,8301,992284,34197,318
2020-10-23$4.94$5.0084.0%24.7%63.7%20.5%86.7%-10.4%-9.5%266.3K-10.1M-264.2K0.314.845,2761,622288,21497,617
2020-10-26$4.85$5.0089.1%26.2%63.0%23.3%99.0%0.3%-9.3%252.9K-8.5M-257.2K0.264.647,5711,983281,30395,882
2020-10-27$4.88$5.0086.1%25.3%63.0%21.6%107.7%-14.9%-7.4%260.6K-9.1M-259.8K0.114.512,777314283,65397,324
2020-10-28$4.72$5.0073.7%26.3%64.4%14.7%94.4%5.0%19.0%248.9K-7.2M-253.7K0.386.895,2731,993284,86597,462
2020-10-29$4.91$5.0083.7%24.9%65.4%20.3%88.5%-8.2%1.8%310.5K-9.2M-257.4K0.134.895,673765286,78897,293
2020-10-30$4.83$5.0087.7%26.2%63.7%22.6%97.1%-11.8%1.9%238.2K-7.4M-254.0K0.268.256,2461,652290,03797,597