AMRN Options History — November 2020

In November 2020, AMRN traded between $4.04 and $5.03. ATM implied volatility averaged 74.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 15.9% (HV 20d: 58.9%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-11-20: Highest Volume — 35,775 contracts
  • 2020-11-19: Largest IV spike — 22.1% change
  • 2020-11-02: Highest IV Rank — 23.2%
  • 2020-11-03: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.52$4.04$5.03$4.88$4.93
Max Pain$5.10$5.00$6.00$5.00$5.00
ATM IV74.8%64.3%88.9%88.9%86.2%
Expected Move21.0%16.5%25.2%25.0%24.2%
HV 20d58.9%39.8%69.1%46.5%69.1%
HV 60d94.8%62.0%100.9%96.0%62.0%
IV Rank15.3%9.3%23.2%23.2%21.7%
IV Percentile25.1%7.9%56.7%56.7%54.0%
Term Structure-2.2%-16.4%14.0%-6.9%-13.9%
VWIV79.4%61.6%101.3%95.7%78.2%
Skew 25d-16.2%-32.4%5.9%-29.9%-29.5%
Skew 10d-31.3%-62.1%-0.3%-18.4%-46.0%
Call IV 25d85.0%57.0%110.6%110.6%108.9%
Put IV 25d68.8%59.2%88.6%80.7%79.4%
Bid-Ask Spread %9.754.2434.9711.144.75
Gamma HHI0.150.100.190.100.15
Net GEX204.5K33.5K414.6K280.1K414.6K
Net DEX-5.8M-20.9M4.7M-10.2M-20.9M
Net VEX-228.1K-273.0K-186.8K-257.1K-273.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.070.470.070.09
Total Volume11,973.45,44235,7756,93421,366
Total OI395,264.5378,929412,770378,929402,549

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$4.88$5.0088.9%25.0%46.5%23.2%95.7%-29.9%-6.9%280.1K-10.2M-257.1K0.0711.146,502432283,51895,411
2020-11-03$5.03$5.0078.8%25.2%47.8%17.5%101.3%5.9%-1.8%302.1K-11.0M-254.1K0.286.245,5231,559283,51895,411
2020-11-04$5.01$5.0085.8%21.6%39.8%21.5%84.1%-10.0%-3.6%374.7K-11.6M-259.0K0.1227.866,816790289,62396,298
2020-11-05$4.56$6.0073.5%21.0%51.2%14.5%75.8%2.3%11.5%113.3K-835.8K-215.1K0.1826.6310,7391,894292,10996,574
2020-11-06$4.29$6.0075.1%20.3%54.5%15.4%85.8%-32.4%-6.3%62.1K2.3M-203.9K0.4734.978,6954,058295,08696,539
2020-11-09$4.22$5.0067.0%19.5%54.5%10.8%71.3%-16.7%0.4%68.6K2.2M-194.4K0.157.007,7321,195285,42094,612
2020-11-10$4.14$5.0067.9%19.4%54.6%11.4%75.2%-3.8%-2.8%93.2K1.2M-206.3K0.364.754,9331,770290,38794,990
2020-11-11$4.08$5.0067.7%19.5%54.2%11.3%75.2%-20.1%1.9%33.5K4.2M-189.9K0.124.616,864827292,50395,639
2020-11-12$4.04$5.0074.4%19.2%52.9%15.0%78.4%-16.2%-8.7%35.4K4.7M-186.8K0.425.634,9862,108295,40996,075
2020-11-13$4.30$5.0078.1%20.7%58.7%17.1%88.0%-3.9%-8.1%106.8K-888.9K-208.1K0.099.6615,6591,425297,98096,477
2020-11-16$4.67$5.0081.3%23.7%67.0%19.0%84.0%-15.4%-16.4%339.6K-9.9M-241.5K0.139.1419,6362,506302,27795,078
2020-11-17$4.54$5.0076.9%22.4%66.7%16.5%79.3%-24.3%-8.7%339.0K-8.1M-236.5K0.166.397,0661,133308,35295,374
2020-11-18$4.38$5.0064.4%18.5%67.1%9.4%75.8%-17.9%9.0%222.6K-4.0M-219.6K0.184.814,598844309,83495,747
2020-11-19$4.55$5.0078.7%22.8%65.1%17.5%74.5%-28.9%-4.0%208.1K-9.0M-236.6K0.317.979,7833,071311,02596,124
2020-11-20$4.64$5.0078.1%23.2%65.5%17.1%73.5%-32.3%-4.5%247.3K-10.8M-243.9K0.194.9830,0565,719315,23197,539
2020-11-23$4.48$5.0066.0%17.9%66.2%10.3%71.5%-18.6%9.0%160.3K-5.4M-218.5K0.244.289,9522,394298,54596,163
2020-11-24$4.49$5.0064.3%20.7%66.2%9.3%61.6%2.2%14.0%213.9K-7.4M-234.0K0.365.488,2052,992303,58097,589
2020-11-25$4.62$5.0071.5%18.9%66.2%13.4%86.2%-19.0%-4.0%227.3K-10.0M-241.6K0.094.498,203754307,42699,035
2020-11-27$4.60$5.0071.4%16.5%64.4%13.4%72.4%-15.6%0.2%248.0K-10.0M-242.2K0.114.246,040643310,89499,349
2020-11-30$4.93$5.0086.2%24.2%69.1%21.7%78.2%-29.5%-13.9%414.6K-20.9M-273.0K0.094.7519,6001,766304,56097,989