AMRN Options History — December 2020

In December 2020, AMRN traded between $4.61 and $5.29. ATM implied volatility averaged 90.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 27.0% (HV 20d: 63.0%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2020-12-14: Highest Volume — 39,942 contracts
  • 2020-12-09: Largest IV spike — 48.0% change
  • 2020-12-10: Highest IV Rank — 40.3%
  • 2020-12-14: Largest Expected Move — 31.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.98$4.61$5.29$4.90$4.89
Max Pain$5.80$5.00$6.00$5.00$5.00
ATM IV90.0%73.1%119.1%86.0%79.5%
Expected Move25.9%22.3%31.0%23.1%23.8%
HV 20d63.0%54.2%71.0%69.1%71.0%
HV 60d62.5%60.3%64.6%60.9%62.2%
IV Rank23.9%14.3%40.3%21.6%17.9%
IV Percentile50.7%19.0%82.9%52.8%33.3%
Term Structure0.7%-22.4%23.4%23.4%-0.2%
VWIV102.4%84.4%136.2%86.5%95.0%
Skew 25d-18.5%-36.1%11.9%-15.2%-25.3%
Skew 10d-19.6%-70.0%94.6%-53.8%-70.0%
Call IV 25d107.5%60.7%156.0%95.7%107.8%
Put IV 25d89.0%69.0%146.1%80.5%82.5%
Bid-Ask Spread %10.133.3327.124.728.66
Gamma HHI0.200.120.550.200.15
Net GEX540.7K290.9K1.3M519.0K306.8K
Net DEX-19.9M-30.7M-9.6M-19.8M-15.1M
Net VEX-245.4K-267.3K-217.0K-267.3K-222.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.060.550.060.34
Total Volume16,110.2275,26939,94215,01616,057
Total OI407,204.864368,035437,069412,488389,078

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$4.90$5.0086.0%23.1%69.1%21.6%86.5%-15.2%23.4%519.0K-19.8M-267.3K0.064.7214,188828313,63398,855
2020-12-02$4.84$5.0084.9%23.1%68.3%21.0%87.9%-13.8%12.9%341.5K-17.3M-260.0K0.106.577,023726315,34599,073
2020-12-03$4.94$6.0077.6%27.4%68.7%16.8%101.3%-7.5%-22.4%611.6K-19.6M-253.9K0.145.869,0691,255317,20099,424
2020-12-04$4.97$6.0079.6%26.5%59.2%18.0%120.5%-10.2%0.4%1.2M-19.3M-254.9K0.144.8814,4271,985319,573100,078
2020-12-07$5.08$6.0073.1%24.3%54.2%14.3%102.9%11.9%10.9%477.1K-21.8M-265.2K0.183.3320,0043,556309,07197,580
2020-12-08$4.69$6.0073.3%26.4%62.1%14.4%100.4%-19.4%23.0%296.2K-10.8M-234.8K0.203.4714,8182,929314,84799,969
2020-12-09$4.61$6.00108.5%25.1%62.0%34.3%95.4%-15.3%-20.5%290.9K-9.6M-231.1K0.304.248,5742,587321,097102,009
2020-12-10$4.98$6.00119.1%28.0%66.5%40.3%136.2%-36.1%18.0%388.2K-20.1M-261.1K0.306.4613,9924,267323,636101,874
2020-12-11$5.01$6.00115.5%30.6%66.1%38.3%109.4%-9.9%-4.5%436.9K-22.7M-261.8K0.415.6217,5187,132328,247101,072
2020-12-14$5.09$6.00106.0%31.0%63.3%32.9%130.9%-29.0%-8.0%556.9K-24.9M-257.9K0.1311.2135,3664,576323,966101,647
2020-12-15$5.29$6.00103.5%29.6%58.2%31.5%113.7%-21.9%-14.4%709.3K-30.7M-263.5K0.1517.0213,2431,957330,237101,566
2020-12-16$4.95$6.0099.6%28.6%62.6%29.3%109.8%-22.9%-6.5%632.1K-21.1M-243.2K0.1514.8212,5561,942330,481101,233
2020-12-17$5.08$6.00104.1%29.8%61.2%31.8%115.7%-22.7%1.4%551.3K-25.9M-250.4K0.1512.4812,8761,963330,778102,208
2020-12-18$4.96$6.0096.4%28.6%61.0%27.5%115.4%-34.2%-11.6%1.3M-19.6M-243.5K0.209.9311,7522,408334,372102,697
2020-12-21$5.01$6.0082.7%24.2%60.8%19.7%99.5%-29.1%-8.7%326.8K-19.3M-234.6K0.2527.1213,7753,422290,21977,816
2020-12-22$4.95$6.0078.5%23.1%59.4%17.3%84.4%-13.8%7.2%443.5K-16.9M-229.1K0.1814.538,6101,585296,98778,655
2020-12-23$5.20$6.0082.2%22.3%61.4%19.4%85.3%-8.1%11.3%526.0K-24.8M-244.4K0.189.3418,0403,279299,39178,855
2020-12-24$5.01$6.0081.1%22.5%62.8%18.8%88.1%-18.1%8.5%707.6K-19.8M-233.9K0.218.594,353916304,39479,888
2020-12-28$4.99$6.0082.3%25.6%62.8%19.5%91.8%-14.8%0.2%413.3K-18.9M-230.8K0.2615.5211,8133,014297,79778,131
2020-12-29$4.82$5.5085.0%22.9%59.2%21.0%87.5%-20.0%-0.7%360.4K-14.2M-217.0K0.5510.026,3053,443302,93478,376
2020-12-30$5.24$5.0082.1%22.9%66.3%19.4%95.7%-30.6%-3.6%517.4K-24.9M-237.8K0.3318.3712,2764,020304,62279,596
2020-12-31$4.89$5.0079.5%23.8%71.0%17.9%95.0%-25.3%-0.2%306.8K-15.1M-222.0K0.348.6611,9584,099308,24980,829