AMRN Options History — January 2021

In January 2021, AMRN traded between $5.07 and $7.57. ATM implied volatility averaged 93.2%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 21.7% (HV 20d: 71.5%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.22.

Notable Days

  • 2021-01-25: Highest Volume — 61,103 contracts
  • 2021-01-25: Largest IV spike — 34.1% change
  • 2021-01-28: Highest IV Rank — 41.4%
  • 2021-01-27: Largest Expected Move — 38.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.29$5.07$7.57$5.07$7.47
Max Pain$5.21$5.00$6.00$5.00$6.00
ATM IV93.2%75.0%121.1%77.4%117.0%
Expected Move26.8%20.7%38.5%24.1%28.6%
HV 20d71.5%65.3%80.8%71.8%74.0%
HV 60d65.1%60.8%70.4%60.8%69.8%
IV Rank25.7%15.4%41.4%16.7%39.1%
IV Percentile54.9%18.7%83.7%25.8%81.7%
Term Structure3.1%-25.8%22.2%-5.0%1.6%
VWIV93.1%70.9%128.0%88.5%106.7%
Skew 25d-7.3%-26.4%24.2%-9.8%-2.6%
Skew 10d-16.4%-49.7%28.6%11.9%28.6%
Call IV 25d96.7%76.1%148.1%85.4%107.0%
Put IV 25d89.4%69.4%130.6%75.6%104.4%
Bid-Ask Spread %18.289.0539.1816.0639.18
Gamma HHI0.220.120.470.160.12
Net GEX797.4K380.0K1.3M380.0K910.2K
Net DEX-50.3M-78.1M-19.5M-19.5M-76.5M
Net VEX-281.9K-350.5K-223.7K-226.5K-350.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.110.570.190.11
Total Volume21,246.1587,20861,10314,08124,461
Total OI327,326224,586409,691381,811280,374

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$5.07$5.0077.4%24.1%71.8%16.7%88.5%-9.8%-5.0%380.0K-19.5M-226.5K0.1916.0611,8042,277302,27379,538
2021-01-05$5.19$5.0085.1%23.1%72.2%21.1%84.7%-17.1%-0.3%500.8K-23.8M-230.1K0.2918.716,8731,976308,87380,605
2021-01-06$5.14$5.0080.1%24.3%72.0%18.2%80.0%-8.3%2.4%488.0K-21.9M-223.7K0.5720.794,5932,615309,78380,554
2021-01-07$5.62$5.0095.5%30.2%71.9%27.0%106.3%-17.8%13.0%714.6K-35.5M-245.0K0.1512.7446,2136,793309,60381,025
2021-01-08$5.86$5.0093.8%29.2%72.1%26.0%101.9%-9.0%16.9%785.2K-48.1M-268.4K0.1310.2828,2673,703328,08281,609
2021-01-11$5.79$5.00101.4%28.4%68.3%30.3%97.1%-14.6%-2.0%837.0K-41.9M-268.4K0.2217.668,9711,939317,09577,551
2021-01-12$6.10$5.0094.9%26.8%70.1%26.6%95.6%-6.6%-1.6%1.0M-49.4M-276.3K0.3511.4014,2084,976318,62279,080
2021-01-13$5.97$5.0087.1%25.0%70.9%22.2%88.7%-0.3%0.6%1.2M-44.7M-265.2K0.2013.897,9261,580321,41378,202
2021-01-14$6.16$5.0090.5%25.2%70.5%24.1%87.9%0.5%-8.5%1.3M-53.2M-275.1K0.119.8116,4571,819322,69177,757
2021-01-15$6.09$5.0090.0%24.5%65.4%23.8%80.7%-14.8%-2.7%543.9K-52.3M-267.3K0.209.0518,7053,743322,05777,955
2021-01-19$6.30$5.0080.9%23.2%65.7%18.7%70.9%-6.6%10.6%620.9K-46.0M-267.5K0.1316.2124,3283,086178,58146,005
2021-01-20$6.17$5.0075.0%21.5%65.5%15.4%76.0%-15.2%14.0%624.7K-42.7M-266.8K0.2512.858,1262,044185,18648,085
2021-01-21$6.34$5.0080.3%22.2%65.7%18.3%75.6%-11.2%22.2%700.6K-46.8M-275.0K0.2916.287,7642,261189,23649,328
2021-01-22$6.51$5.0076.4%20.7%65.3%16.1%72.2%-6.1%12.9%1.2M-51.8M-284.9K0.2119.4915,3543,297191,84150,739
2021-01-25$7.57$5.00102.4%24.3%80.8%30.9%93.7%-4.7%-25.8%725.8K-75.7M-322.0K0.1323.5453,8787,225189,75049,915
2021-01-26$7.45$6.00107.1%33.2%79.2%33.5%110.4%7.5%8.0%907.1K-78.1M-344.1K0.1823.4117,2083,153209,47953,259
2021-01-27$7.35$6.00115.5%38.5%79.6%38.2%128.0%24.2%1.8%840.1K-75.3M-349.6K0.2533.3519,4434,919212,47455,443
2021-01-28$7.32$6.00121.1%36.4%77.6%41.4%123.9%-26.4%0.9%837.8K-72.7M-349.9K0.1922.599,7861,906215,85459,277
2021-01-29$7.47$6.00117.0%28.6%74.0%39.1%106.7%-2.6%1.6%910.2K-76.5M-350.5K0.1139.1822,0282,433220,01360,361