AMRN Options History — February 2021

In February 2021, AMRN traded between $6.81 and $8.89. ATM implied volatility averaged 109.7%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded above realized volatility by 40.7% (HV 20d: 69.0%). 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 8 of 19 days. Put/call ratio averaged 0.14.

Notable Days

  • 2021-02-03: Highest Volume — 35,067 contracts
  • 2021-02-23: Largest IV spike — 97.4% change
  • 2021-02-26: Highest IV Rank — 80.9%
  • 2021-02-03: Largest Expected Move — 43.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.84$6.81$8.89$8.11$6.81
Max Pain$5.16$5.00$6.00$6.00$5.00
ATM IV109.7%70.7%191.0%151.2%191.0%
Expected Move28.8%23.4%43.6%29.7%24.9%
HV 20d69.0%52.9%75.1%69.8%55.4%
HV 60d67.7%66.0%71.3%71.3%66.1%
IV Rank35.0%12.9%80.9%58.4%80.9%
IV Percentile62.7%11.9%94.4%88.5%94.4%
Term Structure-5.3%-53.0%77.2%13.8%-10.9%
VWIV100.9%87.3%120.6%104.8%91.2%
Skew 25d1.0%-50.4%169.8%-35.8%-21.7%
Skew 10d10.5%-120.6%117.9%81.9%-57.3%
Call IV 25d110.6%26.4%222.3%135.3%111.9%
Put IV 25d111.6%60.6%196.2%99.5%90.1%
Bid-Ask Spread %52.8818.97119.0335.34112.56
Gamma HHI0.140.110.190.120.14
Net GEX846.7K565.9K1.1M901.0K565.9K
Net DEX-82.1M-117.2M-53.9M-91.7M-53.9M
Net VEX-362.5K-406.9K-313.5K-370.2K-316.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.050.320.180.22
Total Volume13,114.6325,47735,06730,1407,630
Total OI275,677.053249,804291,845264,120262,114

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$8.11$6.00151.2%29.7%69.8%58.4%104.8%-35.8%13.8%901.0K-91.7M-370.2K0.1835.3425,4374,703207,88456,236
2021-02-02$8.26$6.0074.9%27.3%69.7%15.3%92.0%39.4%77.2%1.0M-95.5M-373.1K0.2092.0311,8732,416215,92959,162
2021-02-03$8.89$6.0087.4%43.6%71.8%22.4%113.0%-12.9%-26.7%1.0M-117.2M-401.7K0.0790.7832,9112,156219,19059,498
2021-02-04$8.61$5.00158.9%33.5%73.8%62.8%120.6%-50.4%-41.4%1.1M-110.2M-406.9K0.3234.5015,3624,989224,43760,539
2021-02-05$8.44$5.0088.5%31.0%71.4%23.0%109.4%4.5%25.1%1.0M-103.6M-403.5K0.1433.4711,7911,639227,88463,961
2021-02-08$8.27$5.00119.4%31.5%72.4%40.5%114.0%-25.2%6.4%890.0K-95.3M-384.5K0.1636.0911,7261,888215,10260,652
2021-02-09$8.32$5.00118.3%29.7%71.7%39.8%102.4%4.3%27.0%1.0M-99.9M-399.8K0.1539.3215,0712,245219,25861,984
2021-02-10$7.99$5.0093.2%29.2%73.4%25.7%105.6%16.5%23.4%879.2K-91.3M-378.3K0.1223.849,7991,127222,46563,666
2021-02-11$7.70$5.0095.6%30.7%74.5%27.0%107.2%-12.5%34.0%788.7K-77.8M-370.3K0.0939.3310,502973225,83964,505
2021-02-12$7.81$5.00109.9%27.7%74.2%35.1%102.8%-21.7%-24.2%830.5K-80.8M-367.3K0.0518.9710,207523226,97164,874
2021-02-16$7.73$5.0095.2%27.5%74.2%26.8%101.0%-5.6%-43.4%897.7K-77.6M-361.0K0.0734.438,036591218,84960,636
2021-02-17$7.85$5.0099.7%28.6%73.7%29.3%101.1%-5.5%-24.9%993.8K-83.4M-368.0K0.1637.484,728749222,30660,913
2021-02-18$7.57$5.0092.7%27.3%74.8%25.4%95.4%0.2%-40.7%802.1K-71.7M-331.0K0.0923.965,837529223,68860,900
2021-02-19$7.62$5.0094.1%24.9%74.6%26.2%94.1%5.9%-43.3%669.7K-73.9M-350.0K0.1033.789,469925224,85761,284
2021-02-22$7.45$5.0070.7%23.4%75.1%12.9%89.8%-17.7%-15.4%698.2K-60.5M-325.9K0.1154.789,0441,005195,35454,450
2021-02-23$7.26$5.00139.5%25.8%53.1%51.8%92.5%-20.8%-53.0%670.7K-57.1M-322.3K0.1551.427,3371,096198,67055,303
2021-02-24$7.29$5.0073.2%26.0%52.9%14.3%87.3%9.2%32.8%682.1K-64.7M-342.6K0.1893.656,2751,127201,75155,925
2021-02-25$6.97$5.00131.3%24.5%55.0%47.2%93.3%169.8%-17.1%606.6K-54.4M-313.5K0.14119.036,555907204,44356,385
2021-02-26$6.81$5.00191.0%24.9%55.4%80.9%91.2%-21.7%-10.9%565.9K-53.9M-316.8K0.22112.566,2721,358205,46656,648