AMRN Options History — July 2021

In July 2021, AMRN traded between $3.95 and $4.51. ATM implied volatility averaged 66.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 29.4% (HV 20d: 37.4%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2021-07-09: Highest Volume — 13,064 contracts
  • 2021-07-07: Largest IV spike — 53.7% change
  • 2021-07-08: Highest IV Rank — 21.9%
  • 2021-07-27: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.23$3.95$4.51$4.46$4.14
Max Pain$4.95$4.50$5.00$4.50$5.00
ATM IV66.7%49.2%79.1%64.0%68.5%
Expected Move19.0%13.4%24.5%13.4%21.6%
HV 20d37.4%28.5%44.1%39.5%44.1%
HV 60d40.6%37.3%46.3%45.9%41.1%
IV Rank14.2%3.2%21.9%12.4%15.3%
IV Percentile20.7%0.8%43.3%11.9%25.0%
Term Structure2.0%-37.9%69.5%0.6%8.5%
VWIV70.4%48.1%82.9%48.1%78.5%
Skew 25d-0.4%-49.6%19.7%0.6%-8.0%
Skew 10d2.2%-19.7%29.4%-10.4%-18.9%
Call IV 25d70.9%52.1%88.9%54.8%88.9%
Put IV 25d70.5%35.3%88.2%55.4%80.9%
Bid-Ask Spread %67.7813.08121.4274.30110.34
Gamma HHI0.170.150.190.160.17
Net GEX141.6K83.0K215.8K168.4K141.7K
Net DEX-3.0M-6.1M-5.8K-4.0M-4.5M
Net VEX-173.0K-186.2K-156.0K-185.7K-173.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.050.600.160.14
Total Volume5,071.0482,05713,0645,5952,057
Total OI228,563.905217,263238,477220,928238,477

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$4.46$4.5064.0%13.4%39.5%12.4%48.1%0.6%0.6%168.4K-4.0M-185.7K0.1674.304,829766155,71365,215
2021-07-02$4.39$4.5054.1%13.6%37.9%6.2%53.4%19.5%22.8%136.9K-2.4M-175.9K0.60111.682,3271,397157,79865,413
2021-07-06$4.24$5.0049.2%16.5%30.2%3.2%66.5%14.4%24.9%83.0K-5.8K-159.5K0.2629.896,2841,659152,44064,823
2021-07-07$4.20$5.0075.6%18.9%28.5%19.7%71.0%12.3%-20.9%103.7K-456.8K-168.5K0.4055.404,1551,653156,91465,500
2021-07-08$4.33$5.0079.1%15.0%31.4%21.9%58.2%8.2%-8.4%116.5K-2.1M-175.2K0.1629.275,465857159,41766,992
2021-07-09$4.51$5.0076.3%20.9%35.5%20.1%73.7%6.5%5.1%189.0K-4.5M-185.1K0.0531.8012,386678161,96167,092
2021-07-12$4.43$5.0075.1%19.1%35.6%19.4%69.8%3.0%-11.3%215.8K-4.9M-186.2K0.1522.094,091600164,97966,125
2021-07-13$4.30$5.0068.7%20.8%36.0%15.4%66.8%10.0%8.8%168.3K-3.5M-177.7K0.1419.362,034277165,80866,544
2021-07-14$4.14$5.0068.3%20.2%37.6%15.1%72.7%-49.6%-6.3%84.0K-771.4K-159.3K0.1815.623,304590166,53566,510
2021-07-15$4.11$5.0063.2%20.3%37.5%11.9%78.6%8.1%-1.4%89.2K-1.6M-170.1K0.1013.084,056413168,32066,717
2021-07-16$4.16$5.0076.0%21.9%37.8%20.0%73.1%-37.1%-21.0%109.1K-4.1M-179.7K0.1527.143,561531168,59266,834
2021-07-19$4.22$5.0061.3%18.4%38.6%10.8%72.7%-23.1%-17.0%113.5K-1.9M-171.8K0.09121.425,937562153,37665,347
2021-07-20$4.31$5.0051.3%13.8%39.0%4.5%57.3%19.7%15.1%165.8K-4.5M-178.9K0.22118.205,2581,160158,15565,782
2021-07-21$4.29$5.0066.9%19.2%36.5%14.2%68.8%11.2%69.5%180.4K-3.7M-173.2K0.09100.672,686247161,59166,099
2021-07-22$4.12$5.0058.1%17.3%38.8%8.7%79.0%-1.1%-37.9%148.3K-3.4M-171.2K0.1763.051,836306163,32065,939
2021-07-23$4.04$5.0067.6%20.3%37.0%14.7%70.2%5.5%-9.3%111.7K-2.4M-165.7K0.2177.354,219876164,21766,086
2021-07-26$3.95$5.0062.8%20.7%37.4%11.7%80.3%5.2%8.1%109.8K-1.4M-156.0K0.1488.834,627657160,41065,287
2021-07-27$4.01$5.0065.8%24.5%38.3%13.6%82.2%7.0%12.1%141.1K-2.2M-162.5K0.1584.893,638548164,25966,107
2021-07-28$4.27$5.0076.0%23.6%44.1%19.9%82.9%-36.2%4.8%200.5K-6.1M-182.9K0.13117.445,659753166,95966,659
2021-07-29$4.24$5.0074.1%20.1%43.9%18.8%73.9%15.9%-4.9%197.6K-5.1M-174.4K0.10111.613,221332168,88466,646
2021-07-30$4.14$5.0068.5%21.6%44.1%15.3%78.5%-8.0%8.5%141.7K-4.5M-173.2K0.14110.341,802255171,20867,269