AMRN Options History — August 2021

In August 2021, AMRN traded between $4.23 and $5.85. ATM implied volatility averaged 78.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 17.4% (HV 20d: 60.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2021-08-12: Highest Volume — 44,922 contracts
  • 2021-08-03: Largest IV spike — 182.2% change
  • 2021-08-03: Highest IV Rank — 80.7%
  • 2021-08-11: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.24$4.23$5.85$4.23$5.41
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV78.0%40.2%172.9%61.3%40.2%
Expected Move19.9%10.2%32.0%22.7%18.7%
HV 20d60.6%43.3%71.4%44.8%71.4%
HV 60d48.2%40.8%53.5%40.8%51.7%
IV Rank21.3%0.0%80.7%10.7%0.0%
IV Percentile37.7%0.0%99.2%11.1%0.0%
Term Structure4.5%-129.0%135.6%40.2%37.3%
VWIV73.7%67.1%82.3%78.9%75.8%
Skew 25d-6.5%-70.4%32.5%14.6%-4.0%
Skew 10d-19.6%-114.6%37.8%27.0%-114.6%
Call IV 25d77.1%38.0%135.2%75.0%75.0%
Put IV 25d70.6%48.4%105.8%89.6%71.0%
Bid-Ask Spread %50.3119.35118.0691.8534.44
Gamma HHI0.220.180.330.190.22
Net GEX408.0K157.0K563.3K157.0K524.1K
Net DEX-17.7M-26.4M-4.1M-4.1M-18.8M
Net VEX-210.3K-238.9K-169.5K-169.5K-215.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.030.360.360.14
Total Volume10,626.9553,72444,9223,7244,996
Total OI249,955.136234,056271,658234,056271,658

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$4.23$5.0061.3%22.7%44.8%10.7%78.9%14.6%40.2%157.0K-4.1M-169.5K0.3691.852,733991167,16866,888
2021-08-03$4.28$5.00172.9%21.5%43.3%80.7%81.1%32.5%25.0%166.1K-4.3M-174.2K0.23118.064,9951,168167,49667,049
2021-08-04$4.44$5.0049.8%10.2%44.9%3.6%82.3%28.8%28.0%219.4K-7.7M-186.9K0.04114.459,649434169,46467,695
2021-08-05$4.79$5.0091.0%19.6%51.1%29.3%70.5%-6.9%-72.6%346.4K-9.4M-179.5K0.2370.0513,2452,998171,12168,135
2021-08-06$4.90$5.0082.3%18.4%49.8%23.9%73.8%-9.6%-15.3%293.8K-11.8M-188.1K0.0758.577,657541173,80068,183
2021-08-09$4.87$5.0082.9%17.9%49.3%24.3%68.4%-18.0%-48.0%330.6K-11.1M-190.0K0.1364.334,667612169,42766,988
2021-08-10$4.87$5.0061.3%17.5%47.6%10.7%67.1%-23.9%1.0%365.9K-11.0M-197.1K0.0743.934,062274170,67867,193
2021-08-11$4.92$5.0061.4%32.0%44.7%10.8%79.0%-1.3%9.5%397.5K-11.9M-197.5K0.0558.865,560301172,46267,637
2021-08-12$5.62$5.0069.1%21.7%62.3%15.6%73.6%-17.0%10.9%442.0K-26.1M-228.3K0.1841.6538,1096,813174,58767,641
2021-08-13$5.43$5.00149.6%17.7%64.8%66.1%69.8%-70.4%-129.0%405.6K-22.0M-215.2K0.2935.059,0802,640176,82267,760
2021-08-16$5.26$5.0067.8%18.4%66.8%14.8%71.9%-8.2%-6.9%441.6K-17.7M-213.9K0.3227.044,9421,563183,36871,192
2021-08-17$5.57$5.0073.8%21.7%68.7%18.6%74.6%-12.6%2.9%515.2K-24.2M-232.7K0.3551.998,5352,957185,34171,595
2021-08-18$5.64$5.0067.3%19.3%68.4%14.5%69.0%-4.4%4.0%563.3K-25.6M-222.4K0.1522.6711,9171,763187,49671,942
2021-08-19$5.38$5.0078.4%17.7%69.1%21.5%67.2%0.4%38.6%503.3K-22.3M-222.7K0.3344.375,4881,794188,79672,042
2021-08-20$5.38$5.0065.7%18.7%68.2%13.5%71.5%-12.0%0.5%374.6K-20.2M-214.4K0.0820.597,359563193,11872,895
2021-08-23$5.80$5.0065.3%19.4%70.0%13.3%69.1%-7.2%4.4%451.3K-23.5M-223.7K0.1626.5817,3772,702176,80268,297
2021-08-24$5.80$5.0073.5%21.0%70.4%18.4%74.3%3.9%-5.0%472.6K-24.6M-231.0K0.1332.595,983799180,02068,243
2021-08-25$5.85$5.0080.2%21.6%68.4%22.6%73.4%-55.4%-7.2%523.0K-26.4M-238.9K0.2340.165,3421,242188,04569,896
2021-08-26$5.65$5.0087.1%20.3%70.3%26.9%75.3%0.6%-1.1%482.2K-23.5M-231.2K0.1319.359,7851,233191,05070,530
2021-08-27$5.64$5.0049.8%21.1%69.2%3.5%76.7%-5.2%46.2%503.3K-24.2M-237.9K0.1024.3310,1761,058193,50070,990
2021-08-30$5.54$5.0085.7%21.1%70.1%26.0%77.6%31.2%135.6%496.7K-19.7M-215.6K0.0366.009,383307193,62370,380
2021-08-31$5.41$5.0040.2%18.7%71.4%0.0%75.8%-4.0%37.3%524.1K-18.8M-215.0K0.1434.444,384612200,70470,954