AMRN Options History — September 2021

In September 2021, AMRN traded between $5.03 and $5.40. ATM implied volatility averaged 74.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 30.1% (HV 20d: 44.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-09-17: Highest Volume — 9,471 contracts
  • 2021-09-20: Largest IV spike — 105.7% change
  • 2021-09-20: Highest IV Rank — 59.2%
  • 2021-09-13: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.23$5.03$5.40$5.40$5.09
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV74.4%45.0%137.1%45.0%52.4%
Expected Move18.5%14.0%21.8%17.5%14.0%
HV 20d44.3%25.9%70.9%70.9%28.2%
HV 60d51.6%50.9%52.4%51.5%50.9%
IV Rank20.9%2.9%59.2%2.9%7.4%
IV Percentile34.9%0.8%97.2%0.8%2.8%
Term Structure-3.0%-80.4%35.1%35.0%6.9%
VWIV68.0%52.7%79.2%68.0%52.7%
Skew 25d0.7%-66.6%53.8%18.3%-6.4%
Skew 10d7.1%-25.3%71.1%-5.7%11.8%
Call IV 25d75.1%50.5%214.9%50.5%57.5%
Put IV 25d75.8%51.1%148.3%68.8%51.1%
Bid-Ask Spread %38.078.3166.4238.0755.56
Gamma HHI0.170.130.220.220.15
Net GEX337.8K208.0K475.9K475.9K220.2K
Net DEX-12.3M-17.7M-7.3M-17.3M-7.3M
Net VEX-191.3K-214.0K-171.7K-214.0K-171.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.030.400.080.03
Total Volume4,879.3811,4969,4713,2504,939
Total OI247,893.143214,565272,215268,527231,844

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$5.40$5.0045.0%17.5%70.9%2.9%68.0%18.3%35.0%475.9K-17.3M-214.0K0.0838.073,009241197,42071,107
2021-09-02$5.39$5.0073.0%19.1%66.5%20.0%71.1%0.8%-19.9%462.4K-17.7M-212.5K0.1456.822,569349199,35771,597
2021-09-03$5.26$5.00102.1%20.4%67.0%37.8%79.2%-25.5%35.1%400.4K-15.6M-208.5K0.2365.033,539824200,48771,728
2021-09-07$5.17$5.0064.2%19.5%67.3%14.7%72.9%0.8%4.0%366.0K-13.2M-198.4K0.199.615,067954188,61070,080
2021-09-08$5.11$5.0056.2%19.6%67.5%9.8%71.1%-1.8%4.3%336.9K-11.3M-190.8K0.1148.534,179453189,45070,506
2021-09-09$5.27$5.0065.5%19.6%68.3%15.5%73.0%-2.6%1.5%388.2K-14.8M-201.8K0.138.314,650586191,87271,098
2021-09-10$5.33$5.0071.8%20.6%48.4%19.3%74.7%-1.8%0.6%446.1K-15.7M-202.3K0.0729.233,836286193,67371,254
2021-09-13$5.29$5.0076.6%21.8%47.0%22.2%79.0%-3.3%3.6%439.6K-15.3M-200.7K0.2155.673,753798191,83370,655
2021-09-14$5.18$5.0067.9%19.8%46.2%16.9%71.1%-6.5%-1.7%385.4K-12.2M-189.9K0.1940.854,130773192,62770,822
2021-09-15$5.15$5.0065.5%18.8%40.8%15.4%68.5%0.9%4.6%343.6K-10.9M-181.9K0.1427.534,389630193,91871,093
2021-09-16$5.17$5.0070.7%20.8%40.4%18.6%79.0%-1.0%-49.6%343.1K-11.7M-189.3K0.1619.153,545571194,44871,414
2021-09-17$5.15$5.0066.6%19.6%37.1%16.1%70.0%1.7%-12.3%227.6K-12.5M-189.6K0.2717.767,4422,029196,02371,639
2021-09-20$5.03$5.00137.1%20.3%37.9%59.2%73.4%18.5%-80.4%208.0K-8.3M-178.0K0.3824.584,6861,768150,53564,030
2021-09-21$5.13$5.00127.6%19.4%25.9%53.4%68.1%53.8%16.8%225.0K-9.2M-181.7K0.3763.202,331869153,26965,422
2021-09-22$5.28$5.0063.5%17.8%28.6%14.3%62.5%-4.7%-11.2%268.3K-10.7M-184.4K0.2266.427,0461,549156,11566,276
2021-09-23$5.40$5.0070.5%15.2%29.9%18.5%57.0%8.9%8.6%391.6K-12.8M-191.3K0.1425.243,293474157,63166,723
2021-09-24$5.40$5.0094.1%16.4%27.6%33.0%58.8%25.7%13.3%313.5K-13.0M-191.8K0.4017.566,3422,526160,18167,288
2021-09-27$5.37$5.0057.0%16.2%27.6%10.3%58.1%-1.2%3.0%324.6K-12.0M-183.2K0.3345.782,850942157,38866,301
2021-09-28$5.24$5.0056.3%16.6%28.2%9.9%60.9%-66.6%15.9%283.2K-9.9M-181.0K0.2945.772,129625160,34068,381
2021-09-29$5.12$5.0078.5%16.0%28.1%23.4%58.9%6.5%-41.8%244.8K-8.0M-174.8K0.2538.701,201295162,42368,898
2021-09-30$5.09$5.0052.4%14.0%28.2%7.4%52.7%-6.4%6.9%220.2K-7.3M-171.7K0.0355.564,803136163,05568,789