AMRN Options History — November 2021

In November 2021, AMRN traded between $3.53 and $4.84. ATM implied volatility averaged 76.5%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 26.2% (HV 20d: 50.4%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-11-16: Highest Volume — 25,727 contracts
  • 2021-11-09: Largest IV spike — 148.9% change
  • 2021-11-26: Highest IV Rank — 100.0%
  • 2021-11-23: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.05$3.53$4.84$4.84$3.63
Max Pain$4.81$4.00$5.00$5.00$4.00
ATM IV76.5%51.4%205.0%63.2%61.8%
Expected Move18.9%15.9%21.0%19.2%20.2%
HV 20d50.4%26.8%57.4%27.0%56.7%
HV 60d41.2%36.9%51.2%44.5%40.4%
IV Rank22.2%6.8%100.0%14.0%13.1%
IV Percentile34.2%3.2%100.0%17.5%16.3%
Term Structure-2.7%-209.7%110.3%-11.5%26.0%
VWIV72.9%61.0%94.5%70.5%75.2%
Skew 25d-2.5%-70.7%30.3%2.7%12.5%
Skew 10d0.7%-29.1%71.0%-17.9%71.0%
Call IV 25d79.3%59.9%145.0%64.1%69.6%
Put IV 25d76.8%56.6%112.1%66.7%82.0%
Bid-Ask Spread %32.5115.0370.7718.1037.16
Gamma HHI0.200.160.240.210.16
Net GEX116.5K33.8K260.3K248.5K48.7K
Net DEX2.7M-5.5M6.5M-5.2M5.4M
Net VEX-120.6K-149.9K-98.1K-149.3K-106.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.172.060.260.50
Total Volume9,216.2385,29925,7277,2266,007
Total OI243,406.952233,688254,993234,460242,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$4.84$5.0063.2%19.2%27.0%14.0%70.5%2.7%-11.5%248.5K-5.2M-149.3K0.2618.105,7511,475164,35170,109
2021-11-02$4.81$5.0053.6%18.5%26.8%8.2%72.5%3.4%3.7%260.3K-5.5M-149.9K0.2538.837,2771,818166,68270,250
2021-11-03$4.25$5.0057.7%19.0%51.2%10.7%77.3%-4.0%22.0%143.1K1.5M-130.3K0.3070.7712,3443,720168,50470,564
2021-11-04$4.23$5.0064.3%18.6%50.6%14.7%74.3%6.1%13.0%123.9K1.9M-129.9K0.4123.666,3642,623171,19472,624
2021-11-05$4.09$5.0054.8%19.0%50.8%8.9%86.0%-2.6%-27.1%129.9K2.9M-128.8K0.4816.128,0333,886173,05872,558
2021-11-08$4.11$5.0061.9%18.1%49.7%13.3%64.6%-70.7%7.6%96.9K5.5M-113.0K0.2418.179,0352,133168,00872,470
2021-11-09$4.22$5.00154.1%18.4%50.9%69.6%65.6%-27.7%-209.7%144.4K931.1K-131.4K0.3234.095,1381,626170,71873,108
2021-11-10$4.17$5.0056.2%15.9%50.6%9.8%77.5%-5.8%-7.2%121.5K2.9M-123.1K0.2429.075,4511,333171,92173,222
2021-11-11$4.10$5.0051.4%16.6%50.7%6.8%65.4%30.3%0.2%86.4K3.8M-118.0K0.3715.033,8551,444173,38373,269
2021-11-12$4.01$5.0079.7%19.3%50.5%24.1%73.9%8.6%2.3%84.6K3.0M-120.8K0.3032.625,6111,685174,51073,503
2021-11-15$4.00$5.0064.7%19.0%50.5%14.9%64.6%7.0%-3.7%117.3K3.4M-117.5K0.3216.744,6141,471172,62772,286
2021-11-16$4.11$5.0071.0%20.1%52.2%18.8%86.1%-14.7%0.7%145.6K3.9M-114.2K0.1734.2821,9493,778173,73772,623
2021-11-17$4.12$5.0066.6%19.1%52.4%16.1%69.0%4.4%-2.1%165.4K2.0M-124.2K0.4118.675,1362,098178,17273,278
2021-11-18$3.88$5.0066.2%18.9%55.0%15.9%71.0%-3.3%-0.2%110.4K3.3M-117.6K0.4418.424,9302,187179,67073,364
2021-11-19$3.89$5.0069.1%20.1%55.3%17.6%77.6%-0.5%-1.7%86.5K3.7M-116.5K0.4018.094,9091,971180,87674,117
2021-11-22$3.79$5.0070.5%19.1%54.3%18.5%68.8%5.2%1.4%73.3K3.9M-111.3K0.2628.785,5011,450163,08170,607
2021-11-23$3.78$5.0074.7%21.0%54.4%21.1%65.2%12.0%0.4%83.4K4.0M-109.9K0.7134.654,5763,230165,20570,448
2021-11-24$3.85$4.0092.3%18.9%55.3%31.9%70.2%-4.1%110.3%90.2K3.3M-113.8K1.3769.674,1595,714166,72472,411
2021-11-26$3.64$4.00205.0%20.0%57.4%100.0%94.5%-20.4%4.0%52.1K5.9M-108.2K1.3263.633,4134,507167,78776,773
2021-11-29$3.53$4.0068.9%18.1%55.7%17.4%61.0%8.8%14.4%33.8K6.5M-98.1K2.0646.183,7097,630165,57775,901
2021-11-30$3.63$4.0061.8%20.2%56.7%13.1%75.2%12.5%26.0%48.7K5.4M-106.0K0.5037.163,9942,013166,95975,317