AMRN Options History — December 2021

In December 2021, AMRN traded between $3.23 and $3.69. ATM implied volatility averaged 98.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 53.5% (HV 20d: 45.2%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2021-12-10: Highest Volume — 18,322 contracts
  • 2021-12-30: Largest IV spike — 213.9% change
  • 2021-12-07: Highest IV Rank — 100.0%
  • 2021-12-13: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.43$3.23$3.69$3.69$3.37
Max Pain$4.86$4.00$5.00$4.00$5.00
ATM IV98.7%63.0%278.6%74.2%70.1%
Expected Move23.0%20.0%25.5%21.2%20.3%
HV 20d45.2%41.3%57.7%57.7%42.2%
HV 60d42.8%40.4%44.7%40.6%44.7%
IV Rank26.1%9.6%100.0%20.6%12.5%
IV Percentile63.9%19.8%100.0%47.6%40.1%
Term Structure2.7%-161.4%106.8%13.7%1.8%
VWIV89.3%68.8%131.7%68.8%72.5%
Skew 25d11.9%-68.5%151.5%-2.0%-3.8%
Skew 10d1.5%-22.3%94.3%-11.2%3.8%
Call IV 25d89.0%72.9%140.1%90.3%77.9%
Put IV 25d100.9%71.6%241.4%88.3%74.1%
Bid-Ask Spread %20.316.0175.5766.2712.81
Gamma HHI0.160.140.270.170.16
Net GEX35.3K5.9K84.6K57.4K5.9K
Net DEX7.3M4.9M9.8M5.5M9.8M
Net VEX-104.7K-109.7K-97.3K-106.6K-99.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.283.200.420.34
Total Volume9,452.0454,44518,3226,8356,903
Total OI243,423.136229,222256,174243,771240,055

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$3.69$4.0074.2%21.2%57.7%20.6%68.8%-2.0%13.7%57.4K5.5M-106.6K0.4266.274,8192,016168,50875,263
2021-12-02$3.55$4.0083.3%20.0%41.8%26.1%82.5%24.2%-3.4%53.5K5.3M-101.2K0.4945.694,8372,368170,54275,141
2021-12-03$3.55$4.0084.0%23.5%41.9%26.6%93.7%35.2%-24.8%68.1K4.9M-107.4K0.5975.574,9102,880171,60575,337
2021-12-06$3.58$5.00101.2%24.3%41.3%37.0%87.7%7.4%95.0%51.4K5.6M-104.2K0.588.813,7902,180168,99274,253
2021-12-07$3.69$5.00278.6%22.8%43.1%100.0%106.9%151.5%-161.4%73.7K5.0M-107.0K1.2414.356,8458,490170,38274,347
2021-12-08$3.59$5.0083.3%22.7%42.1%18.1%87.5%-16.6%81.3%55.2K5.8M-106.3K3.2011.312,6358,445172,26774,536
2021-12-09$3.37$5.0079.7%21.3%46.4%16.6%85.1%-22.5%-21.6%27.1K7.7M-103.0K0.6815.724,7403,201172,81278,023
2021-12-10$3.37$5.0067.0%23.4%46.5%11.2%96.7%26.7%54.5%28.9K6.6M-105.7K0.7413.5510,5487,774175,08077,366
2021-12-13$3.30$5.0096.4%25.5%46.5%23.6%98.7%37.3%-15.5%22.4K7.8M-103.0K0.6621.347,3754,860172,97978,571
2021-12-14$3.25$5.0090.4%24.9%46.4%21.0%93.9%6.6%1.2%22.6K8.5M-101.7K0.616.012,7571,688173,32778,200
2021-12-15$3.23$5.00118.1%24.0%44.3%32.7%85.1%25.4%-19.5%9.4K9.3M-97.3K2.3417.473,1557,379173,59578,014
2021-12-16$3.32$5.0063.0%24.6%46.3%9.6%86.7%15.3%21.7%7.3K8.9M-102.8K1.4910.053,3144,931174,28780,783
2021-12-17$3.46$5.0082.7%23.7%45.9%17.8%91.0%45.1%-3.3%36.7K7.6M-108.3K1.149.835,6106,414175,05781,117
2021-12-20$3.40$5.0089.4%24.7%46.0%20.6%94.5%0.3%3.1%27.4K7.6M-106.4K1.1315.954,4735,065151,64477,578
2021-12-21$3.41$5.0087.4%24.0%45.6%19.8%90.1%-5.9%9.7%38.9K6.9M-108.4K1.6814.302,9915,019153,64477,971
2021-12-22$3.36$5.0082.0%23.5%45.7%17.5%86.3%-2.3%-4.2%35.2K7.4M-106.5K1.317.723,6984,835154,66278,046
2021-12-23$3.51$5.0076.0%22.1%48.3%15.0%88.4%4.9%-11.8%84.6K7.5M-106.2K2.2713.975,59912,708155,36477,969
2021-12-27$3.42$5.0076.7%21.7%45.1%15.3%131.7%-2.2%-3.1%7.1K9.1M-104.7K2.539.083,1948,075154,13980,597
2021-12-28$3.43$5.0074.7%23.2%43.9%14.4%78.8%5.9%106.8%24.4K8.2M-109.7K0.2819.593,9391,103154,78981,295
2021-12-29$3.31$5.0075.9%22.2%44.1%15.0%80.4%-68.5%32.1%17.5K8.3M-104.0K0.3714.734,1331,546156,77981,193
2021-12-30$3.36$5.00238.3%21.9%44.0%83.1%78.6%-0.6%-93.8%21.2K8.4M-104.0K0.3222.765,0771,626158,21680,984
2021-12-31$3.37$5.0070.1%20.3%42.2%12.5%72.5%-3.8%1.8%5.9K9.8M-99.3K0.3412.815,1661,737159,06080,995