AMRN Options History — January 2011

Name: AMRN Options Analytics - January 2011
Creator: Options Analysis Suite

In January 2011, AMRN traded between $7.70 and $9.33. ATM implied volatility averaged 75.1%. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 1.6% (HV 20d: 73.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2011-01-06: Highest Volume — 12,906 contracts
2011-01-28: Largest IV spike — 50.9% change
2011-01-03: Largest Expected Move — 26.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.63	$7.70	$9.33	$8.33	$8.88
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	75.1%	52.9%	92.2%	92.2%	80.8%
Expected Move	22.2%	15.2%	26.4%	26.4%	23.2%
HV 20d	73.5%	68.1%	80.2%	68.1%	69.4%
HV 60d	123.9%	119.9%	130.4%	129.8%	120.0%
Term Structure	8.8%	-1.6%	37.6%	2.4%	-1.6%
VWIV	78.7%	69.5%	93.4%	91.9%	79.9%
Skew 25d	-4.6%	-15.0%	8.5%	0.5%	-14.0%
Skew 10d	7.0%	-20.8%	56.7%	13.2%	-4.3%
Call IV 25d	82.3%	72.5%	94.6%	94.6%	81.3%
Put IV 25d	77.7%	62.5%	99.6%	95.1%	67.2%
Bid-Ask Spread %	38.08	12.18	69.06	46.24	12.18
Gamma HHI	0.68	0.53	0.85	0.55	0.69
Net GEX	112.5K	54.5K	175.0K	94.4K	145.8K
Net DEX	-12.6M	-15.8M	-8.3M	-9.9M	-13.7M
Net VEX	-47.3K	-57.9K	-30.9K	-31.2K	-55.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.03	1.65	0.04	0.83
Total Volume	3,224.95	391	12,906	692	6,735
Total OI	39,389.25	24,496	50,348	24,496	42,784

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$8.33	$7.50	92.2%	26.4%	68.1%	0.0%	91.9%	0.5%	2.4%	94.4K	-9.9M	-31.2K	0.04	46.24	668	24	19,152	5,344
2011-01-04	$7.70	$7.50	92.1%	26.4%	73.8%	0.0%	93.4%	0.9%	0.8%	86.8K	-8.3M	-30.9K	0.11	17.55	1,468	155	19,383	5,350
2011-01-05	$7.73	$7.50	90.2%	25.9%	73.2%	0.0%	93.1%	7.2%	8.6%	90.9K	-8.8M	-31.3K	0.05	18.56	1,011	47	20,065	5,436
2011-01-06	$8.59	$7.50	69.1%	19.8%	80.2%	0.0%	69.5%	2.7%	13.8%	114.3K	-11.2M	-32.2K	1.03	27.68	6,350	6,556	20,472	5,449
2011-01-07	$8.59	$7.50	67.8%	21.8%	79.0%	0.0%	77.6%	8.5%	8.6%	74.1K	-11.0M	-38.5K	0.09	69.06	882	77	23,238	11,276
2011-01-10	$8.81	$7.50	58.6%	22.7%	75.6%	0.0%	78.4%	-4.7%	7.1%	94.5K	-12.5M	-36.2K	0.16	53.38	3,798	612	23,268	11,253
2011-01-11	$9.33	$7.50	71.3%	22.6%	76.4%	0.0%	78.6%	-7.5%	2.4%	145.9K	-15.1M	-38.8K	0.19	35.03	6,715	1,290	24,771	11,807
2011-01-12	$9.15	$7.50	71.4%	22.5%	78.0%	0.0%	78.7%	-4.1%	9.7%	168.0K	-15.8M	-46.6K	0.26	44.70	2,852	731	28,759	12,587
2011-01-13	$9.10	$7.50	81.6%	23.4%	77.1%	0.0%	80.9%	-1.4%	3.1%	175.0K	-15.7M	-48.0K	1.65	44.98	2,575	4,254	29,816	13,313
2011-01-14	$8.86	$7.50	79.1%	22.7%	78.7%	0.0%	79.3%	-2.2%	5.8%	127.2K	-14.7M	-57.9K	0.43	27.50	1,465	634	31,878	17,372
2011-01-18	$8.75	$7.50	76.1%	21.8%	69.1%	0.0%	75.7%	-4.0%	11.0%	110.1K	-14.1M	-56.2K	0.08	61.09	785	66	32,173	17,427
2011-01-19	$8.13	$7.50	77.6%	22.2%	68.5%	0.0%	75.5%	-6.0%	5.7%	54.5K	-11.3M	-54.6K	1.49	60.64	1,620	2,420	32,387	17,478
2011-01-20	$8.23	$7.50	75.5%	21.7%	68.4%	0.0%	76.3%	-9.4%	5.4%	64.8K	-11.8M	-55.2K	0.16	24.27	1,494	245	32,619	17,729
2011-01-21	$8.87	$7.50	76.7%	22.0%	73.0%	0.0%	77.4%	-1.1%	9.5%	96.3K	-14.5M	-55.1K	0.05	26.83	2,101	98	32,281	16,533
2011-01-24	$9.03	$7.50	76.5%	21.9%	73.1%	0.0%	79.0%	-7.4%	4.2%	118.6K	-13.8M	-54.9K	0.09	32.56	1,891	179	27,337	12,188
2011-01-25	$8.69	$7.50	69.8%	20.0%	74.8%	0.0%	74.8%	-10.8%	18.7%	115.8K	-12.6M	-55.0K	0.03	24.48	1,897	65	28,117	12,232
2011-01-26	$8.56	$7.50	63.4%	18.2%	75.0%	0.0%	71.7%	-9.1%	20.3%	119.7K	-12.3M	-55.0K	0.83	21.02	987	820	28,863	12,297
2011-01-27	$8.58	$7.50	52.9%	15.2%	69.7%	0.0%	70.7%	-14.3%	37.6%	122.9K	-12.4M	-56.8K	0.41	67.24	278	113	29,603	13,101
2011-01-28	$8.79	$7.50	79.8%	22.9%	69.6%	0.0%	71.8%	-15.0%	3.5%	130.0K	-13.1M	-56.8K	0.56	46.72	347	194	29,561	13,086
2011-01-31	$8.88	$7.50	80.8%	23.2%	69.4%	0.0%	79.9%	-14.0%	-1.6%	145.8K	-13.7M	-55.4K	0.83	12.18	3,672	3,063	29,688	13,096