AMRN Options History — February 2011

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

In February 2011, AMRN traded between $7.73 and $8.86. ATM implied volatility averaged 70.6%. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 24.7% (HV 20d: 45.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.33.

Notable Days

2011-02-03: Highest Volume — 17,289 contracts
2011-02-07: Largest IV drop — 33.3% change
2011-02-17: Largest Expected Move — 22.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.46	$7.73	$8.86	$8.84	$7.73
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	70.6%	48.1%	79.7%	70.9%	73.3%
Expected Move	20.7%	17.9%	22.8%	20.3%	21.0%
HV 20d	45.9%	31.6%	69.3%	69.3%	37.7%
HV 60d	109.9%	61.8%	119.9%	119.8%	61.8%
Term Structure	31.4%	1.3%	48.6%	4.5%	39.2%
VWIV	74.3%	66.9%	81.5%	67.0%	78.3%
Skew 25d	-5.9%	-10.1%	0.5%	-0.8%	-0.8%
Skew 10d	-13.9%	-31.2%	12.2%	12.2%	11.4%
Call IV 25d	77.6%	68.0%	85.3%	71.9%	85.3%
Put IV 25d	71.7%	63.1%	84.5%	71.1%	84.5%
Bid-Ask Spread %	24.66	15.18	36.92	27.17	22.85
Gamma HHI	0.47	0.29	0.72	0.71	0.29
Net GEX	137.6K	90.2K	166.9K	134.0K	144.1K
Net DEX	-14.5M	-17.9M	-12.1M	-13.1M	-15.2M
Net VEX	-78.2K	-108.1K	-54.9K	-57.5K	-108.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.02	1.08	0.02	0.30
Total Volume	3,802.474	403	17,289	1,814	3,608
Total OI	62,561	45,028	85,440	45,251	85,440

Daily Data (19 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
2011-02-01	$8.84	$7.50	70.9%	20.3%	69.3%	0.0%	67.0%	-0.8%	4.5%	134.0K	-13.1M	-57.5K	0.02	27.17	1,787	27	30,255	14,996
2011-02-02	$8.77	$7.50	74.8%	21.4%	62.5%	0.0%	73.8%	-6.1%	1.3%	134.3K	-12.9M	-55.8K	0.05	18.44	501	25	30,049	15,000
2011-02-03	$8.71	$7.50	62.6%	17.9%	62.7%	0.0%	69.2%	-2.0%	12.9%	123.0K	-12.2M	-54.9K	0.49	29.55	11,613	5,676	30,008	15,020
2011-02-04	$8.63	$7.50	72.2%	19.2%	50.6%	0.0%	71.2%	-9.3%	47.2%	151.4K	-14.5M	-79.5K	0.16	24.19	348	55	39,991	20,327
2011-02-07	$8.59	$7.50	48.1%	19.4%	50.6%	0.0%	67.7%	-5.7%	42.8%	138.5K	-14.0M	-77.0K	0.09	15.18	1,903	168	40,114	20,863
2011-02-08	$8.60	$7.50	49.9%	18.4%	49.7%	0.0%	67.4%	-10.1%	48.6%	143.9K	-14.4M	-75.8K	0.72	26.19	1,325	956	40,583	20,447
2011-02-09	$8.42	$7.50	61.9%	18.9%	45.1%	0.0%	69.8%	-8.9%	44.5%	133.6K	-13.4M	-77.0K	0.79	24.97	382	303	41,060	20,534
2011-02-10	$8.20	$7.50	69.7%	20.0%	45.4%	0.0%	71.5%	-4.3%	39.3%	100.8K	-12.1M	-75.5K	0.41	26.84	2,490	1,020	41,195	20,746
2011-02-11	$8.18	$7.50	64.6%	18.5%	45.4%	0.0%	66.9%	-8.5%	44.7%	90.2K	-12.4M	-76.8K	0.15	26.05	1,563	242	42,266	21,695
2011-02-14	$8.57	$7.50	79.0%	22.6%	48.2%	0.0%	81.5%	-7.5%	34.7%	137.2K	-15.1M	-79.8K	0.21	22.47	3,420	716	42,730	21,832
2011-02-15	$8.44	$7.50	77.0%	22.1%	48.3%	0.0%	80.2%	-5.7%	35.0%	140.1K	-15.0M	-81.8K	0.22	22.77	1,129	247	44,344	21,869
2011-02-16	$8.56	$7.50	79.2%	22.7%	40.4%	0.0%	80.1%	-8.2%	32.2%	150.4K	-15.9M	-82.2K	0.06	36.92	804	47	44,867	21,969
2011-02-17	$8.80	$7.50	79.7%	22.8%	41.3%	0.0%	76.6%	-1.6%	30.1%	163.7K	-17.5M	-83.2K	0.09	23.84	803	75	45,129	21,971
2011-02-18	$8.86	$7.50	75.8%	21.7%	31.6%	0.0%	76.7%	-9.3%	36.2%	166.9K	-17.9M	-83.2K	0.86	23.26	528	455	45,160	22,028
2011-02-22	$8.47	$7.50	76.4%	21.9%	34.6%	0.0%	79.6%	0.5%	21.5%	147.8K	-15.5M	-80.1K	0.09	30.67	3,796	329	41,770	19,992
2011-02-23	$8.07	$7.50	74.5%	21.4%	36.1%	0.0%	76.6%	-6.1%	22.5%	134.4K	-14.3M	-80.9K	0.16	24.05	3,434	557	43,997	20,301
2011-02-24	$8.16	$7.50	74.8%	21.5%	36.2%	0.0%	77.9%	-8.5%	29.3%	144.1K	-14.6M	-85.6K	1.08	20.41	3,112	3,372	46,600	20,831
2011-02-25	$8.09	$7.50	77.2%	22.1%	36.2%	0.0%	79.5%	-9.2%	29.8%	136.1K	-14.7M	-91.6K	0.34	22.73	11,549	3,882	48,655	24,025
2011-02-28	$7.73	$7.50	73.3%	21.0%	37.7%	0.0%	78.3%	-0.8%	39.2%	144.1K	-15.2M	-108.1K	0.30	22.85	2,776	832	58,638	26,802