AMRN Options History — August 2011

In August 2011, AMRN traded between $9.88 and $13.21. ATM implied volatility averaged 92.9%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 6.3% (HV 20d: 86.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.48.

Notable Days

2011-08-12: Highest Volume — 34,523 contracts
2011-08-04: Largest IV spike — 50.3% change
2011-08-22: Highest IV Rank — 44.6%
2011-08-22: Largest Expected Move — 32.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.44	$9.88	$13.21	$13.21	$11.50
Max Pain	$14.83	$14.00	$15.00	$14.00	$15.00
ATM IV	92.9%	55.3%	112.4%	55.3%	86.0%
Expected Move	26.6%	15.9%	32.2%	15.9%	24.7%
HV 20d	86.7%	32.3%	111.9%	32.3%	111.6%
HV 60d	61.1%	42.2%	71.3%	42.6%	70.1%
IV Rank	31.1%	5.0%	44.6%	5.0%	26.3%
IV Percentile	65.6%	4.2%	81.6%	4.2%	57.7%
Term Structure	-3.4%	-22.1%	31.9%	31.9%	3.3%
VWIV	96.1%	58.7%	116.0%	58.7%	90.3%
Skew 25d	0.6%	-8.6%	17.4%	-5.2%	7.8%
Skew 10d	-6.5%	-38.3%	21.2%	-26.4%	-6.5%
Call IV 25d	95.3%	61.0%	114.5%	61.0%	86.5%
Put IV 25d	95.9%	55.8%	120.4%	55.8%	94.3%
Bid-Ask Spread %	37.39	17.37	56.92	54.44	21.15
Gamma HHI	0.10	0.09	0.14	0.11	0.09
Net GEX	321.5K	63.4K	789.6K	710.8K	212.2K
Net DEX	5.4M	-24.7M	22.7M	-14.5M	7.9M
Net VEX	-270.2K	-376.5K	-187.4K	-356.0K	-207.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.09	2.61	0.19	0.14
Total Volume	7,362.217	850	34,523	1,186	1,570
Total OI	242,795.696	221,887	278,384	231,452	225,408

Daily Data (23 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
2011-08-01	$13.21	$14.00	55.3%	15.9%	32.3%	5.0%	58.7%	-5.2%	31.9%	710.8K	-14.5M	-356.0K	0.19	54.44	994	192	167,468	63,984
2011-08-02	$12.61	$14.00	62.9%	18.0%	35.3%	10.3%	65.9%	1.8%	9.4%	484.5K	-3.3M	-318.9K	0.25	55.46	2,875	710	167,792	64,088
2011-08-03	$12.57	$14.00	66.7%	19.1%	35.3%	12.9%	69.5%	-7.8%	8.8%	449.7K	-1.1M	-323.1K	0.13	55.79	2,110	284	169,289	64,599
2011-08-04	$10.49	$14.00	100.2%	28.7%	69.6%	36.2%	106.2%	-6.1%	-2.8%	230.9K	16.4M	-240.3K	1.01	49.02	16,993	17,217	169,684	64,547
2011-08-05	$11.24	$15.00	98.5%	28.1%	75.9%	34.9%	99.0%	-5.8%	-13.2%	327.2K	9.5M	-319.4K	0.19	53.75	3,912	740	182,447	77,919
2011-08-08	$10.83	$15.00	107.6%	29.0%	75.7%	41.3%	103.2%	-1.5%	-9.4%	270.8K	12.5M	-293.3K	0.37	56.92	1,538	570	185,493	76,671
2011-08-09	$10.81	$15.00	101.8%	29.8%	75.6%	37.2%	101.7%	6.7%	-12.9%	161.0K	21.4M	-260.7K	0.14	47.27	2,508	339	185,911	76,682
2011-08-10	$10.84	$15.00	96.9%	29.1%	75.5%	33.8%	96.4%	-6.2%	-10.7%	263.1K	13.6M	-281.3K	0.11	46.35	2,013	219	187,300	75,150
2011-08-11	$12.15	$15.00	87.6%	25.1%	87.9%	27.4%	89.1%	9.4%	-13.6%	341.3K	2.6M	-313.9K	0.99	48.05	1,539	1,517	187,447	75,166
2011-08-12	$12.87	$15.00	86.1%	24.7%	90.8%	26.4%	103.5%	-8.0%	-2.7%	680.0K	-19.6M	-375.9K	0.09	31.89	31,539	2,984	187,982	75,546
2011-08-15	$13.01	$15.00	92.9%	26.6%	90.3%	31.1%	95.3%	-8.5%	-11.0%	789.6K	-24.7M	-376.5K	0.32	37.30	1,810	574	203,230	75,154
2011-08-16	$13.00	$15.00	91.8%	26.3%	90.2%	30.3%	93.1%	-8.6%	-7.5%	576.1K	-15.5M	-348.4K	0.36	31.01	1,928	687	177,709	75,346
2011-08-17	$12.39	$15.00	103.1%	29.6%	91.5%	38.2%	99.4%	-7.0%	-15.8%	452.6K	-5.1M	-327.6K	2.61	31.88	4,270	11,128	178,084	75,427
2011-08-18	$11.09	$15.00	105.2%	30.2%	98.6%	39.6%	109.8%	-2.3%	-11.8%	221.6K	10.2M	-263.4K	0.43	31.93	3,618	1,555	177,720	73,239
2011-08-19	$10.10	$15.00	112.0%	32.1%	101.7%	44.3%	115.3%	-4.5%	-22.1%	63.4K	22.7M	-217.7K	1.87	26.11	5,574	10,425	176,843	72,880
2011-08-22	$9.88	$15.00	112.4%	32.2%	101.6%	44.6%	116.0%	5.9%	-9.8%	187.0K	15.6M	-209.8K	0.40	27.62	5,998	2,380	162,299	64,129
2011-08-23	$10.71	$15.00	97.7%	28.0%	107.4%	34.4%	102.0%	16.3%	-0.3%	123.2K	14.2M	-197.6K	0.19	28.93	12,955	2,521	164,743	59,717
2011-08-24	$10.54	$15.00	96.3%	27.6%	106.7%	33.4%	96.3%	17.4%	3.6%	122.0K	14.5M	-193.5K	0.26	29.36	675	175	163,869	60,668
2011-08-25	$10.09	$15.00	102.0%	29.2%	107.1%	37.4%	109.3%	8.3%	-7.4%	178.2K	14.5M	-187.4K	0.30	28.18	1,576	480	161,180	60,707
2011-08-26	$10.66	$15.00	93.2%	26.7%	109.7%	31.3%	104.1%	4.4%	12.3%	161.4K	13.4M	-194.5K	0.19	30.40	2,351	455	161,203	61,086
2011-08-29	$11.23	$15.00	92.5%	26.5%	111.9%	30.8%	93.2%	2.4%	1.5%	209.4K	8.5M	-208.0K	0.35	17.37	2,182	761	162,420	61,179
2011-08-30	$11.19	$15.00	88.8%	25.4%	111.0%	28.2%	92.9%	4.7%	2.1%	178.1K	9.8M	-198.8K	0.25	19.74	2,315	575	163,387	61,509
2011-08-31	$11.50	$15.00	86.0%	24.7%	111.6%	26.3%	90.3%	7.8%	3.3%	212.2K	7.9M	-207.7K	0.14	21.15	1,379	191	163,631	61,777