AMRN Options History — March 2012

In March 2012, AMRN traded between $7.15 and $11.94. ATM implied volatility averaged 86.1%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 16.2% (HV 20d: 102.4%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.61.

Notable Days

2012-03-16: Highest Volume — 49,567 contracts
2012-03-14: Largest IV spike — 118.2% change
2012-03-14: Highest IV Rank — 76.7%
2012-03-16: Largest Expected Move — 34.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.58	$7.15	$11.94	$8.77	$11.32
Max Pain	$9.23	$8.00	$10.00	$8.00	$10.00
ATM IV	86.1%	71.1%	159.5%	82.6%	71.1%
Expected Move	24.7%	20.4%	34.2%	23.7%	20.4%
HV 20d	102.4%	84.7%	118.9%	84.7%	92.8%
HV 60d	83.2%	76.5%	89.0%	76.7%	84.2%
IV Rank	24.5%	13.7%	76.7%	21.9%	13.7%
IV Percentile	36.7%	13.9%	95.6%	34.5%	13.9%
Term Structure	7.3%	-11.2%	20.3%	5.6%	10.1%
VWIV	86.7%	69.8%	118.3%	84.9%	69.8%
Skew 25d	-3.5%	-12.0%	3.1%	-5.9%	-2.7%
Skew 10d	-5.8%	-31.9%	18.5%	-10.5%	-7.9%
Call IV 25d	89.2%	72.9%	122.8%	94.1%	72.9%
Put IV 25d	85.7%	70.1%	113.0%	88.2%	70.1%
Bid-Ask Spread %	38.80	10.01	78.50	45.74	10.01
Gamma HHI	0.24	0.16	0.37	0.25	0.32
Net GEX	323.1K	12.2K	697.8K	309.0K	490.1K
Net DEX	-27.8M	-64.8M	-1.5M	-18.6M	-38.7M
Net VEX	-165.0K	-232.5K	-107.9K	-136.0K	-181.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.11	1.55	0.74	0.62
Total Volume	12,222.773	679	49,567	4,701	13,079
Total OI	112,718.773	94,134	131,048	94,134	116,932

Daily Data (22 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
2012-03-01	$8.77	$8.00	82.6%	23.7%	84.7%	21.9%	84.9%	-5.9%	5.6%	309.0K	-18.6M	-136.0K	0.74	45.74	2,707	1,994	65,969	28,165
2012-03-02	$7.92	$8.00	79.3%	22.7%	92.1%	19.6%	80.3%	-5.3%	7.8%	190.7K	-9.7M	-121.9K	0.50	46.13	17,307	8,575	66,413	28,290
2012-03-05	$7.55	$9.00	88.5%	25.9%	93.3%	26.2%	91.1%	-6.2%	14.9%	152.8K	-7.0M	-124.7K	0.50	74.29	2,388	1,196	72,060	32,570
2012-03-06	$7.34	$9.00	78.7%	25.9%	91.0%	19.2%	91.3%	-3.5%	11.4%	103.8K	-4.9M	-116.4K	1.55	71.78	1,714	2,649	70,745	31,846
2012-03-07	$7.52	$9.00	82.0%	25.3%	89.6%	21.5%	87.5%	1.9%	14.8%	123.9K	-5.9M	-120.3K	0.61	78.50	889	540	71,498	32,143
2012-03-08	$7.43	$9.00	81.7%	25.4%	89.6%	21.3%	87.3%	3.1%	12.7%	103.1K	-5.3M	-118.2K	0.23	21.57	1,423	322	71,670	32,292
2012-03-09	$7.35	$9.00	71.1%	23.7%	89.6%	13.8%	78.9%	-0.5%	14.4%	58.0K	-3.5M	-113.4K	0.56	36.45	1,141	636	71,933	32,416
2012-03-12	$7.27	$9.00	78.3%	23.8%	89.4%	18.9%	80.7%	1.6%	16.6%	29.2K	-2.8M	-110.0K	1.00	29.21	340	339	72,477	32,722
2012-03-13	$7.15	$9.00	73.1%	21.3%	85.8%	15.2%	74.2%	-1.0%	20.3%	12.2K	-1.5M	-107.9K	1.44	42.07	1,347	1,943	72,571	32,976
2012-03-14	$8.02	$9.00	159.5%	33.2%	96.6%	76.7%	118.0%	-12.0%	-5.2%	241.6K	-14.4M	-130.9K	0.11	43.89	34,392	3,647	73,105	34,322
2012-03-15	$8.91	$8.00	103.8%	29.7%	104.2%	37.0%	104.6%	-10.9%	5.5%	696.3K	-32.2M	-156.4K	0.21	39.40	12,416	2,568	91,561	35,692
2012-03-16	$10.52	$8.00	119.4%	34.2%	118.0%	48.2%	118.3%	-6.6%	-11.2%	697.8K	-64.8M	-174.3K	0.56	31.84	31,734	17,833	95,072	35,976
2012-03-19	$10.66	$9.00	111.6%	32.0%	112.7%	42.6%	113.7%	-9.6%	-2.7%	256.9K	-37.4M	-203.2K	1.12	33.25	7,747	8,688	69,136	35,510
2012-03-20	$11.94	$10.00	84.1%	24.1%	118.5%	23.1%	84.5%	-2.5%	-1.0%	354.7K	-48.7M	-217.7K	0.46	30.62	22,326	10,204	73,251	43,027
2012-03-21	$11.92	$10.00	82.8%	23.7%	118.4%	22.1%	83.7%	-0.6%	2.3%	465.9K	-52.3M	-230.8K	1.16	20.86	5,773	6,710	80,875	45,789
2012-03-22	$11.91	$10.00	77.7%	22.3%	118.3%	18.5%	80.8%	1.9%	5.2%	479.3K	-51.1M	-232.5K	0.41	19.41	4,848	1,972	81,658	46,434
2012-03-23	$11.73	$10.00	74.6%	21.4%	118.7%	16.3%	74.1%	-5.9%	9.0%	489.3K	-48.9M	-228.5K	0.14	43.22	6,202	838	81,894	41,215
2012-03-26	$11.50	$10.00	74.2%	21.3%	118.9%	16.0%	74.1%	-1.0%	9.5%	491.3K	-43.7M	-210.5K	0.18	35.77	2,477	443	79,047	41,564
2012-03-27	$11.55	$10.00	74.2%	21.3%	118.5%	15.9%	76.4%	-2.6%	6.5%	469.7K	-43.6M	-205.0K	0.60	40.68	6,340	3,787	77,765	41,630
2012-03-28	$11.15	$10.00	73.7%	21.1%	109.4%	15.6%	73.5%	-2.6%	6.0%	452.1K	-39.4M	-209.1K	0.46	43.69	9,358	4,344	81,386	43,421
2012-03-29	$11.31	$10.00	73.0%	20.9%	102.0%	15.1%	79.7%	-5.5%	9.0%	441.0K	-38.0M	-181.3K	0.25	15.22	2,976	749	75,162	39,633
2012-03-30	$11.32	$10.00	71.1%	20.4%	92.8%	13.7%	69.8%	-2.7%	10.1%	490.1K	-38.7M	-181.0K	0.62	10.01	8,082	4,997	77,334	39,598