AMRN Options History — August 2012

In August 2012, AMRN traded between $11.18 and $13.69. ATM implied volatility averaged 123.9%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 33.5%. IV traded above realized volatility by 47.0% (HV 20d: 76.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.54.

Notable Days

2012-08-09: Highest Volume — 66,718 contracts
2012-08-16: Largest IV drop — 38.0% change
2012-08-08: Highest IV Rank — 100.0%
2012-08-01: Largest Expected Move — 41.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.28	$11.18	$13.69	$11.53	$13.69
Max Pain	$12.13	$12.00	$13.00	$13.00	$12.00
ATM IV	123.9%	63.2%	220.2%	125.8%	63.2%
Expected Move	33.5%	25.8%	41.3%	41.3%	25.8%
HV 20d	76.9%	65.0%	86.8%	67.4%	66.2%
HV 60d	64.3%	61.1%	68.8%	61.2%	62.0%
IV Rank	50.2%	2.5%	100.0%	65.9%	2.5%
IV Percentile	78.6%	0.8%	100.0%	94.4%	0.8%
Term Structure	-10.3%	-32.6%	14.1%	-26.6%	9.8%
VWIV	116.3%	91.4%	143.2%	143.2%	93.7%
Skew 25d	4.7%	-3.2%	12.6%	-2.0%	8.4%
Skew 10d	8.9%	-5.5%	20.9%	1.4%	13.6%
Call IV 25d	112.8%	90.9%	142.5%	142.5%	90.9%
Put IV 25d	117.5%	96.3%	142.9%	140.5%	99.4%
Bid-Ask Spread %	40.13	15.57	59.17	15.57	39.37
Gamma HHI	0.10	0.09	0.12	0.11	0.11
Net GEX	1.6M	1.1M	2.1M	1.1M	2.1M
Net DEX	-87.8M	-135.6M	-57.9M	-59.2M	-135.6M
Net VEX	-666.5K	-730.7K	-589.5K	-589.5K	-722.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.09	1.74	0.24	0.15
Total Volume	24,135.957	8,046	66,718	18,388	33,430
Total OI	403,022.565	341,088	478,563	375,889	390,311

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
2012-08-01	$11.53	$13.00	125.8%	41.3%	67.4%	65.9%	143.2%	-2.0%	-26.6%	1.1M	-59.2M	-589.5K	0.24	15.57	14,867	3,521	273,879	102,010
2012-08-02	$11.54	$13.00	126.2%	40.6%	67.6%	66.4%	134.0%	4.6%	-22.5%	1.1M	-58.4M	-617.4K	0.09	22.20	18,893	1,615	287,215	103,224
2012-08-03	$11.93	$13.00	103.7%	40.1%	69.7%	44.1%	140.7%	9.3%	-22.2%	1.4M	-72.7M	-645.3K	0.50	20.96	8,336	4,181	293,680	103,803
2012-08-06	$11.18	$12.00	120.4%	35.0%	71.6%	60.6%	121.8%	-2.5%	-8.7%	1.1M	-61.3M	-590.8K	0.64	58.96	14,208	9,061	288,625	98,294
2012-08-07	$11.62	$12.00	125.3%	35.5%	72.3%	65.4%	121.6%	3.0%	-17.8%	1.3M	-67.6M	-604.8K	0.41	51.35	23,125	9,497	295,693	104,454
2012-08-08	$11.34	$12.00	163.9%	35.4%	72.3%	100.0%	121.9%	6.4%	-14.8%	1.2M	-61.4M	-600.9K	0.98	52.39	17,080	16,796	303,859	111,739
2012-08-09	$12.92	$12.00	132.4%	35.6%	86.6%	69.9%	126.6%	12.6%	-16.7%	2.1M	-115.9M	-730.7K	1.74	56.43	24,374	42,344	308,716	126,439
2012-08-10	$12.94	$12.00	130.6%	36.3%	86.6%	68.2%	124.5%	9.9%	-23.8%	2.1M	-109.8M	-727.9K	0.27	59.17	27,417	7,459	317,648	143,074
2012-08-13	$12.65	$12.00	177.9%	37.6%	86.0%	100.0%	131.3%	8.9%	-26.7%	2.1M	-110.0M	-730.3K	0.58	56.89	26,612	15,490	328,115	140,713
2012-08-14	$12.20	$12.00	204.7%	38.0%	86.6%	100.0%	130.3%	7.9%	-28.3%	1.7M	-93.3M	-717.1K	0.38	39.86	20,431	7,805	320,228	140,713
2012-08-15	$12.31	$12.00	220.2%	38.9%	86.8%	100.0%	131.3%	4.8%	-29.9%	1.7M	-91.9M	-706.5K	0.67	39.26	19,469	13,097	324,867	143,844
2012-08-16	$12.20	$12.00	136.7%	39.2%	84.3%	48.1%	133.0%	1.2%	-32.6%	1.7M	-91.4M	-714.5K	0.71	42.25	10,203	7,203	326,307	147,616
2012-08-17	$11.88	$12.00	120.9%	34.7%	84.5%	38.3%	118.5%	-3.2%	-14.3%	1.3M	-57.9M	-645.6K	1.11	41.71	16,716	18,509	329,210	149,353
2012-08-20	$11.93	$12.00	106.6%	30.6%	84.6%	29.4%	106.2%	4.8%	4.1%	1.1M	-70.4M	-642.9K	0.40	27.48	13,423	5,327	242,613	98,475
2012-08-21	$11.80	$12.00	104.2%	29.9%	84.5%	27.9%	103.9%	3.9%	-1.9%	1.1M	-64.7M	-621.4K	0.42	42.09	7,291	3,098	249,923	100,506
2012-08-22	$11.80	$12.00	102.2%	29.3%	84.6%	26.7%	101.6%	5.5%	-5.1%	1.2M	-67.9M	-626.9K	0.45	51.87	7,548	3,362	251,824	101,037
2012-08-23	$12.22	$12.00	103.0%	29.5%	83.4%	27.1%	101.6%	2.1%	1.9%	1.5M	-82.1M	-650.2K	0.23	36.67	11,511	2,655	256,063	103,351
2012-08-24	$12.99	$12.00	99.6%	28.6%	75.4%	25.0%	99.6%	7.3%	5.7%	1.6M	-109.8M	-688.6K	0.38	22.73	10,957	4,136	260,282	105,261
2012-08-27	$12.83	$12.00	100.1%	28.7%	72.2%	25.4%	100.8%	6.3%	2.8%	1.7M	-102.9M	-689.8K	0.42	35.66	8,537	3,551	261,168	103,027
2012-08-28	$12.87	$12.00	100.2%	28.7%	65.3%	25.4%	103.5%	3.1%	6.1%	1.7M	-107.9M	-683.9K	0.60	34.95	8,499	5,124	265,905	105,248
2012-08-29	$13.06	$12.00	91.1%	26.1%	65.0%	19.8%	92.7%	4.3%	14.1%	2.0M	-113.7M	-686.9K	0.51	36.60	13,489	6,834	270,660	105,519
2012-08-30	$13.02	$12.00	90.4%	25.9%	65.0%	19.3%	91.4%	1.7%	10.3%	2.1M	-113.7M	-694.6K	0.66	38.66	4,861	3,185	275,800	109,228
2012-08-31	$13.69	$12.00	63.2%	25.8%	66.2%	2.5%	93.7%	8.4%	9.8%	2.1M	-135.6M	-722.1K	0.15	39.37	29,023	4,407	279,049	111,262