AMRN Options History — September 2012

In September 2012, AMRN traded between $11.99 and $14.78. ATM implied volatility averaged 88.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 31.2% (HV 20d: 56.8%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2012-09-04: Highest Volume — 62,049 contracts
2012-09-13: Largest IV spike — 41.3% change
2012-09-10: Highest IV Rank — 31.2%
2012-09-05: Largest Expected Move — 29.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.61	$11.99	$14.78	$14.64	$12.58
Max Pain	$13.42	$12.00	$14.00	$12.00	$13.00
ATM IV	88.0%	62.8%	109.4%	76.4%	73.7%
Expected Move	26.4%	25.1%	29.0%	27.4%	28.7%
HV 20d	56.8%	47.4%	65.4%	63.8%	60.8%
HV 60d	64.7%	63.4%	65.8%	63.4%	64.8%
IV Rank	17.8%	2.2%	31.2%	10.6%	9.0%
IV Percentile	42.9%	0.8%	82.9%	13.1%	10.7%
Term Structure	5.7%	-1.8%	15.3%	2.7%	6.3%
VWIV	94.5%	88.5%	109.7%	99.8%	103.4%
Skew 25d	-2.4%	-11.0%	9.7%	9.7%	-10.8%
Skew 10d	-3.3%	-36.7%	22.5%	22.5%	-36.7%
Call IV 25d	95.9%	86.4%	110.4%	93.6%	110.4%
Put IV 25d	93.5%	87.1%	109.5%	103.2%	99.6%
Bid-Ask Spread %	23.28	11.78	45.59	37.72	30.88
Gamma HHI	0.12	0.10	0.15	0.12	0.10
Net GEX	2.3M	1.1M	3.2M	2.7M	1.3M
Net DEX	-126.4M	-176.8M	-54.9M	-176.8M	-74.1M
Net VEX	-658.3K	-748.5K	-570.6K	-748.5K	-623.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.15	0.96	0.33	0.25
Total Volume	18,491.158	5,756	62,049	62,049	13,430
Total OI	389,135.053	284,339	447,065	395,539	317,213

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
2012-09-04	$14.64	$12.00	76.4%	27.4%	63.8%	10.6%	99.8%	9.7%	2.7%	2.7M	-176.8M	-748.5K	0.33	37.72	46,584	15,465	282,450	113,089
2012-09-05	$14.12	$12.00	80.2%	29.0%	65.4%	13.0%	109.7%	6.6%	0.1%	2.6M	-151.6M	-716.9K	0.47	37.96	17,695	8,366	275,445	114,787
2012-09-06	$14.62	$12.00	95.7%	26.7%	64.6%	22.6%	99.3%	4.6%	3.3%	2.9M	-168.5M	-705.5K	0.65	35.68	7,809	5,045	278,248	116,577
2012-09-07	$14.78	$14.00	97.8%	26.4%	47.4%	23.9%	92.1%	2.2%	-1.4%	2.9M	-174.6M	-719.1K	0.96	18.14	7,127	6,872	281,893	118,689
2012-09-10	$14.41	$14.00	109.4%	26.7%	48.7%	31.2%	92.5%	3.4%	-1.8%	2.7M	-159.2M	-690.2K	0.21	26.50	12,535	2,597	279,769	123,150
2012-09-11	$13.56	$14.00	76.2%	25.7%	53.3%	10.5%	91.2%	5.2%	3.8%	2.4M	-117.4M	-643.0K	0.70	13.18	17,910	12,520	284,635	125,229
2012-09-12	$13.32	$14.00	62.8%	25.1%	51.9%	2.2%	88.5%	3.3%	14.6%	2.1M	-105.5M	-611.4K	0.69	14.73	12,071	8,355	284,772	126,226
2012-09-13	$14.19	$14.00	88.8%	25.4%	55.9%	18.3%	89.3%	1.0%	5.0%	3.0M	-156.7M	-684.6K	0.30	17.86	23,963	7,197	290,449	129,828
2012-09-14	$14.16	$14.00	90.8%	26.0%	55.7%	19.6%	92.4%	-6.0%	5.4%	3.2M	-162.5M	-705.0K	0.44	16.44	19,985	8,773	301,300	133,011
2012-09-17	$13.99	$14.00	92.6%	26.6%	54.8%	20.7%	94.5%	-2.3%	5.6%	3.1M	-151.9M	-693.5K	0.39	16.71	4,717	1,840	303,767	137,266
2012-09-18	$14.00	$14.00	91.8%	26.3%	54.8%	20.2%	92.4%	-5.8%	3.7%	3.2M	-149.7M	-686.1K	0.20	16.08	4,792	964	305,887	137,925
2012-09-19	$14.02	$14.00	91.6%	26.3%	54.4%	20.1%	93.2%	-7.9%	5.4%	3.0M	-156.6M	-669.9K	0.15	17.43	5,276	794	307,836	138,619
2012-09-20	$13.47	$14.00	91.8%	26.3%	57.1%	20.2%	94.4%	-5.7%	5.5%	2.4M	-125.6M	-640.6K	0.39	13.69	7,514	2,932	308,264	138,801
2012-09-21	$13.37	$14.00	89.0%	25.5%	56.2%	18.5%	89.5%	-5.9%	7.9%	2.1M	-122.2M	-623.5K	0.49	14.24	9,959	4,929	304,577	136,072
2012-09-24	$12.50	$13.00	93.7%	26.9%	57.5%	21.4%	94.5%	-5.9%	3.6%	1.1M	-62.6M	-573.5K	0.32	13.61	12,786	4,100	210,663	73,676
2012-09-25	$12.31	$13.00	90.2%	25.9%	57.6%	19.2%	94.4%	-9.3%	11.3%	1.1M	-59.6M	-570.6K	0.30	45.59	13,666	4,046	216,838	76,740
2012-09-26	$11.99	$13.00	90.8%	26.0%	58.2%	19.6%	93.1%	-10.1%	12.6%	1.1M	-54.9M	-584.8K	0.28	44.16	5,892	1,622	227,817	80,331
2012-09-27	$12.59	$13.00	87.9%	25.2%	60.8%	17.8%	90.5%	-11.0%	15.3%	1.3M	-71.1M	-618.2K	0.35	11.78	8,275	2,929	230,590	81,137
2012-09-28	$12.58	$13.00	73.7%	28.7%	60.8%	9.0%	103.4%	-10.8%	6.3%	1.3M	-74.1M	-623.3K	0.25	30.88	10,774	2,656	234,689	82,524