AMRN Options History — February 2014

In February 2014, AMRN traded between $1.73 and $1.94. ATM implied volatility averaged 90.8%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 29.3%. IV traded below realized volatility by 1.0% (HV 20d: 91.8%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2014-02-25: Highest Volume — 7,657 contracts
2014-02-25: Largest IV spike — 23.0% change
2014-02-26: Highest IV Rank — 21.5%
2014-02-03: Largest Expected Move — 31.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.81	$1.73	$1.94	$1.81	$1.74
Max Pain	$2.00	$2.00	$2.00	$2.00	$2.00
ATM IV	90.8%	80.4%	107.4%	103.0%	100.5%
Expected Move	29.3%	26.9%	31.6%	31.6%	30.1%
HV 20d	91.8%	49.8%	127.4%	122.9%	49.8%
HV 60d	102.9%	94.3%	110.2%	109.2%	94.3%
IV Rank	15.9%	12.3%	21.5%	20.2%	19.1%
IV Percentile	61.1%	53.2%	71.4%	70.6%	66.7%
Term Structure	-0.1%	-34.3%	17.1%	1.9%	-20.4%
VWIV	105.1%	98.4%	128.1%	101.8%	110.3%
Skew 25d	4.1%	-20.6%	42.3%	8.9%	19.8%
Skew 10d	29.0%	-23.4%	70.4%	20.5%	60.9%
Call IV 25d	86.5%	71.2%	100.1%	75.8%	75.3%
Put IV 25d	90.6%	60.3%	142.5%	84.7%	95.0%
Bid-Ask Spread %	43.51	26.02	58.80	31.54	33.93
Gamma HHI	0.41	0.31	0.52	0.31	0.46
Net GEX	57.0K	43.2K	76.7K	54.4K	60.6K
Net DEX	-1.4M	-2.6M	-543.6K	-1.9M	-1.3M
Net VEX	-32.5K	-36.9K	-29.7K	-35.6K	-30.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.02	2.53	0.32	0.14
Total Volume	2,450.158	419	7,657	1,138	1,080
Total OI	117,553.526	94,926	125,013	120,929	104,989

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
2014-02-03	$1.81	$2.00	103.0%	31.6%	122.9%	20.2%	101.8%	8.9%	1.9%	54.4K	-1.9M	-35.6K	0.32	31.54	862	276	92,773	28,156
2014-02-04	$1.93	$2.00	94.0%	28.7%	125.1%	17.2%	101.4%	-9.7%	7.6%	66.7K	-2.6M	-36.9K	0.30	44.28	3,015	906	93,073	28,082
2014-02-05	$1.83	$2.00	91.9%	30.6%	126.4%	16.2%	0.0%	6.2%	4.7%	58.4K	-2.0M	-35.3K	0.13	41.65	1,610	203	94,173	28,258
2014-02-06	$1.73	$2.00	96.5%	31.4%	127.4%	17.8%	0.0%	42.3%	16.9%	49.7K	-1.4M	-32.5K	2.53	41.14	342	866	94,483	28,373
2014-02-07	$1.75	$2.00	85.8%	30.1%	125.9%	14.1%	0.0%	5.1%	-34.3%	49.6K	-1.4M	-33.4K	1.43	39.62	640	913	94,650	28,946
2014-02-10	$1.76	$2.00	82.7%	29.1%	124.6%	13.1%	0.0%	3.8%	11.7%	48.1K	-1.1M	-32.7K	0.08	48.13	732	60	95,085	29,161
2014-02-11	$1.78	$2.00	89.0%	28.0%	124.6%	15.2%	98.4%	4.0%	-1.7%	49.8K	-975.9K	-31.4K	0.02	58.60	1,164	21	95,108	29,122
2014-02-12	$1.76	$2.00	87.3%	29.1%	124.0%	14.6%	111.6%	-5.9%	-1.3%	49.0K	-932.5K	-31.1K	0.12	44.00	374	45	95,481	29,121
2014-02-13	$1.76	$2.00	81.8%	29.8%	109.6%	12.8%	104.3%	-20.6%	2.4%	43.2K	-543.6K	-29.7K	1.33	43.98	442	588	95,538	29,149
2014-02-14	$1.75	$2.00	80.7%	31.1%	108.4%	12.4%	128.1%	-19.3%	9.1%	46.5K	-622.6K	-30.7K	0.35	46.60	1,007	348	95,709	29,304
2014-02-18	$1.83	$2.00	90.6%	28.1%	110.1%	15.8%	101.6%	-0.4%	-1.4%	49.4K	-767.3K	-31.6K	0.03	39.46	1,041	27	95,317	29,239
2014-02-19	$1.88	$2.00	92.3%	26.9%	52.0%	16.3%	0.0%	-0.5%	-0.4%	69.2K	-1.6M	-33.3K	1.07	51.64	2,119	2,266	95,567	29,242
2014-02-20	$1.94	$2.00	83.8%	28.9%	51.8%	13.5%	103.1%	6.3%	16.3%	76.7K	-1.9M	-33.8K	0.68	58.80	1,062	718	91,773	29,637
2014-02-21	$1.86	$2.00	87.6%	29.0%	53.1%	14.8%	102.0%	5.2%	17.1%	51.7K	-796.4K	-31.2K	0.69	56.93	3,278	2,256	91,990	30,069
2014-02-24	$1.89	$2.00	80.4%	27.8%	51.5%	12.3%	102.1%	0.0%	9.7%	62.9K	-1.8M	-31.3K	0.04	41.74	5,593	213	71,057	23,869
2014-02-25	$1.84	$2.00	98.9%	29.4%	52.7%	18.6%	102.5%	0.3%	-13.0%	71.5K	-2.0M	-32.5K	0.02	43.05	7,515	142	75,685	23,874
2014-02-26	$1.79	$2.00	107.4%	28.8%	52.5%	21.5%	99.5%	16.5%	-9.3%	64.9K	-1.9M	-32.3K	0.07	26.02	2,812	207	79,727	23,911
2014-02-27	$1.78	$2.00	90.7%	29.0%	51.8%	15.8%	110.3%	15.4%	-18.1%	60.7K	-1.7M	-31.4K	0.41	35.68	1,286	524	79,723	24,103
2014-02-28	$1.74	$2.00	100.5%	30.1%	49.8%	19.1%	0.0%	19.8%	-20.4%	60.6K	-1.3M	-30.2K	0.14	33.93	951	129	80,606	24,383