AMRN Options History — July 2014 In July 2014, AMRN traded between $1.49 and $1.80. ATM implied volatility averaged 114.6%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 25.2%. IV traded above realized volatility by 75.3% (HV 20d: 39.3%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.15.
Notable Days 2014-07-31 : Highest Volume — 27,136 contracts2014-07-25 : Largest IV spike — 63.5% change2014-07-01 : Highest IV Rank — 43.2%2014-07-31 : Largest Expected Move — 28.4%Monthly Statistics Metric Avg Min Max Open Close Price $1.60 $1.49 $1.80 $1.70 $1.80 Max Pain $2.00 $2.00 $2.00 $2.00 $2.00 ATM IV 114.6% 72.3% 172.1% 172.1% 134.2% Expected Move 25.2% 22.5% 28.4% 26.9% 28.4% HV 20d 39.3% 34.1% 57.4% 36.1% 57.4% HV 60d 46.0% 44.2% 51.1% 47.7% 51.1% IV Rank 23.7% 9.4% 43.2% 43.2% 30.4% IV Percentile 66.8% 21.4% 96.0% 96.0% 82.5% Term Structure -17.2% -91.8% 37.0% -62.8% 21.0% VWIV 92.3% 81.5% 106.6% 81.5% 100.9% Skew 25d 33.9% -34.4% 127.7% -34.4% 50.2% Skew 10d 28.5% -17.6% 125.8% 10.6% 57.6% Call IV 25d 76.1% 45.4% 118.9% 84.0% 107.3% Put IV 25d 110.0% 49.6% 196.5% 49.6% 157.5% Bid-Ask Spread % 84.58 66.47 121.37 66.47 82.43 Gamma HHI 0.31 0.28 0.35 0.29 0.29 Net GEX 51.4K 40.2K 60.2K 60.0K 55.2K Net DEX -1.5M -3.4M -701.4K -2.4M -3.4M Net VEX -16.9K -23.6K -12.7K -22.5K -23.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.15 0.00 0.57 0.25 0.01 Total Volume 1,716.182 63 27,136 574 27,136 Total OI 81,813.818 79,178 83,409 81,531 82,681
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 2014-07-01 $1.70 $2.00 172.1% 26.9% 36.1% 43.2% 81.5% -34.4% -62.8% 60.0K -2.4M -22.5K 0.25 66.47 458 116 71,022 10,509 2014-07-02 $1.73 $2.00 129.3% 26.8% 34.1% 28.7% 88.3% 2.5% 7.5% 58.3K -1.9M -17.7K 0.05 82.90 592 28 71,329 10,434 2014-07-03 $1.70 $2.00 139.6% 25.8% 35.5% 32.2% 0.0% -14.0% 7.5% 60.2K -2.3M -21.7K 0.17 87.66 306 53 71,648 10,444 2014-07-07 $1.66 $2.00 121.2% 26.3% 37.2% 26.0% 89.1% 37.9% -40.7% 56.0K -2.3M -21.5K 0.25 71.68 260 65 71,934 10,487 2014-07-08 $1.60 $2.00 170.5% 26.8% 39.3% 42.7% 86.3% 16.0% -91.8% 55.5K -1.8M -18.2K 0.34 80.13 120 41 72,133 10,532 2014-07-09 $1.62 $2.00 143.5% 23.6% 39.4% 33.5% 95.9% 3.9% -73.2% 52.9K -1.4M -15.9K 0.57 81.24 40 23 72,248 10,564 2014-07-10 $1.61 $2.00 92.0% 23.7% 38.6% 16.1% 87.0% 4.8% -15.2% 54.4K -1.5M -16.2K 0.00 88.82 573 0 72,278 10,564 2014-07-11 $1.59 $2.00 114.0% 25.8% 38.9% 23.6% 90.9% 41.3% -85.6% 54.6K -1.4M -15.5K 0.14 74.44 380 52 72,580 10,562 2014-07-14 $1.60 $2.00 100.9% 25.4% 38.9% 19.1% 106.6% 29.3% 6.9% 56.4K -1.8M -18.9K 0.02 77.90 177 3 72,683 10,569 2014-07-15 $1.55 $2.00 96.7% 25.5% 40.7% 17.7% 94.0% 16.9% 21.4% 53.6K -1.7M -18.5K 0.00 78.62 227 0 72,816 10,569 2014-07-16 $1.51 $2.00 84.0% 24.7% 41.5% 13.4% 93.3% -0.9% 24.1% 54.1K -1.4M -16.9K 0.14 76.62 340 46 72,840 10,569 2014-07-17 $1.49 $2.00 112.1% 25.5% 41.1% 22.9% 93.5% 26.3% 11.1% 59.6K -1.5M -18.6K 0.13 81.55 158 20 72,714 10,517 2014-07-18 $1.51 $2.00 72.3% 24.5% 39.5% 9.4% 0.0% 64.9% 37.0% 41.2K -940.3K -14.7K 0.04 97.10 319 14 72,710 10,526 2014-07-21 $1.52 $0.00 112.7% 22.5% 39.7% 23.1% 0.0% 61.1% -32.3% 40.2K -723.7K -12.9K 0.28 121.37 363 100 68,703 10,475 2014-07-22 $1.58 $0.00 101.6% 26.2% 41.3% 19.3% 0.0% 32.2% -7.9% 43.1K -841.6K -13.4K 0.15 86.10 340 50 69,011 10,575 2014-07-23 $1.58 $0.00 118.2% 24.5% 38.9% 25.0% 0.0% 114.8% -11.8% 44.9K -955.7K -13.8K 0.03 100.66 333 10 69,271 10,607 2014-07-24 $1.57 $0.00 82.8% 25.0% 35.3% 13.0% 0.0% 15.7% -0.5% 45.6K -918.9K -13.2K 0.07 93.86 150 10 69,409 10,570 2014-07-25 $1.50 $0.00 135.4% 24.4% 38.3% 30.8% 0.0% 40.1% -79.3% 44.3K -940.1K -14.0K 0.16 88.68 1,041 164 69,506 10,580 2014-07-28 $1.54 $0.00 106.0% 24.1% 39.5% 20.8% 0.0% 127.7% 6.6% 43.7K -701.4K -12.7K 0.49 91.64 81 40 69,804 10,734 2014-07-29 $1.57 $0.00 84.8% 24.3% 36.9% 13.6% 0.0% 95.2% -15.3% 47.3K -1.1M -15.5K 0.05 70.79 1,919 100 69,825 10,754 2014-07-30 $1.59 $0.00 97.0% 24.5% 35.7% 17.8% 0.0% 14.2% -5.4% 50.2K -1.3M -16.2K 0.00 80.11 1,503 5 70,764 10,854 2014-07-31 $1.80 $0.00 134.2% 28.4% 57.4% 30.4% 100.9% 50.2% 21.0% 55.2K -3.4M -23.6K 0.01 82.43 26,964 172 71,827 10,854
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