AMRN Options History — November 2014

In November 2014, AMRN traded between $0.83 and $1.32. ATM implied volatility averaged 102.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 23.9% (HV 20d: 78.9%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2014-11-13: Highest Volume — 10,995 contracts
2014-11-04: Largest IV spike — 62.4% change
2014-11-04: Highest IV Rank — 48.4%
2014-11-18: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.07	$0.83	$1.32	$0.93	$1.29
Max Pain	$1.11	$1.00	$1.50	$1.00	$1.50
ATM IV	102.8%	75.4%	166.0%	102.2%	98.3%
Expected Move	24.1%	17.6%	28.6%	25.5%	26.2%
HV 20d	78.9%	49.3%	111.1%	49.5%	104.8%
HV 60d	75.0%	62.9%	87.2%	66.4%	87.2%
IV Rank	29.6%	21.4%	48.4%	29.4%	28.2%
IV Percentile	47.5%	14.3%	94.8%	51.6%	49.6%
Term Structure	1.6%	-58.8%	97.0%	34.9%	-12.2%
VWIV	92.2%	73.5%	120.0%	96.0%	95.0%
Skew 25d	9.0%	-57.5%	65.9%	13.9%	20.8%
Skew 10d	10.7%	-44.7%	110.5%	22.5%	-31.8%
Call IV 25d	91.5%	52.1%	135.4%	77.1%	56.3%
Put IV 25d	100.5%	55.4%	181.9%	91.0%	77.1%
Bid-Ask Spread %	70.47	31.88	156.26	156.26	65.40
Gamma HHI	0.31	0.26	0.42	0.31	0.27
Net GEX	9.2K	3.3K	18.3K	6.4K	14.9K
Net DEX	178.6K	-357.3K	710.6K	265.1K	-114.3K
Net VEX	-6.7K	-10.1K	-3.2K	-6.1K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	0.89	0.86	0.11
Total Volume	4,323.737	129	10,995	4,385	424
Total OI	72,785.947	67,712	79,034	68,082	76,327

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
2014-11-03	$0.93	$1.00	102.2%	25.5%	49.5%	29.4%	96.0%	13.9%	34.9%	6.4K	265.1K	-6.1K	0.86	156.26	2,352	2,033	55,084	12,998
2014-11-04	$0.93	$1.00	166.0%	23.5%	49.3%	48.4%	89.7%	30.7%	-32.5%	3.8K	485.5K	-4.7K	0.89	116.17	2,294	2,052	55,188	13,010
2014-11-05	$0.97	$1.00	98.8%	25.0%	51.6%	28.4%	86.2%	10.4%	-7.7%	3.3K	676.4K	-4.6K	0.68	31.88	2,868	1,954	55,234	13,010
2014-11-06	$0.94	$1.00	95.2%	25.2%	52.6%	27.3%	87.4%	6.0%	-10.9%	3.8K	600.7K	-4.7K	0.64	36.64	3,015	1,939	55,922	13,010
2014-11-07	$0.90	$1.00	147.4%	20.5%	54.3%	42.9%	77.6%	65.7%	-55.7%	5.4K	455.8K	-4.9K	0.64	95.49	2,933	1,874	56,146	13,017
2014-11-10	$0.83	$1.00	125.1%	19.3%	60.1%	36.2%	92.8%	65.9%	-58.8%	3.5K	710.6K	-3.2K	0.67	108.40	2,771	1,870	56,061	12,985
2014-11-11	$0.84	$1.50	116.0%	20.5%	58.8%	33.5%	92.6%	60.3%	21.8%	4.0K	589.2K	-3.9K	0.45	100.83	4,117	1,871	55,276	12,436
2014-11-12	$0.89	$1.00	114.8%	17.6%	63.4%	33.1%	86.1%	-10.7%	97.0%	4.8K	484.0K	-4.7K	0.48	55.82	3,901	1,872	56,430	12,986
2014-11-13	$0.95	$1.00	77.6%	23.8%	64.3%	22.1%	94.3%	24.8%	23.9%	3.6K	601.6K	-4.4K	0.20	77.36	9,151	1,844	56,508	12,986
2014-11-14	$0.95	$1.00	96.0%	25.5%	64.3%	27.5%	120.0%	12.0%	-13.7%	5.9K	54.5K	-6.6K	0.04	84.89	124	5	61,737	13,083
2014-11-17	$1.06	$1.00	91.2%	19.7%	76.0%	26.1%	90.9%	2.1%	8.6%	6.7K	198.8K	-6.8K	0.48	43.50	3,139	1,497	61,819	13,062
2014-11-18	$1.32	$1.00	98.1%	28.6%	108.6%	28.2%	102.8%	-1.6%	-19.5%	15.4K	-264.5K	-9.7K	0.16	40.48	6,829	1,092	62,174	13,098
2014-11-19	$1.25	$1.00	83.8%	27.5%	111.1%	23.9%	73.5%	-57.5%	14.4%	15.0K	-219.8K	-9.2K	0.26	56.64	542	139	65,841	13,193
2014-11-20	$1.24	$1.00	99.7%	23.7%	111.1%	28.7%	102.4%	-6.7%	20.9%	12.9K	-180.2K	-8.3K	0.23	57.04	5,222	1,204	65,600	13,017
2014-11-21	$1.31	$1.00	103.4%	27.5%	105.7%	29.8%	89.7%	-16.7%	27.4%	18.3K	-350.1K	-10.1K	0.24	58.12	4,983	1,204	65,648	13,112
2014-11-24	$1.27	$0.00	87.1%	26.2%	104.0%	24.9%	91.1%	-20.9%	-0.4%	18.2K	-357.3K	-9.3K	0.84	36.03	299	250	63,135	12,248
2014-11-25	$1.23	$1.50	77.1%	22.8%	105.4%	21.9%	95.0%	-27.5%	-5.9%	14.1K	-105.7K	-8.6K	0.54	69.47	2,607	1,408	63,164	12,489
2014-11-26	$1.26	$1.50	75.4%	28.5%	105.0%	21.4%	0.0%	-0.9%	-1.0%	15.8K	-137.8K	-8.9K	0.00	48.43	472	0	63,412	12,487
2014-11-28	$1.29	$1.50	98.3%	26.2%	104.8%	28.2%	0.0%	20.8%	-12.2%	14.9K	-114.3K	-8.6K	0.11	65.40	382	42	63,840	12,487