AMRN Options History — February 2015

In February 2015, AMRN traded between $1.02 and $1.53. ATM implied volatility averaged 107.9%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 60.5% (HV 20d: 47.4%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2015-02-26: Highest Volume — 9,055 contracts
2015-02-24: Largest IV spike — 53.9% change
2015-02-24: Highest IV Rank — 68.3%
2015-02-17: Largest Expected Move — 31.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.24	$1.02	$1.53	$1.02	$1.51
Max Pain	$1.00	$1.00	$1.00	$1.00	$1.00
ATM IV	107.9%	82.8%	160.8%	120.3%	98.2%
Expected Move	24.9%	18.0%	31.8%	22.5%	27.4%
HV 20d	47.4%	25.9%	75.1%	47.0%	75.1%
HV 60d	77.0%	64.0%	85.2%	85.2%	73.5%
IV Rank	45.3%	34.4%	68.3%	50.7%	41.1%
IV Percentile	57.2%	28.2%	95.2%	70.6%	48.4%
Term Structure	-9.2%	-172.9%	47.3%	-8.8%	2.7%
VWIV	90.3%	62.7%	105.3%	62.7%	95.7%
Skew 25d	-2.9%	-27.7%	39.4%	39.4%	-15.7%
Skew 10d	7.0%	-33.2%	88.9%	79.8%	-33.2%
Call IV 25d	97.6%	67.3%	113.4%	73.3%	109.7%
Put IV 25d	94.6%	73.5%	114.6%	112.6%	94.0%
Bid-Ask Spread %	40.72	13.70	146.27	13.70	20.87
Gamma HHI	0.31	0.26	0.38	0.26	0.32
Net GEX	10.1K	5.4K	20.9K	5.4K	20.9K
Net DEX	-867.6K	-1.8M	-394.3K	-649.5K	-1.8M
Net VEX	-7.7K	-13.0K	-5.7K	-6.5K	-13.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.19	1.59	0.45	0.37
Total Volume	4,389	0	9,055	0	7,815
Total OI	24,779.421	21,997	33,066	24,069	33,066

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
2015-02-02	$1.02	$1.00	120.3%	22.5%	47.0%	50.7%	0.0%	39.4%	0.0%	5.4K	-649.5K	-6.5K	0.00	13.70	0	0	19,212	4,857
2015-02-03	$1.04	$1.00	123.6%	18.0%	40.5%	52.1%	62.7%	38.3%	-8.8%	5.5K	-652.6K	-6.6K	0.45	17.48	3,619	1,617	19,212	4,857
2015-02-04	$1.06	$1.00	107.3%	24.4%	36.9%	45.1%	85.0%	10.5%	30.5%	5.9K	-418.3K	-5.7K	0.37	80.53	4,340	1,617	17,899	4,857
2015-02-05	$1.07	$1.00	91.4%	23.1%	35.6%	38.2%	79.7%	-5.2%	0.0%	5.7K	-423.9K	-5.7K	0.39	16.13	4,257	1,647	17,165	4,857
2015-02-06	$1.07	$1.00	97.7%	22.8%	34.2%	40.9%	92.7%	-13.6%	0.0%	5.8K	-394.3K	-5.7K	0.40	30.32	4,151	1,647	17,214	4,897
2015-02-09	$1.11	$1.00	108.9%	19.7%	36.5%	45.7%	65.4%	7.4%	-172.9%	6.2K	-500.6K	-6.0K	1.49	19.15	1,096	1,634	17,100	4,897
2015-02-10	$1.17	$1.00	86.1%	24.2%	39.9%	35.9%	97.0%	14.9%	-101.9%	7.5K	-527.8K	-6.1K	1.34	16.48	1,222	1,634	17,416	4,924
2015-02-11	$1.17	$1.00	127.4%	25.6%	36.5%	53.8%	95.5%	-14.8%	-13.8%	7.1K	-621.8K	-6.3K	1.39	16.00	1,207	1,674	17,536	4,924
2015-02-12	$1.18	$1.00	96.2%	23.0%	31.4%	40.3%	84.1%	4.1%	-59.4%	8.0K	-733.1K	-6.4K	1.50	43.34	1,116	1,675	17,835	4,857
2015-02-13	$1.19	$1.00	113.1%	23.0%	28.9%	47.6%	94.8%	-13.8%	-57.2%	8.3K	-579.0K	-6.3K	1.39	14.95	1,208	1,675	18,090	4,858
2015-02-17	$1.19	$1.00	119.5%	31.8%	25.9%	50.4%	103.4%	-18.9%	47.3%	8.1K	-715.1K	-6.5K	1.59	39.47	1,039	1,652	18,171	4,858
2015-02-18	$1.33	$1.00	82.8%	23.7%	44.8%	34.4%	89.7%	-17.8%	13.8%	11.1K	-937.6K	-6.6K	0.80	113.20	1,996	1,605	18,229	4,858
2015-02-19	$1.45	$1.00	111.1%	30.1%	49.9%	46.7%	101.9%	-21.9%	25.5%	13.8K	-1.1M	-7.7K	0.19	18.85	1,201	227	19,212	4,878
2015-02-20	$1.33	$1.00	99.2%	21.4%	62.3%	41.5%	82.6%	-27.7%	35.5%	12.8K	-1.1M	-7.3K	0.40	26.13	3,658	1,478	20,088	4,835
2015-02-23	$1.43	$1.00	104.5%	27.7%	65.7%	43.9%	93.9%	4.2%	43.3%	15.5K	-1.3M	-11.1K	0.39	19.57	4,022	1,565	22,217	6,106
2015-02-24	$1.38	$1.00	160.8%	28.9%	68.1%	68.3%	100.4%	5.9%	44.6%	13.5K	-1.1M	-10.2K	0.38	146.27	4,069	1,565	22,578	6,156
2015-02-25	$1.38	$1.00	94.4%	27.6%	68.1%	39.5%	95.1%	-15.7%	-5.6%	14.9K	-1.3M	-10.9K	0.41	14.86	3,843	1,565	22,841	6,166
2015-02-26	$1.53	$1.00	107.8%	27.9%	74.2%	45.3%	105.3%	-15.5%	29.0%	16.6K	-1.7M	-11.8K	0.22	106.32	7,394	1,661	22,900	6,186
2015-02-27	$1.51	$1.00	98.2%	27.4%	75.1%	41.1%	95.7%	-15.7%	2.7%	20.9K	-1.8M	-13.0K	0.37	20.87	5,695	2,120	26,741	6,325