AMRN Options History — August 2016

In August 2016, AMRN traded between $2.78 and $3.35. ATM implied volatility averaged 109.4%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 31.2%. IV traded above realized volatility by 47.7% (HV 20d: 61.7%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.60.

Notable Days

2016-08-04: Highest Volume — 13,367 contracts
2016-08-30: Largest IV drop — 25.6% change
2016-08-29: Highest IV Rank — 66.0%
2016-08-02: Largest Expected Move — 41.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.12	$2.78	$3.35	$2.89	$2.78
Max Pain	$2.54	$2.00	$3.00	$2.00	$3.00
ATM IV	109.4%	82.6%	149.9%	112.9%	119.3%
Expected Move	31.2%	23.7%	41.2%	31.6%	37.4%
HV 20d	61.7%	47.3%	71.6%	47.4%	47.3%
HV 60d	52.9%	48.5%	55.6%	53.5%	51.2%
IV Rank	46.4%	33.4%	66.0%	48.1%	51.2%
IV Percentile	57.8%	18.3%	91.7%	63.9%	69.4%
Term Structure	3.6%	-48.2%	41.3%	19.0%	-8.4%
VWIV	111.2%	91.1%	138.8%	111.7%	138.8%
Skew 25d	-4.8%	-127.4%	35.7%	35.7%	-1.4%
Skew 10d	4.1%	-68.3%	75.4%	31.2%	-64.8%
Call IV 25d	119.8%	80.4%	189.2%	95.8%	136.9%
Put IV 25d	115.0%	14.8%	147.6%	131.5%	135.5%
Bid-Ask Spread %	79.46	33.54	141.21	110.66	131.34
Gamma HHI	0.37	0.22	0.55	0.47	0.22
Net GEX	137.7K	74.1K	244.5K	95.8K	74.6K
Net DEX	-8.9M	-11.7M	-5.4M	-7.5M	-5.4M
Net VEX	-49.4K	-54.8K	-42.6K	-42.8K	-43.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.06	2.79	0.15	0.31
Total Volume	7,689.391	991	13,367	7,581	4,841
Total OI	97,588.609	79,453	107,799	79,453	99,411

Daily Data (23 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
2016-08-01	$2.89	$2.00	112.9%	31.6%	47.4%	48.1%	111.7%	35.7%	19.0%	95.8K	-7.5M	-42.8K	0.15	110.66	6,582	999	59,268	20,185
2016-08-02	$3.16	$2.00	122.5%	41.2%	53.7%	52.7%	109.0%	18.9%	-2.0%	101.4K	-9.4M	-46.2K	0.16	67.43	10,567	1,720	61,912	20,511
2016-08-03	$3.31	$2.00	116.4%	31.7%	53.5%	49.7%	113.7%	-12.4%	-11.0%	130.5K	-11.7M	-50.7K	0.41	48.33	6,183	2,540	68,280	21,214
2016-08-04	$3.27	$2.00	114.9%	34.5%	54.7%	49.0%	91.1%	5.7%	-11.3%	147.3K	-10.5M	-49.9K	0.90	95.04	7,050	6,317	68,944	21,897
2016-08-05	$3.33	$2.50	108.3%	28.2%	54.5%	45.8%	95.0%	5.4%	-14.3%	142.3K	-11.2M	-54.8K	1.16	35.03	5,406	6,251	71,707	26,061
2016-08-08	$3.21	$2.50	111.1%	33.1%	57.9%	47.2%	96.9%	-3.6%	0.4%	154.0K	-10.0M	-53.3K	1.05	62.40	5,978	6,282	71,635	25,781
2016-08-09	$3.35	$2.50	95.6%	31.6%	58.5%	39.7%	94.4%	5.8%	6.7%	176.2K	-11.0M	-53.3K	1.56	33.93	4,009	6,237	72,161	25,922
2016-08-10	$3.32	$2.50	92.3%	31.5%	59.1%	38.1%	99.8%	-29.3%	32.7%	158.7K	-11.5M	-54.0K	1.20	33.54	3,320	3,984	72,571	25,922
2016-08-11	$3.08	$2.50	82.6%	29.4%	68.0%	33.4%	114.6%	0.9%	26.0%	187.4K	-8.6M	-50.5K	0.26	48.33	9,054	2,350	72,760	25,991
2016-08-12	$3.07	$2.50	91.7%	32.6%	68.3%	37.8%	121.0%	9.7%	35.2%	234.3K	-9.7M	-52.8K	0.31	36.42	7,951	2,465	78,821	26,389
2016-08-15	$3.16	$2.50	108.6%	33.0%	68.5%	46.0%	110.7%	2.5%	-8.6%	218.7K	-10.3M	-53.2K	0.31	53.68	7,464	2,321	79,959	26,206
2016-08-16	$3.11	$2.50	97.6%	28.8%	68.7%	40.7%	121.7%	-3.6%	-1.5%	244.5K	-10.2M	-51.9K	0.39	56.17	6,772	2,636	80,334	26,366
2016-08-17	$3.07	$2.50	108.3%	31.1%	69.4%	45.9%	113.2%	19.5%	41.3%	203.7K	-9.3M	-50.9K	0.06	56.28	935	56	81,362	26,155
2016-08-18	$3.09	$2.50	109.6%	30.5%	69.4%	46.5%	127.5%	9.6%	6.7%	205.1K	-10.1M	-49.5K	0.18	75.38	982	180	80,831	26,180
2016-08-19	$3.17	$2.50	122.7%	31.3%	69.4%	52.8%	121.2%	24.9%	34.8%	93.6K	-10.9M	-50.5K	0.30	77.00	6,655	1,991	81,597	26,202
2016-08-22	$3.15	$2.50	106.5%	29.0%	69.8%	45.0%	103.7%	-5.5%	-29.0%	90.7K	-7.5M	-49.5K	0.36	85.87	4,933	1,796	69,219	23,874
2016-08-23	$3.18	$2.50	110.5%	31.6%	69.3%	46.9%	117.0%	17.2%	19.2%	98.6K	-8.0M	-48.2K	0.34	141.21	4,706	1,595	69,564	24,088
2016-08-24	$3.07	$3.00	101.5%	27.2%	71.5%	42.5%	113.9%	4.8%	10.0%	91.0K	-7.3M	-46.7K	2.79	137.31	824	2,299	69,816	24,283
2016-08-25	$3.07	$3.00	101.4%	26.4%	71.6%	42.5%	111.3%	-25.1%	-48.2%	82.0K	-7.0M	-47.8K	0.31	112.59	4,728	1,471	70,562	26,502
2016-08-26	$3.06	$3.00	119.8%	23.7%	62.4%	51.4%	105.4%	-127.4%	-15.8%	82.5K	-5.8M	-46.6K	0.41	134.34	3,718	1,508	71,157	26,557
2016-08-29	$3.00	$3.00	149.9%	30.0%	55.4%	66.0%	113.9%	-65.8%	-16.7%	81.1K	-6.2M	-46.5K	0.42	96.45	3,301	1,402	71,336	26,606
2016-08-30	$2.79	$3.00	111.5%	33.0%	51.2%	47.4%	111.8%	2.2%	17.3%	74.1K	-5.5M	-42.6K	0.38	98.76	3,266	1,231	71,814	26,625
2016-08-31	$2.78	$3.00	119.3%	37.4%	47.3%	51.2%	138.8%	-1.4%	-8.4%	74.6K	-5.4M	-43.9K	0.31	131.34	3,686	1,155	72,714	26,697