AMRN Options History — December 2016

In December 2016, AMRN traded between $3.01 and $3.29. ATM implied volatility averaged 73.5%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 37.2% (HV 20d: 36.4%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2016-12-12: Highest Volume — 5,571 contracts
2016-12-05: Largest IV spike — 39.5% change
2016-12-14: Highest IV Rank — 43.4%
2016-12-14: Largest Expected Move — 26.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.15	$3.01	$3.29	$3.07	$3.08
Max Pain	$2.95	$2.50	$3.00	$2.50	$3.00
ATM IV	73.5%	48.5%	103.3%	77.8%	65.0%
Expected Move	19.7%	13.9%	26.0%	23.0%	18.7%
HV 20d	36.4%	26.2%	62.3%	62.3%	26.2%
HV 60d	47.9%	43.9%	55.3%	55.3%	44.2%
IV Rank	29.0%	16.9%	43.4%	31.1%	24.9%
IV Percentile	10.1%	2.0%	46.0%	7.1%	6.3%
Term Structure	8.4%	-24.5%	62.0%	17.4%	19.5%
VWIV	71.4%	52.8%	88.6%	76.6%	71.6%
Skew 25d	7.4%	-141.3%	54.5%	54.5%	-30.4%
Skew 10d	12.6%	-142.9%	132.7%	132.7%	-90.4%
Call IV 25d	80.3%	49.2%	182.2%	88.1%	82.6%
Put IV 25d	87.8%	40.9%	142.7%	142.7%	52.2%
Bid-Ask Spread %	81.01	31.70	130.24	93.71	65.39
Gamma HHI	0.34	0.29	0.46	0.31	0.39
Net GEX	138.0K	114.5K	157.6K	116.7K	149.1K
Net DEX	-4.6M	-5.8M	-3.0M	-5.1M	-4.0M
Net VEX	-29.2K	-33.4K	-23.4K	-32.8K	-25.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.23	0.73	0.44	0.28
Total Volume	3,988.048	2,513	5,571	3,732	4,346
Total OI	80,541.048	76,471	84,351	81,708	77,353

Daily Data (21 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
2016-12-01	$3.07	$2.50	77.8%	23.0%	62.3%	31.1%	76.6%	54.5%	17.4%	116.7K	-5.1M	-32.8K	0.44	93.71	2,592	1,140	59,667	22,041
2016-12-02	$3.17	$2.50	58.0%	22.3%	44.9%	21.5%	71.8%	25.8%	39.8%	118.6K	-4.9M	-33.4K	0.56	81.15	1,944	1,097	59,620	22,044
2016-12-05	$3.24	$3.00	80.9%	23.8%	45.2%	32.6%	80.1%	53.0%	4.0%	128.2K	-5.3M	-33.0K	0.46	95.15	2,356	1,091	58,063	22,045
2016-12-06	$3.29	$3.00	80.8%	21.0%	42.7%	32.5%	73.8%	11.8%	4.2%	131.8K	-5.8M	-33.4K	0.46	87.14	2,611	1,191	59,216	22,065
2016-12-07	$3.24	$3.00	78.0%	22.8%	43.2%	31.1%	76.9%	4.0%	-11.2%	142.6K	-5.2M	-32.6K	0.38	76.87	3,288	1,251	59,351	22,327
2016-12-08	$3.24	$3.00	93.5%	22.2%	38.7%	38.7%	82.7%	49.9%	-0.9%	134.4K	-5.4M	-32.5K	0.73	78.06	3,210	2,350	60,298	22,450
2016-12-09	$3.23	$3.00	78.3%	21.4%	38.4%	31.3%	87.8%	10.5%	7.7%	136.5K	-5.5M	-32.7K	0.69	86.25	3,244	2,225	60,432	22,485
2016-12-12	$3.24	$3.00	83.0%	20.6%	36.4%	33.6%	69.0%	23.1%	-9.1%	143.8K	-5.5M	-31.4K	0.62	81.56	3,438	2,133	59,236	22,485
2016-12-13	$3.24	$3.00	84.8%	20.5%	35.0%	34.4%	68.7%	2.5%	-10.3%	151.9K	-5.4M	-31.0K	0.70	35.99	3,045	2,127	59,924	22,533
2016-12-14	$3.21	$3.00	103.3%	26.0%	33.8%	43.4%	88.6%	-10.8%	-24.5%	134.0K	-5.1M	-32.1K	0.35	120.05	3,329	1,158	60,109	22,548
2016-12-15	$3.16	$3.00	83.3%	19.8%	31.1%	33.7%	72.5%	41.8%	3.1%	114.5K	-5.0M	-29.3K	0.34	83.80	3,409	1,169	61,488	22,691
2016-12-16	$3.19	$3.00	73.3%	18.5%	31.5%	28.9%	64.2%	31.5%	9.1%	125.0K	-5.0M	-28.8K	0.32	98.92	3,736	1,184	61,600	22,751
2016-12-19	$3.18	$3.00	80.2%	17.5%	31.5%	32.2%	61.4%	5.5%	62.0%	145.5K	-4.6M	-27.1K	0.23	72.70	4,241	962	55,714	21,171
2016-12-20	$3.10	$3.00	59.9%	16.8%	31.4%	22.4%	58.6%	14.3%	-1.0%	157.6K	-3.7M	-26.9K	0.38	55.72	2,136	808	58,396	21,293
2016-12-21	$3.04	$3.00	48.5%	13.9%	31.1%	16.9%	52.8%	6.6%	11.0%	150.3K	-3.6M	-25.6K	0.54	55.32	1,636	882	58,682	21,347
2016-12-22	$3.01	$3.00	59.8%	16.5%	30.2%	22.4%	67.6%	6.8%	10.2%	139.9K	-3.0M	-25.9K	0.51	31.70	1,668	845	58,774	21,311
2016-12-23	$3.10	$3.00	59.6%	17.1%	32.8%	22.2%	77.8%	8.8%	6.2%	140.9K	-3.8M	-25.6K	0.49	89.89	1,772	872	58,678	21,343
2016-12-27	$3.12	$3.00	59.3%	16.6%	32.3%	22.1%	63.8%	-141.3%	11.8%	151.7K	-4.0M	-24.3K	0.48	109.86	1,770	847	55,230	21,241
2016-12-28	$3.07	$3.00	66.3%	19.4%	32.5%	25.5%	70.5%	24.5%	17.2%	136.8K	-3.5M	-25.0K	0.37	130.24	2,507	939	55,470	21,134
2016-12-29	$3.03	$3.00	70.7%	15.5%	32.4%	27.6%	62.5%	-36.0%	9.8%	147.8K	-3.8M	-23.4K	0.42	71.67	2,246	954	55,522	21,234
2016-12-30	$3.08	$3.00	65.0%	18.7%	26.2%	24.9%	71.6%	-30.4%	19.5%	149.1K	-4.0M	-25.3K	0.28	65.39	3,392	954	56,119	21,234