AMRN Options History — February 2017

In February 2017, AMRN traded between $2.92 and $3.51. ATM implied volatility averaged 64.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 32.3% (HV 20d: 32.3%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2017-02-27: Highest Volume — 8,615 contracts
2017-02-14: Largest IV spike — 24.0% change
2017-02-22: Highest IV Rank — 31.5%
2017-02-27: Largest Expected Move — 19.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.33	$2.92	$3.51	$2.92	$3.40
Max Pain	$3.37	$3.00	$4.00	$3.00	$3.00
ATM IV	64.7%	49.3%	78.9%	77.0%	66.0%
Expected Move	15.8%	11.7%	19.8%	13.5%	13.2%
HV 20d	32.3%	26.2%	36.2%	26.7%	34.9%
HV 60d	31.9%	30.8%	33.6%	33.2%	31.6%
IV Rank	24.6%	17.2%	31.5%	30.6%	25.2%
IV Percentile	10.4%	2.0%	22.2%	14.7%	12.7%
Term Structure	-1.4%	-38.0%	21.8%	-12.4%	-0.5%
VWIV	67.3%	52.5%	81.6%	56.8%	52.5%
Skew 25d	9.8%	-12.5%	56.4%	56.4%	12.4%
Skew 10d	15.3%	-15.8%	80.5%	80.5%	6.4%
Call IV 25d	68.2%	47.0%	98.2%	92.6%	59.9%
Put IV 25d	78.0%	49.7%	148.9%	148.9%	72.3%
Bid-Ask Spread %	103.18	37.32	144.47	137.62	104.85
Gamma HHI	0.33	0.27	0.51	0.29	0.51
Net GEX	105.4K	58.4K	187.5K	58.4K	187.5K
Net DEX	-5.1M	-6.6M	-2.9M	-2.9M	-5.9M
Net VEX	-33.1K	-35.9K	-27.6K	-27.6K	-34.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.15	1.03	0.79	1.03
Total Volume	5,399.211	3,396	8,615	4,557	5,971
Total OI	45,209.158	41,035	49,453	41,035	47,285

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
2017-02-01	$2.92	$3.00	77.0%	13.5%	26.7%	30.6%	56.8%	56.4%	-12.4%	58.4K	-2.9M	-27.6K	0.79	137.62	2,543	2,014	34,041	6,994
2017-02-02	$2.96	$4.00	72.1%	17.6%	26.2%	28.2%	62.5%	25.2%	-12.5%	62.2K	-2.9M	-28.3K	0.90	37.32	2,261	2,024	34,368	7,005
2017-02-03	$3.09	$4.00	72.3%	18.2%	29.0%	28.3%	75.4%	-4.8%	-2.0%	71.7K	-3.4M	-29.1K	0.85	109.11	2,315	1,974	34,504	7,050
2017-02-06	$3.20	$4.00	60.8%	16.4%	31.0%	22.7%	55.4%	16.0%	2.8%	72.4K	-3.8M	-30.1K	0.63	97.05	3,016	1,885	34,970	6,890
2017-02-07	$3.33	$3.50	63.2%	18.8%	33.5%	23.9%	70.4%	11.9%	0.3%	90.7K	-4.5M	-32.4K	0.34	95.37	5,774	1,946	36,536	6,908
2017-02-08	$3.32	$3.50	60.3%	17.6%	33.2%	22.5%	69.9%	-3.1%	0.4%	83.9K	-4.9M	-32.9K	1.00	99.56	1,944	1,946	40,400	6,946
2017-02-09	$3.40	$3.50	58.5%	16.3%	33.2%	21.6%	67.4%	-4.8%	-6.5%	147.9K	-5.6M	-33.7K	0.95	101.73	2,046	1,946	40,708	6,956
2017-02-10	$3.40	$3.50	55.5%	15.8%	33.2%	20.2%	61.1%	-12.5%	-3.9%	86.7K	-5.0M	-33.0K	0.42	95.34	4,611	1,958	40,991	6,956
2017-02-13	$3.33	$3.50	49.3%	13.1%	34.5%	17.2%	63.2%	2.0%	14.9%	77.3K	-5.4M	-33.4K	0.15	103.80	5,207	762	38,172	6,967
2017-02-14	$3.42	$3.50	61.1%	16.6%	32.1%	22.9%	69.5%	-2.5%	3.7%	154.6K	-5.4M	-34.7K	0.29	99.52	2,639	757	41,476	6,987
2017-02-15	$3.49	$3.50	57.7%	16.5%	32.3%	21.3%	60.7%	4.3%	1.1%	172.9K	-5.9M	-35.3K	0.19	104.39	3,503	675	41,712	7,010
2017-02-16	$3.48	$3.50	54.5%	14.2%	31.8%	19.7%	63.4%	4.3%	21.8%	166.3K	-6.2M	-35.5K	0.71	102.26	3,066	2,176	42,442	7,011
2017-02-17	$3.51	$3.00	60.5%	15.0%	31.7%	22.6%	62.6%	2.9%	13.0%	98.0K	-6.6M	-35.9K	0.84	92.98	3,131	2,616	42,940	5,440
2017-02-21	$3.50	$3.00	67.3%	12.4%	31.2%	25.9%	69.3%	17.0%	-12.5%	107.6K	-5.8M	-35.1K	0.87	108.96	2,901	2,521	38,086	5,141
2017-02-22	$3.39	$3.00	78.9%	11.7%	34.0%	31.5%	79.7%	12.7%	-8.1%	92.8K	-5.8M	-34.4K	0.82	144.47	3,082	2,528	38,476	5,142
2017-02-23	$3.34	$3.00	76.1%	18.0%	34.9%	30.2%	78.9%	17.0%	-38.0%	87.0K	-5.4M	-34.1K	0.79	103.08	3,376	2,667	38,906	5,153
2017-02-24	$3.33	$3.00	62.2%	16.6%	35.1%	23.4%	81.6%	3.1%	7.4%	91.7K	-5.3M	-34.4K	0.85	101.05	3,354	2,835	38,961	5,303
2017-02-27	$3.44	$3.00	75.2%	19.8%	36.2%	29.7%	77.7%	27.6%	4.7%	93.6K	-5.5M	-35.0K	0.49	121.97	5,770	2,845	38,668	5,473
2017-02-28	$3.40	$3.00	66.0%	13.2%	34.9%	25.2%	52.5%	12.4%	-0.5%	187.5K	-5.9M	-34.1K	1.03	104.85	2,944	3,027	41,767	5,518