AMRN Options History — December 2017

In December 2017, AMRN traded between $3.07 and $4.10. ATM implied volatility averaged 39.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.6% (HV 20d: 38.7%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.28.

Notable Days

2017-12-20: Highest Volume — 7,329 contracts
2017-12-04: Largest IV spike — 129.7% change
2017-12-04: Highest IV Rank — 60.8%
2017-12-04: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.54	$3.07	$4.10	$3.19	$4.03
Max Pain	$3.42	$3.00	$3.50	$3.00	$3.50
ATM IV	39.3%	29.4%	89.8%	39.1%	33.9%
Expected Move	11.6%	10.0%	16.2%	13.8%	10.7%
HV 20d	38.7%	30.6%	46.3%	31.5%	45.0%
HV 60d	33.3%	31.4%	36.1%	31.8%	35.7%
IV Rank	24.0%	16.8%	60.8%	23.8%	20.0%
IV Percentile	9.6%	0.4%	80.2%	1.6%	4.0%
Term Structure	-1.7%	-26.2%	30.4%	-20.1%	5.6%
VWIV	40.2%	30.0%	58.7%	47.9%	32.9%
Skew 25d	4.6%	-13.5%	19.6%	-13.5%	-2.5%
Skew 10d	18.4%	-4.9%	70.6%	-4.9%	-3.9%
Call IV 25d	37.0%	22.7%	126.8%	41.4%	34.1%
Put IV 25d	41.6%	25.4%	129.1%	27.9%	31.6%
Bid-Ask Spread %	61.78	17.03	151.88	103.88	35.82
Gamma HHI	0.37	0.25	0.58	0.43	0.26
Net GEX	111.2K	71.3K	153.2K	108.0K	153.2K
Net DEX	-6.4M	-10.2M	-3.4M	-4.9M	-10.2M
Net VEX	-42.3K	-54.0K	-35.8K	-38.1K	-54.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.17	2.52	1.22	0.83
Total Volume	5,104.7	3,474	7,329	5,309	3,474
Total OI	64,859.55	37,428	82,479	82,157	51,701

Daily Data (20 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
2017-12-01	$3.19	$3.00	39.1%	13.8%	31.5%	23.8%	47.9%	-13.5%	-20.1%	108.0K	-4.9M	-38.1K	1.22	103.88	2,395	2,914	70,703	11,454
2017-12-04	$3.12	$3.50	89.8%	16.2%	31.7%	60.8%	58.7%	2.3%	-26.2%	97.9K	-4.1M	-37.8K	1.65	63.74	1,761	2,908	69,703	11,465
2017-12-05	$3.07	$3.50	35.1%	10.7%	30.6%	20.9%	44.0%	3.8%	-8.1%	82.5K	-3.4M	-36.3K	1.66	42.89	1,849	3,067	69,974	11,550
2017-12-06	$3.15	$3.50	31.4%	12.5%	31.8%	18.2%	39.0%	11.6%	30.4%	96.1K	-4.1M	-38.0K	1.73	30.24	1,734	2,992	70,266	11,375
2017-12-07	$3.26	$3.50	51.2%	13.6%	34.8%	32.7%	48.2%	5.9%	-10.3%	111.6K	-4.8M	-38.5K	1.57	17.51	2,163	3,394	70,404	11,405
2017-12-08	$3.25	$3.50	32.4%	13.0%	34.7%	19.0%	46.4%	3.1%	4.7%	110.9K	-4.8M	-38.6K	2.52	38.58	1,404	3,533	69,730	11,387
2017-12-11	$3.33	$3.50	32.5%	11.1%	35.8%	19.1%	39.0%	2.7%	7.7%	143.8K	-5.9M	-35.8K	2.17	26.83	1,659	3,602	69,667	11,402
2017-12-12	$3.23	$3.50	29.6%	12.3%	37.1%	16.9%	44.7%	0.3%	12.3%	106.2K	-4.6M	-37.7K	2.06	17.03	1,728	3,567	69,796	11,321
2017-12-13	$3.29	$3.50	59.9%	10.5%	37.9%	39.0%	40.3%	17.5%	-15.8%	120.9K	-5.0M	-38.1K	2.28	130.89	1,615	3,677	69,946	11,326
2017-12-14	$3.30	$3.50	29.4%	10.0%	37.9%	16.8%	35.9%	4.0%	13.2%	71.3K	-4.9M	-37.7K	1.46	50.74	2,525	3,677	70,094	11,330
2017-12-15	$3.39	$3.50	38.5%	11.6%	39.0%	23.4%	40.0%	5.5%	14.4%	78.2K	-5.3M	-39.1K	1.31	21.30	2,837	3,727	71,163	11,316
2017-12-18	$3.55	$3.50	36.4%	10.4%	36.2%	21.9%	36.5%	4.2%	2.6%	97.1K	-5.2M	-40.8K	1.37	45.96	2,188	3,006	31,935	5,493
2017-12-19	$3.59	$3.50	37.4%	10.7%	35.9%	22.6%	39.1%	19.6%	-10.5%	107.8K	-5.7M	-41.4K	1.20	56.76	2,533	3,037	33,218	5,602
2017-12-20	$3.91	$3.50	36.7%	10.5%	46.0%	22.1%	35.6%	10.6%	-9.5%	102.0K	-7.4M	-44.8K	0.56	84.56	4,710	2,619	34,756	5,642
2017-12-21	$3.95	$3.00	33.7%	10.1%	46.0%	19.9%	35.3%	4.5%	-10.8%	125.5K	-8.5M	-46.5K	0.17	89.08	3,575	617	37,151	5,646
2017-12-22	$4.10	$3.00	34.9%	10.6%	46.0%	20.7%	35.8%	-4.7%	-5.0%	132.4K	-9.6M	-49.7K	0.29	37.17	3,221	921	39,020	5,665
2017-12-26	$4.10	$3.50	32.7%	10.7%	44.6%	19.2%	36.1%	2.7%	3.7%	133.2K	-9.9M	-51.0K	0.62	41.57	2,443	1,504	40,650	5,968
2017-12-27	$4.00	$3.50	38.2%	10.3%	46.3%	23.2%	38.7%	0.8%	-4.7%	128.8K	-9.4M	-50.7K	0.52	151.88	2,898	1,498	41,469	6,724
2017-12-28	$4.05	$3.50	33.1%	12.5%	45.0%	19.5%	30.0%	13.5%	-6.9%	116.0K	-10.1M	-51.5K	0.45	149.07	3,540	1,582	42,929	6,845
2017-12-29	$4.03	$3.50	33.9%	10.7%	45.0%	20.0%	32.9%	-2.5%	5.6%	153.2K	-10.2M	-54.0K	0.83	35.82	1,897	1,577	44,756	6,945