AMZN Options History — May 2007 In May 2007, AMZN traded between $3.03 and $3.49. ATM implied volatility averaged 35.0%. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 45.2% (HV 20d: 80.2%). Max pain ranged from $2.75 to $3.25. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.52.
Notable Days 2007-05-21 : Highest Volume — 5,825,980 contracts2007-05-07 : Largest IV spike — 12.8% change2007-05-23 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $3.23 $3.03 $3.49 $3.10 $3.46 Max Pain $3.05 $2.75 $3.25 $2.75 $3.25 ATM IV 35.0% 30.0% 39.8% 37.8% 33.8% Expected Move 10.0% 8.8% 11.4% 10.8% 9.7% HV 20d 80.2% 40.0% 97.0% 91.5% 40.0% HV 60d 59.7% 58.3% 61.7% 58.4% 59.5% Term Structure 0.6% -1.2% 2.8% 0.4% 2.8% VWIV 35.8% 32.6% 40.6% 37.7% 35.3% Skew 25d 2.7% -0.1% 6.0% 5.0% 0.9% Skew 10d 5.2% -1.7% 10.5% 10.5% 0.6% Call IV 25d 34.2% 30.2% 40.0% 34.4% 34.5% Put IV 25d 36.9% 33.6% 40.8% 39.4% 35.4% Bid-Ask Spread % 8.30 4.36 16.05 7.85 7.97 Gamma HHI 0.18 0.11 0.31 0.18 0.11 Net GEX -3.4M -19.7M 7.0M -5.8M 1.8M Net DEX -1.62B -1.97B -949.1M -1.52B -1.88B Net VEX -6.4M -7.3M -4.3M -6.0M -6.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.52 0.79 4.11 1.52 0.79 Total Volume 1,853,228.182 580,640 5,825,980 1,879,160 1,196,620 Total OI 22,034,807.273 17,640,180 24,800,940 20,558,700 21,981,720
Daily Data (22 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-05-01 $3.10 $2.75 37.8% 10.8% 91.5% 0.0% 37.7% 5.0% 0.4% -5.8M -1.52B -6.0M 1.52 7.85 N/A N/A 745,820 1,133,340 8,518,060 12,040,640 2007-05-02 $3.06 $2.75 33.6% 9.6% 92.4% 0.0% 34.2% 6.0% 1.4% -5.9M -1.43B -6.0M 1.79 5.39 N/A N/A 639,900 1,147,820 8,798,060 12,201,740 2007-05-03 $3.11 $2.75 33.3% 9.5% 92.3% 0.0% 33.5% 4.3% 0.1% -3.4M -1.58B -5.9M 4.11 4.36 N/A N/A 307,980 1,264,780 9,030,260 12,591,620 2007-05-04 $3.16 $3.00 30.0% 8.8% 92.1% 0.0% 32.6% 3.4% 0.9% -1.7M -1.72B -5.9M 2.36 11.48 N/A N/A 704,060 1,659,400 9,098,000 12,912,400 2007-05-07 $3.04 $3.00 33.9% 9.5% 94.3% 0.0% 33.3% 2.7% 0.3% -15.0M -1.30B -6.3M 1.03 16.05 N/A N/A 1,119,740 1,148,320 9,260,960 13,442,680 2007-05-08 $3.09 $3.00 35.3% 10.2% 94.1% 0.0% 35.5% 3.7% -0.9% -10.5M -1.47B -6.5M 1.32 9.50 N/A N/A 926,100 1,222,080 9,513,180 13,557,060 2007-05-09 $3.14 $3.00 33.5% 9.6% 93.7% 0.0% 34.5% 3.2% -0.4% -2.0M -1.70B -6.4M 0.95 7.01 N/A N/A 823,560 779,060 9,804,600 13,744,860 2007-05-10 $3.05 $3.00 34.0% 9.7% 95.5% 0.0% 34.3% 2.6% 1.1% -12.6M -1.34B -6.8M 1.11 10.88 N/A N/A 599,120 668,020 10,014,460 13,833,940 2007-05-11 $3.08 $3.00 32.5% 9.3% 95.4% 0.0% 33.9% 2.9% 1.0% -9.6M -1.46B -6.7M 1.78 7.91 N/A N/A 304,300 541,700 10,138,920 13,795,120 2007-05-14 $3.08 $3.00 33.2% 9.5% 94.0% 0.0% 35.3% 3.8% 1.1% -10.6M -949.1M -4.3M 2.07 9.85 N/A N/A 189,260 391,380 7,629,920 11,170,000 2007-05-15 $3.03 $3.00 33.0% 9.5% 94.6% 0.0% 33.2% 3.0% 1.0% -19.7M -1.27B -6.6M 1.91 11.93 N/A N/A 367,560 701,860 10,232,720 13,975,860 2007-05-16 $3.16 $3.00 34.9% 10.0% 94.9% 0.0% 35.6% 3.8% 0.2% 7.0M -1.83B -6.4M 1.34 8.46 N/A N/A 689,040 924,020 10,285,700 14,026,260 2007-05-17 $3.11 $3.00 34.6% 9.9% 95.2% 0.0% 35.3% 2.6% 1.3% -4.6M -1.35B -6.9M 1.10 7.02 N/A N/A 653,940 720,100 10,444,260 14,267,620 2007-05-18 $3.17 $3.00 35.8% 10.3% 95.2% 0.0% 36.5% 3.1% 0.6% -2.3M -1.77B -6.4M 0.81 11.40 N/A N/A 880,360 717,460 10,453,580 14,347,360 2007-05-21 $3.42 $3.00 39.2% 11.2% 97.0% 0.0% 40.6% 3.0% -0.2% 6.8M -1.84B -6.0M 1.35 6.70 N/A N/A 2,480,160 3,345,820 7,956,840 9,683,340 2007-05-22 $3.44 $3.25 38.2% 11.0% 96.8% 0.0% 38.9% -0.1% -0.9% 4.1M -1.90B -6.4M 1.17 7.26 N/A N/A 868,200 1,019,000 8,537,320 11,055,340 2007-05-23 $3.45 $3.25 39.8% 11.4% 53.0% 0.0% 40.1% 0.4% -0.7% 4.9M -1.90B -6.7M 1.44 5.97 N/A N/A 2,212,100 3,190,780 8,745,440 11,120,000 2007-05-24 $3.47 $3.25 37.9% 10.9% 40.8% 0.0% 38.5% 1.6% -1.2% 230.9K -1.84B -7.3M 1.41 7.01 N/A N/A 710,640 1,004,420 9,317,220 12,096,200 2007-05-25 $3.43 $3.25 34.3% 9.8% 41.2% 0.0% 34.8% 0.7% 1.8% -1.4M -1.75B -7.2M 1.28 5.93 N/A N/A 397,000 507,680 9,374,200 12,192,000 2007-05-29 $3.48 $3.25 35.9% 10.3% 40.3% 0.0% 37.3% 2.1% 1.1% 2.2M -1.92B -6.9M 1.65 6.45 N/A N/A 382,860 632,780 9,481,860 12,206,400 2007-05-30 $3.49 $3.25 34.9% 10.0% 40.2% 0.0% 35.7% 1.4% 1.7% 3.6M -1.97B -6.9M 1.24 6.14 N/A N/A 380,020 472,860 9,561,980 12,326,060 2007-05-31 $3.46 $3.25 33.8% 9.7% 40.0% 0.0% 35.3% 0.9% 2.8% 1.8M -1.88B -6.8M 0.79 7.97 N/A N/A 669,300 527,320 9,591,060 12,390,660
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