AMZN Options History — June 2007 In June 2007, AMZN traded between $3.37 and $3.68. ATM implied volatility averaged 33.1%. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.0% (HV 20d: 35.1%). Max pain ranged from $3.00 to $3.38. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.30.
Notable Days 2007-06-05 : Highest Volume — 4,669,520 contracts2007-06-14 : Largest IV spike — 14.3% change2007-06-12 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.52 $3.37 $3.68 $3.43 $3.42 Max Pain $3.32 $3.00 $3.38 $3.25 $3.38 ATM IV 33.1% 30.6% 37.1% 31.2% 31.5% Expected Move 9.8% 8.8% 11.3% 8.9% 9.0% HV 20d 35.1% 28.9% 41.2% 40.1% 29.5% HV 60d 60.4% 59.5% 61.1% 59.5% 61.1% Term Structure 6.6% 2.2% 12.2% 4.4% 11.0% VWIV 34.5% 30.7% 39.1% 30.8% 32.1% Skew 25d 2.4% 0.5% 4.4% 2.3% 2.5% Skew 10d 4.7% 1.7% 6.9% 4.8% 3.7% Call IV 25d 33.5% 29.9% 37.9% 30.4% 30.7% Put IV 25d 35.9% 32.3% 40.3% 32.8% 33.1% Bid-Ask Spread % 6.22 3.67 8.60 6.15 3.67 Gamma HHI 0.14 0.11 0.23 0.11 0.12 Net GEX -2.6M -13.4M 13.7M -1.6M -12.3M Net DEX -1.71B -2.58B -1.01B -1.78B -1.14B Net VEX -7.2M -7.7M -6.2M -6.9M -7.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.30 0.70 3.28 0.74 1.20 Total Volume 1,323,009.524 413,220 4,669,520 820,140 422,060 Total OI 21,195,990.476 17,420,760 24,966,840 22,132,260 19,338,740
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-06-01 $3.43 $3.25 31.2% 8.9% 40.1% 0.0% 30.8% 2.3% 4.4% -1.6M -1.78B -6.9M 0.74 6.15 N/A N/A 470,640 349,500 9,660,160 12,472,100 2007-06-04 $3.52 $3.00 33.6% 9.9% 40.7% 0.0% 34.4% 2.5% 2.5% 5.2M -2.07B -6.5M 0.81 6.03 N/A N/A 1,001,840 814,880 9,651,820 12,427,940 2007-06-05 $3.68 $3.00 36.5% 10.7% 39.4% 0.0% 37.8% 1.5% 2.7% 13.7M -2.58B -6.2M 1.37 6.50 N/A N/A 1,969,220 2,700,300 9,884,960 12,628,600 2007-06-06 $3.61 $3.25 35.2% 10.4% 40.5% 0.0% 36.6% 0.5% 2.5% 5.3M -2.28B -6.9M 1.61 6.37 N/A N/A 877,560 1,415,820 10,178,760 13,437,200 2007-06-07 $3.60 $3.25 37.1% 10.6% 40.6% 0.0% 37.7% 1.5% 3.2% 2.4M -2.18B -7.2M 0.85 6.54 N/A N/A 1,395,680 1,193,280 10,203,020 13,675,440 2007-06-08 $3.66 $3.25 31.8% 10.6% 38.1% 0.0% 37.3% 2.6% 3.6% 10.9M -2.42B -7.2M 1.20 7.13 N/A N/A 487,160 586,280 10,487,800 13,704,380 2007-06-11 $3.56 $3.38 33.7% 10.9% 40.4% 0.0% 38.6% 1.8% 3.1% 1.3M -2.03B -7.2M 1.77 6.38 N/A N/A 646,700 1,142,440 10,416,720 13,648,900 2007-06-12 $3.50 $3.38 34.1% 11.3% 41.2% 0.0% 39.1% 2.4% 2.2% -3.8M -1.80B -7.7M 1.20 6.69 N/A N/A 624,560 749,060 10,555,560 14,145,840 2007-06-13 $3.54 $3.38 31.9% 10.8% 40.2% 0.0% 37.6% 3.0% 3.4% -244.3K -1.97B -7.6M 0.78 8.60 N/A N/A 959,480 744,940 10,625,060 14,267,320 2007-06-14 $3.60 $3.38 36.4% 10.4% 38.2% 0.0% 37.0% 4.4% 3.8% 3.6M -2.20B -7.4M 0.70 5.28 N/A N/A 504,800 351,360 10,636,460 14,328,160 2007-06-15 $3.62 $3.38 34.2% 9.8% 37.2% 0.0% 34.7% 3.0% 5.2% 4.1M -2.28B -7.2M 1.01 5.51 N/A N/A 686,800 697,040 10,577,580 14,389,260 2007-06-18 $3.59 $3.38 32.6% 9.4% 37.3% 0.0% 33.4% 3.1% 10.1% -3.6M -1.56B -7.2M 0.98 6.59 N/A N/A 294,640 287,440 7,815,260 9,605,500 2007-06-19 $3.49 $3.38 31.4% 9.0% 28.9% 0.0% 31.8% 2.7% 11.3% -9.0M -1.31B -7.4M 1.44 6.28 N/A N/A 263,100 378,080 7,939,000 9,829,840 2007-06-20 $3.46 $3.38 31.0% 8.9% 29.1% 0.0% 31.1% 2.2% 11.3% -10.3M -1.23B -7.4M 0.96 5.63 N/A N/A 312,840 298,880 8,018,700 9,880,760 2007-06-21 $3.48 $3.38 30.6% 8.8% 29.2% 0.0% 30.7% 2.5% 12.2% -8.5M -1.31B -7.4M 0.78 6.87 N/A N/A 232,220 181,000 8,110,080 9,912,760 2007-06-22 $3.44 $3.38 31.0% 8.9% 29.5% 0.0% 31.6% 2.0% 11.3% -9.2M -1.23B -7.4M 1.50 6.62 N/A N/A 243,620 364,700 8,215,160 9,954,480 2007-06-25 $3.43 $3.38 33.7% 9.7% 29.2% 0.0% 33.1% 2.5% 8.7% -10.4M -1.19B -7.3M 3.28 6.48 N/A N/A 274,820 900,300 8,260,580 10,036,520 2007-06-26 $3.37 $3.38 33.2% 9.5% 29.2% 0.0% 33.8% 2.1% 8.5% -13.4M -1.01B -7.4M 1.35 5.98 N/A N/A 404,760 548,180 8,281,320 10,249,300 2007-06-27 $3.41 $3.38 33.9% 9.7% 29.4% 0.0% 34.2% 3.2% 7.9% -10.3M -1.13B -7.5M 1.29 5.95 N/A N/A 226,440 291,460 8,465,240 10,349,200 2007-06-28 $3.44 $3.38 30.8% 8.8% 29.5% 0.0% 31.3% 2.6% 9.9% -9.4M -1.24B -7.3M 2.53 5.41 N/A N/A 421,420 1,067,900 8,473,520 10,376,800 2007-06-29 $3.42 $3.38 31.5% 9.0% 29.5% 0.0% 32.1% 2.5% 11.0% -12.3M -1.14B -7.4M 1.20 3.67 N/A N/A 191,660 230,400 8,552,320 10,786,420
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