AMZN Options History — July 2007 In July 2007, AMZN traded between $3.44 and $4.31. ATM implied volatility averaged 43.4%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 2.3% (HV 20d: 41.1%). Max pain ranged from $3.25 to $4.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.85.
Notable Days 2007-07-25 : Highest Volume — 6,290,800 contracts2007-07-12 : Largest IV spike — 35.1% change2007-07-24 : Highest IV Rank — 100.0%2007-07-24 : Largest Expected Move — 17.2%Monthly Statistics Metric Avg Min Max Open Close Price $3.71 $3.44 $4.31 $3.48 $3.93 Max Pain $3.56 $3.25 $4.00 $3.25 $4.00 ATM IV 43.4% 31.6% 60.1% 31.8% 40.6% Expected Move 13.0% 9.1% 17.2% 9.1% 11.6% HV 20d 41.1% 22.4% 87.3% 28.6% 87.3% HV 60d 56.4% 33.1% 62.0% 61.1% 57.2% IV Rank 61.8% 26.2% 100.0% 26.2% 45.3% IV Percentile 81.4% 50.0% 100.0% 50.0% 77.8% Term Structure -3.2% -12.4% 11.9% 11.4% -1.2% VWIV 45.7% 32.1% 59.4% 32.7% 41.4% Skew 25d 2.5% -3.1% 5.2% 2.5% -0.7% Skew 10d 5.0% -4.1% 11.0% 4.3% -1.3% Call IV 25d 44.6% 31.5% 56.7% 31.5% 42.2% Put IV 25d 47.1% 33.2% 61.6% 34.0% 41.5% Bid-Ask Spread % 7.13 4.29 13.59 6.16 7.31 Gamma HHI 0.15 0.10 0.22 0.12 0.10 Net GEX 3.1M -13.1M 21.3M -9.3M -3.6M Net DEX -1.73B -2.72B -979.8M -1.31B -1.52B Net VEX -7.0M -7.7M -5.8M -7.3M -7.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.47 1.76 1.76 0.90 Total Volume 1,630,035.238 151,740 6,290,800 313,100 2,139,480 Total OI 19,453,005.714 14,875,840 21,310,240 19,391,500 19,612,780
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 2007-07-02 $3.48 $3.25 31.8% 9.1% 28.6% 0.0% 32.7% 2.5% 11.4% -9.3M -1.31B -7.3M 1.76 6.16 N/A N/A 113,600 199,500 8,577,080 10,814,420 2007-07-03 $3.47 $3.38 31.6% 9.1% 23.0% 0.0% 32.1% 1.5% 11.7% -10.5M -1.27B -7.2M 1.11 7.85 N/A N/A 72,040 79,700 8,599,440 10,861,240 2007-07-05 $3.44 $3.38 32.7% 9.4% 22.4% 26.2% 33.3% 1.6% 11.9% -13.1M -1.17B -7.2M 0.91 5.47 N/A N/A 358,820 325,640 8,608,420 10,862,860 2007-07-06 $3.45 $3.50 32.9% 12.7% 22.5% 26.7% 44.9% 4.5% -4.3% -12.0M -1.22B -7.3M 0.47 9.90 N/A N/A 296,600 138,720 8,705,000 10,981,660 2007-07-09 $3.60 $3.50 37.6% 13.1% 27.2% 41.8% 45.8% 4.1% -4.6% -320.1K -1.67B -7.0M 0.51 8.91 N/A N/A 1,207,720 616,800 8,817,480 10,987,940 2007-07-10 $3.51 $3.50 35.5% 13.4% 26.7% 35.1% 46.4% 3.1% -5.0% -4.3M -1.45B -7.2M 0.87 9.94 N/A N/A 513,320 448,720 9,082,320 11,035,380 2007-07-11 $3.54 $3.50 34.0% 13.1% 26.2% 30.4% 46.2% 3.7% -4.6% -1.9M -1.53B -7.1M 0.58 8.37 N/A N/A 412,260 237,940 9,148,520 11,086,460 2007-07-12 $3.64 $3.50 46.0% 13.2% 27.8% 68.1% 46.3% 3.5% -4.1% 7.2M -1.85B -6.9M 0.80 4.67 N/A N/A 696,700 560,040 9,206,000 11,101,440 2007-07-13 $3.75 $3.50 47.8% 13.7% 29.5% 74.0% 48.1% 3.4% -6.4% 15.5M -2.20B -6.7M 0.74 5.11 N/A N/A 1,041,120 768,780 9,280,820 11,308,900 2007-07-16 $3.68 $3.50 52.6% 15.1% 30.3% 89.3% 52.8% 2.5% -9.5% 10.5M -1.98B -6.8M 0.54 4.41 N/A N/A 806,760 432,600 9,460,060 11,363,340 2007-07-17 $3.69 $3.50 53.3% 15.3% 30.2% 91.5% 53.5% 3.2% -10.0% 12.5M -2.00B -6.9M 0.61 4.56 N/A N/A 436,020 266,300 9,529,300 11,454,260 2007-07-18 $3.67 $3.50 55.2% 15.8% 28.2% 97.4% 54.6% 4.3% -10.8% 15.6M -1.94B -6.9M 1.12 4.29 N/A N/A 410,940 459,640 9,622,560 11,406,740 2007-07-19 $3.67 $3.50 53.7% 15.4% 27.8% 92.7% 52.5% 5.2% -10.2% 14.3M -1.95B -6.9M 0.52 4.44 N/A N/A 535,520 275,780 9,657,020 11,534,380 2007-07-20 $3.58 $3.50 53.3% 15.3% 29.3% 91.4% 53.1% 5.2% -9.3% -1.2M -1.64B -7.0M 0.71 5.78 N/A N/A 752,580 537,420 9,713,440 11,596,800 2007-07-23 $3.59 $3.50 55.9% 16.0% 28.9% 99.7% 56.0% 3.9% -10.6% 745.4K -1.18B -7.0M 0.47 6.13 N/A N/A 959,660 449,200 7,029,720 7,846,120 2007-07-24 $3.46 $3.50 60.1% 17.2% 31.8% 100.0% 59.4% 5.0% -12.4% -822.1K -979.8M -7.2M 1.22 5.74 N/A N/A 1,641,340 2,009,620 7,342,180 8,036,260 2007-07-25 $4.31 $3.50 40.2% 11.5% 83.2% 44.3% 41.1% 1.1% -1.9% 21.3M -2.72B -5.8M 1.06 11.15 N/A N/A 3,057,380 3,233,420 8,109,240 9,038,360 2007-07-26 $4.20 $3.75 37.9% 10.9% 84.2% 37.7% 37.8% -3.1% 0.6% 14.9M -2.40B -6.8M 1.11 7.72 N/A N/A 2,016,840 2,243,240 8,298,900 9,993,120 2007-07-27 $4.20 $4.00 39.0% 11.2% 84.3% 40.9% 39.9% -1.0% 1.4% 5.5M -2.25B -7.5M 1.28 8.25 N/A N/A 827,740 1,058,880 8,566,820 10,769,260 2007-07-30 $4.13 $4.00 39.5% 11.3% 84.6% 42.2% 41.2% -1.4% -0.3% 3.3M -2.07B -7.4M 0.66 13.59 N/A N/A 959,960 632,400 8,542,340 10,924,740 2007-07-31 $3.93 $4.00 40.6% 11.6% 87.3% 45.3% 41.4% -0.7% -1.2% -3.6M -1.52B -7.7M 0.90 7.31 N/A N/A 1,126,660 1,012,820 8,699,860 10,912,920
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