AMZN Options History — August 2007

In August 2007, AMZN traded between $3.62 and $4.00. ATM implied volatility averaged 38.6%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 33.0% (HV 20d: 71.6%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.13.

Notable Days

2007-08-01: Highest Volume — 4,146,480 contracts
2007-08-16: Largest IV spike — 26.1% change
2007-08-16: Highest IV Rank — 64.0%
2007-08-16: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.84	$3.62	$4.00	$3.87	$4.00
Max Pain	$3.87	$3.75	$4.00	$4.00	$3.75
ATM IV	38.6%	31.7%	47.3%	46.5%	34.8%
Expected Move	11.3%	9.1%	13.6%	13.3%	10.0%
HV 20d	71.6%	36.4%	89.6%	87.6%	36.4%
HV 60d	56.7%	55.6%	58.2%	56.7%	56.4%
IV Rank	39.6%	20.3%	64.0%	61.7%	29.1%
IV Percentile	66.6%	34.0%	86.5%	84.1%	53.9%
Term Structure	2.1%	-1.8%	5.0%	-1.8%	2.9%
VWIV	39.8%	33.8%	46.4%	45.8%	36.7%
Skew 25d	4.1%	1.6%	8.2%	4.2%	5.7%
Skew 10d	8.4%	3.7%	18.6%	6.3%	11.6%
Call IV 25d	37.6%	30.1%	45.0%	44.5%	32.7%
Put IV 25d	41.7%	33.9%	49.4%	48.7%	38.4%
Bid-Ask Spread %	7.21	5.11	9.54	7.82	7.11
Gamma HHI	0.15	0.09	0.18	0.09	0.17
Net GEX	-3.9M	-15.2M	4.7M	-7.6M	4.0M
Net DEX	-1.31B	-1.69B	-664.7M	-1.34B	-1.69B
Net VEX	-7.6M	-8.2M	-7.2M	-8.0M	-7.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.56	3.72	2.07	1.99
Total Volume	959,822.609	258,680	4,146,480	4,146,480	444,900
Total OI	19,215,900	15,909,400	21,436,480	19,820,140	17,597,740

Daily Data (23 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
2007-08-01	$3.87	$4.00	46.5%	13.3%	87.6%	61.7%	45.8%	4.2%	-1.8%	-7.6M	-1.34B	-8.0M	2.07	7.82	N/A	N/A	1,350,900	2,795,580	8,791,700	11,028,440
2007-08-02	$3.99	$4.00	42.3%	12.1%	87.8%	50.1%	44.1%	4.1%	-1.8%	-3.2M	-1.65B	-8.1M	0.85	5.69	N/A	N/A	650,300	552,960	9,002,060	11,587,120
2007-08-03	$3.84	$4.00	43.9%	12.6%	89.2%	54.6%	42.7%	4.7%	-1.4%	-11.2M	-1.23B	-8.2M	0.65	5.11	N/A	N/A	727,960	474,300	8,898,300	11,574,400
2007-08-06	$3.95	$4.00	41.0%	12.3%	88.5%	46.4%	43.2%	1.9%	0.2%	-3.3M	-1.55B	-8.0M	1.07	8.12	N/A	N/A	424,320	455,800	9,111,080	11,539,780
2007-08-07	$3.96	$4.00	36.7%	11.7%	87.8%	34.4%	41.1%	1.6%	0.3%	-2.0M	-1.61B	-7.8M	1.03	7.15	N/A	N/A	282,060	290,100	9,159,040	11,640,560
2007-08-08	$3.89	$4.00	37.4%	11.3%	88.2%	36.5%	40.0%	2.3%	0.8%	-5.4M	-1.40B	-7.8M	0.76	8.65	N/A	N/A	553,820	423,260	9,230,200	11,650,120
2007-08-09	$3.71	$4.00	39.8%	11.8%	89.6%	43.2%	40.7%	2.7%	2.5%	-13.8M	-896.8M	-8.1M	0.77	5.60	N/A	N/A	710,760	546,480	9,316,980	11,734,100
2007-08-10	$3.74	$4.00	38.0%	11.7%	89.0%	38.1%	40.3%	3.1%	2.3%	-11.3M	-974.4M	-8.0M	0.84	9.54	N/A	N/A	642,280	536,840	9,445,660	11,656,840
2007-08-13	$3.74	$4.00	37.7%	11.7%	88.7%	37.2%	40.7%	3.0%	2.6%	-7.9M	-1.02B	-7.6M	1.18	7.63	N/A	N/A	447,220	526,780	9,579,260	11,672,220
2007-08-14	$3.67	$4.00	38.9%	11.8%	89.0%	40.5%	40.2%	3.3%	3.4%	-11.9M	-823.2M	-7.7M	0.83	6.01	N/A	N/A	337,820	280,040	9,634,520	11,724,280
2007-08-15	$3.62	$4.00	37.5%	11.4%	89.1%	36.6%	39.1%	3.8%	4.9%	-15.2M	-664.7M	-7.5M	0.56	7.10	N/A	N/A	760,940	427,860	9,578,700	11,719,260
2007-08-16	$3.64	$3.75	47.3%	13.6%	89.1%	64.0%	46.4%	4.4%	1.3%	-11.1M	-793.2M	-7.8M	1.10	7.97	N/A	N/A	744,460	820,800	9,751,660	11,659,040
2007-08-17	$3.75	$3.75	41.5%	11.9%	89.3%	47.8%	41.2%	4.3%	2.4%	-3.4M	-1.16B	-7.5M	0.76	5.45	N/A	N/A	501,380	382,160	9,743,160	11,693,320
2007-08-20	$3.73	$3.75	38.9%	11.2%	89.4%	40.6%	38.8%	4.9%	3.0%	-3.0M	-1.15B	-7.2M	0.66	6.21	N/A	N/A	397,780	260,600	7,311,720	8,597,680
2007-08-21	$3.87	$3.75	39.0%	11.2%	89.0%	40.8%	38.3%	4.8%	1.5%	469.8K	-1.43B	-7.2M	0.59	6.88	N/A	N/A	796,560	467,740	7,532,700	8,756,620
2007-08-22	$3.92	$3.75	34.7%	9.9%	40.4%	28.7%	35.6%	3.2%	3.4%	3.3M	-1.58B	-7.3M	0.69	5.55	N/A	N/A	316,920	218,840	7,839,280	8,964,160
2007-08-23	$3.87	$3.75	36.4%	10.4%	39.8%	33.4%	34.9%	3.5%	3.7%	1.4M	-1.44B	-7.4M	0.88	6.07	N/A	N/A	256,280	225,880	7,862,900	9,006,060
2007-08-24	$3.96	$3.75	31.7%	9.1%	41.1%	20.3%	33.8%	3.8%	5.0%	4.7M	-1.66B	-7.3M	2.08	8.90	N/A	N/A	94,660	196,680	7,966,360	9,070,540
2007-08-27	$3.93	$3.75	33.7%	9.7%	40.9%	26.0%	34.4%	3.8%	3.7%	3.4M	-1.60B	-7.2M	0.96	7.03	N/A	N/A	207,440	199,820	7,976,080	9,117,260
2007-08-28	$3.81	$3.75	39.8%	11.4%	38.2%	43.2%	43.3%	8.2%	2.3%	-491.5K	-1.32B	-7.4M	3.72	9.31	N/A	N/A	153,060	569,920	8,018,920	9,169,040
2007-08-29	$3.95	$3.75	34.3%	9.8%	40.1%	27.7%	38.4%	8.0%	3.0%	2.2M	-1.59B	-7.3M	1.24	9.12	N/A	N/A	161,780	201,200	8,025,720	9,430,400
2007-08-30	$3.93	$3.75	35.0%	10.0%	38.5%	29.7%	35.8%	5.8%	3.3%	1.0M	-1.55B	-7.4M	0.71	7.77	N/A	N/A	151,320	107,360	8,063,980	9,536,740
2007-08-31	$4.00	$3.75	34.8%	10.0%	36.4%	29.1%	36.7%	5.7%	2.9%	4.0M	-1.69B	-7.2M	1.99	7.11	N/A	N/A	148,920	295,980	8,084,140	9,513,600