AMZN Options History — October 2007 In October 2007, AMZN traded between $4.41 and $5.04. ATM implied volatility averaged 49.1%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 12.8% (HV 20d: 36.4%). Max pain ranged from $3.75 to $4.50. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.18.
Notable Days 2007-10-23 : Highest Volume — 6,581,260 contracts2007-10-11 : Largest IV spike — 62.1% change2007-10-11 : Highest IV Rank — 100.0%2007-10-23 : Largest Expected Move — 21.2%Monthly Statistics Metric Avg Min Max Open Close Price $4.58 $4.41 $5.04 $4.67 $4.46 Max Pain $4.38 $3.75 $4.50 $3.75 $4.50 ATM IV 49.1% 32.3% 73.8% 37.5% 32.3% Expected Move 15.0% 9.2% 21.2% 10.8% 9.2% HV 20d 36.4% 15.8% 66.6% 23.5% 66.6% HV 60d 49.8% 34.0% 56.9% 56.4% 45.3% IV Rank 58.7% 15.9% 100.0% 36.8% 15.9% IV Percentile 75.3% 29.7% 100.0% 58.8% 29.7% Term Structure -3.0% -14.6% 16.0% 14.7% 4.3% VWIV 53.3% 35.7% 72.9% 39.6% 35.7% Skew 25d 1.5% -1.0% 5.1% 5.1% 4.8% Skew 10d 3.2% -2.1% 11.4% 11.4% 9.0% Call IV 25d 52.6% 32.6% 71.0% 36.8% 32.6% Put IV 25d 54.2% 37.4% 73.2% 41.8% 37.5% Bid-Ask Spread % 3.19 1.89 4.81 4.04 2.78 Gamma HHI 0.22 0.09 0.52 0.14 0.16 Net GEX -4.0M -25.4M 7.9M 7.9M -3.2M Net DEX -2.19B -2.80B -1.50B -2.57B -1.60B Net VEX -6.8M -7.8M -6.1M -6.3M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.50 2.65 2.00 1.00 Total Volume 1,547,118.261 414,180 6,581,260 655,300 782,120 Total OI 18,123,198.261 14,217,520 19,496,940 17,350,840 17,891,320
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 2007-10-01 $4.67 $3.75 37.5% 10.8% 23.5% 36.8% 39.6% 5.1% 14.7% 7.9M -2.57B -6.3M 2.00 4.04 N/A N/A 218,460 436,840 7,947,720 9,403,120 2007-10-02 $4.62 $4.00 39.4% 11.3% 22.2% 42.0% 39.4% 5.0% 13.9% 4.0M -2.48B -6.3M 1.86 2.99 N/A N/A 277,540 516,700 8,032,620 9,590,960 2007-10-03 $4.62 $4.00 37.7% 10.8% 22.1% 37.2% 37.3% 3.7% 16.0% 530.0K -2.45B -6.4M 2.65 4.21 N/A N/A 134,700 357,380 8,016,460 9,792,080 2007-10-04 $4.61 $4.00 38.7% 11.1% 20.3% 39.9% 39.2% 2.2% 15.5% -2.8M -2.42B -6.4M 1.49 2.98 N/A N/A 166,100 248,080 8,019,740 9,958,920 2007-10-05 $4.67 $4.50 37.3% 15.2% 18.5% 36.1% 54.6% 3.1% -7.4% -2.1M -2.53B -6.3M 0.50 3.07 N/A N/A 409,180 205,200 8,054,240 10,065,200 2007-10-08 $4.79 $4.25 41.5% 16.5% 18.5% 47.9% 57.8% 1.9% -9.7% 3.1M -2.80B -6.1M 0.56 2.21 N/A N/A 618,100 347,340 8,163,200 10,077,680 2007-10-09 $4.77 $4.25 40.6% 17.3% 15.8% 45.2% 60.4% -0.6% -10.8% 2.5M -2.79B -6.2M 0.60 2.02 N/A N/A 796,220 474,000 8,309,500 10,140,920 2007-10-10 $4.73 $4.50 37.5% 17.2% 16.1% 36.7% 60.6% -1.0% -10.7% 901.5K -2.74B -6.5M 1.09 1.89 N/A N/A 337,840 366,920 8,516,040 10,297,320 2007-10-11 $4.47 $4.50 60.8% 17.4% 27.3% 100.0% 61.4% -0.3% -10.2% -11.9M -2.11B -6.9M 1.10 2.88 N/A N/A 700,640 771,120 8,613,560 10,405,240 2007-10-12 $4.62 $4.50 63.6% 18.2% 29.6% 100.0% 64.1% -0.2% -10.8% -6.9M -2.45B -6.8M 1.03 1.96 N/A N/A 787,160 807,040 8,690,620 10,476,240 2007-10-15 $4.53 $4.50 67.4% 19.3% 30.3% 100.0% 68.5% -0.4% -14.0% -13.0M -2.29B -6.9M 0.70 2.33 N/A N/A 527,540 371,620 8,872,940 10,479,020 2007-10-16 $4.48 $4.50 67.4% 19.3% 29.8% 99.9% 67.9% 0.9% -13.0% -21.5M -2.17B -6.8M 2.25 2.69 N/A N/A 535,680 1,204,560 8,982,200 10,475,560 2007-10-17 $4.53 $4.50 67.9% 19.5% 30.1% 100.0% 68.2% 0.3% -13.3% -15.2M -2.26B -7.1M 0.83 2.66 N/A N/A 507,760 423,380 9,021,640 10,278,700 2007-10-18 $4.49 $4.50 69.4% 19.9% 30.1% 100.0% 69.6% -0.1% -14.6% -21.8M -2.27B -6.7M 1.63 3.23 N/A N/A 263,740 430,600 9,129,940 10,359,940 2007-10-19 $4.49 $4.50 63.1% 18.1% 29.3% 86.0% 63.7% -0.8% -7.8% -25.4M -2.28B -6.7M 1.69 4.26 N/A N/A 800,120 1,353,540 9,167,580 10,329,360 2007-10-22 $4.56 $4.50 66.6% 19.1% 29.5% 93.7% 67.1% 0.0% -10.6% 2.7M -1.77B -6.7M 0.79 4.81 N/A N/A 796,860 629,160 6,791,120 7,426,400 2007-10-23 $5.04 $4.50 73.8% 21.2% 46.2% 100.0% 72.9% 2.3% -14.3% 7.8M -2.50B -6.8M 0.60 4.31 N/A N/A 4,114,660 2,466,600 7,251,020 7,736,660 2007-10-24 $4.44 $4.50 44.2% 12.7% 65.7% 40.0% 45.9% -0.4% 0.3% 1.0M -1.53B -7.7M 0.61 4.30 N/A N/A 3,745,000 2,303,140 8,862,700 8,952,080 2007-10-25 $4.41 $4.50 38.5% 11.0% 65.7% 28.4% 40.0% 1.1% 2.6% 1.4M -1.55B -7.8M 0.61 3.69 N/A N/A 994,940 609,480 9,101,700 9,028,620 2007-10-26 $4.50 $4.50 34.7% 9.9% 66.2% 20.7% 36.6% 1.1% 4.8% 2.8M -1.75B -7.4M 1.24 2.99 N/A N/A 834,800 1,035,960 9,050,100 9,076,020 2007-10-29 $4.50 $4.50 35.3% 10.1% 66.2% 21.9% 37.9% 4.2% 3.4% 383.9K -1.70B -7.2M 0.91 3.15 N/A N/A 525,960 478,840 8,987,940 9,063,640 2007-10-30 $4.41 $4.50 35.4% 10.2% 66.5% 22.3% 37.7% 3.1% 2.9% -3.7M -1.50B -7.2M 1.28 4.02 N/A N/A 381,740 489,360 8,897,920 9,048,060 2007-10-31 $4.46 $4.50 32.3% 9.2% 66.6% 15.9% 35.7% 4.8% 4.3% -3.2M -1.60B -7.1M 1.00 2.78 N/A N/A 391,340 390,780 8,891,980 8,999,340
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