AMZN Options History — November 2007

In November 2007, AMZN traded between $3.85 and $4.53. ATM implied volatility averaged 41.8%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 16.8% (HV 20d: 58.5%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2007-11-13: Highest Volume — 2,347,140 contracts
2007-11-12: Largest IV spike — 32.0% change
2007-11-12: Highest IV Rank — 78.0%
2007-11-12: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.15	$3.85	$4.53	$4.38	$4.53
Max Pain	$4.49	$4.25	$4.50	$4.50	$4.50
ATM IV	41.8%	35.7%	62.9%	35.8%	37.4%
Expected Move	11.9%	10.3%	14.3%	10.3%	10.7%
HV 20d	58.5%	36.9%	69.2%	66.8%	45.9%
HV 60d	46.4%	44.3%	47.8%	45.3%	47.6%
IV Rank	35.1%	22.8%	78.0%	23.1%	26.2%
IV Percentile	70.2%	47.4%	96.3%	48.6%	50.4%
Term Structure	3.2%	-1.0%	6.2%	3.2%	6.2%
VWIV	42.0%	37.4%	48.5%	37.7%	37.9%
Skew 25d	4.3%	2.0%	5.9%	4.6%	2.0%
Skew 10d	7.3%	3.4%	11.9%	9.4%	4.5%
Call IV 25d	40.3%	35.2%	47.0%	35.9%	36.9%
Put IV 25d	44.6%	38.9%	52.2%	40.4%	38.9%
Bid-Ask Spread %	4.78	2.53	7.59	3.26	3.31
Gamma HHI	0.12	0.08	0.16	0.14	0.12
Net GEX	-4.9M	-13.2M	5.9M	-5.3M	5.9M
Net DEX	-1.08B	-1.91B	-370.9M	-1.45B	-1.91B
Net VEX	-7.0M	-7.2M	-6.8M	-7.2M	-6.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.57	2.50	0.83	0.88
Total Volume	995,464.762	281,840	2,347,140	823,060	526,080
Total OI	17,256,615.238	15,085,420	18,987,560	18,001,860	16,155,040

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
2007-11-01	$4.38	$4.50	35.8%	10.3%	66.8%	23.1%	37.7%	4.6%	3.2%	-5.3M	-1.45B	-7.2M	0.83	3.26	N/A	N/A	448,580	374,480	8,927,280	9,074,580
2007-11-02	$4.30	$4.50	36.7%	10.5%	66.8%	24.8%	37.4%	5.8%	3.4%	-7.3M	-1.24B	-7.2M	1.12	3.42	N/A	N/A	670,360	752,940	8,947,520	9,047,960
2007-11-05	$4.22	$4.50	39.1%	12.0%	66.1%	29.8%	41.7%	5.9%	1.7%	-8.9M	-1.06B	-7.2M	0.89	4.14	N/A	N/A	587,300	520,360	9,008,660	9,179,100
2007-11-06	$4.36	$4.50	35.7%	11.3%	67.6%	22.8%	39.0%	4.5%	3.0%	-7.9M	-1.38B	-7.1M	1.18	3.59	N/A	N/A	442,460	519,920	9,065,300	9,191,600
2007-11-07	$4.35	$4.50	38.5%	12.0%	67.6%	28.5%	41.4%	4.9%	2.1%	-8.9M	-1.37B	-7.1M	1.61	7.43	N/A	N/A	416,820	671,660	9,084,280	9,212,000
2007-11-08	$4.18	$4.50	43.7%	12.7%	66.0%	39.1%	44.3%	5.8%	1.5%	-10.3M	-970.6M	-7.1M	0.96	5.55	N/A	N/A	727,060	701,440	9,104,240	9,308,020
2007-11-09	$3.94	$4.50	47.7%	14.0%	67.2%	47.1%	48.4%	3.7%	0.4%	-10.8M	-529.8M	-7.1M	1.03	5.85	N/A	N/A	620,660	640,260	9,211,760	9,352,040
2007-11-12	$3.85	$4.50	62.9%	14.3%	67.3%	78.0%	48.5%	5.3%	-1.0%	-9.4M	-370.9M	-6.8M	1.92	4.59	N/A	N/A	493,140	945,200	9,314,680	9,322,560
2007-11-13	$3.99	$4.25	47.5%	12.7%	69.1%	46.8%	44.3%	4.4%	1.7%	-8.3M	-704.9M	-6.8M	2.50	3.59	N/A	N/A	671,500	1,675,640	9,330,300	9,150,340
2007-11-14	$3.93	$4.50	41.4%	12.4%	68.9%	34.5%	44.3%	5.2%	1.9%	-11.8M	-526.1M	-7.0M	1.52	4.34	N/A	N/A	275,880	418,540	9,494,100	9,493,460
2007-11-15	$3.89	$4.50	43.9%	12.6%	68.9%	39.5%	44.7%	5.9%	3.0%	-13.2M	-432.4M	-7.1M	1.79	5.70	N/A	N/A	356,960	639,200	9,432,100	9,532,380
2007-11-16	$3.93	$4.50	42.0%	12.0%	69.2%	35.6%	42.7%	3.9%	2.9%	-5.1M	-512.2M	-6.8M	1.56	5.10	N/A	N/A	358,200	558,080	9,447,740	9,349,740
2007-11-19	$3.96	$4.50	42.3%	12.1%	68.8%	36.2%	43.3%	3.8%	4.3%	-4.1M	-902.2M	-6.8M	1.15	4.91	N/A	N/A	348,560	402,140	6,996,400	8,089,020
2007-11-20	$4.02	$4.50	39.6%	11.3%	57.0%	30.7%	39.4%	3.9%	5.2%	-3.5M	-979.8M	-6.9M	0.77	5.60	N/A	N/A	594,520	457,480	7,111,120	8,113,260
2007-11-21	$3.99	$4.50	39.9%	11.4%	36.9%	31.3%	40.9%	4.3%	5.1%	-2.1M	-957.0M	-7.0M	1.33	5.64	N/A	N/A	173,320	229,720	7,300,280	8,147,860
2007-11-23	$4.07	$4.50	40.8%	11.7%	38.1%	33.1%	40.7%	3.6%	5.5%	-1.4M	-1.08B	-7.1M	0.91	4.76	N/A	N/A	147,560	134,280	7,363,520	8,196,900
2007-11-26	$4.07	$4.50	44.0%	12.6%	37.0%	39.7%	43.6%	3.5%	3.8%	-1.2M	-1.09B	-7.0M	0.72	7.59	N/A	N/A	403,840	288,960	7,396,100	8,212,560
2007-11-27	$4.28	$4.50	39.6%	11.4%	42.1%	30.8%	41.1%	3.5%	4.9%	1.3M	-1.46B	-7.1M	0.88	4.56	N/A	N/A	419,920	369,700	7,487,820	8,271,020
2007-11-28	$4.51	$4.50	40.0%	11.5%	45.9%	31.6%	40.5%	3.3%	3.7%	5.0M	-1.89B	-7.0M	0.57	4.88	N/A	N/A	813,660	462,160	7,543,080	8,353,340
2007-11-29	$4.46	$4.50	38.6%	11.1%	46.0%	28.7%	39.5%	2.5%	4.9%	4.3M	-1.78B	-6.9M	1.06	2.53	N/A	N/A	313,320	332,900	7,648,200	8,421,660
2007-11-30	$4.53	$4.50	37.4%	10.7%	45.9%	26.2%	37.9%	2.0%	6.2%	5.9M	-1.91B	-6.9M	0.88	3.31	N/A	N/A	280,140	245,940	7,703,840	8,451,200