AMZN Options History — April 2008 In April 2008, AMZN traded between $3.60 and $4.10. ATM implied volatility averaged 53.8%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 1.5% (HV 20d: 52.2%). Max pain ranged from $3.63 to $4.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.70.
Notable Days 2008-04-23 : Highest Volume — 3,811,040 contracts2008-04-24 : Largest IV drop — 39.3% change2008-04-23 : Highest IV Rank — 62.0%2008-04-23 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.85 $3.60 $4.10 $3.83 $3.93 Max Pain $3.83 $3.63 $4.00 $3.63 $4.00 ATM IV 53.8% 38.6% 68.0% 49.0% 38.6% Expected Move 16.1% 11.1% 19.5% 14.0% 11.1% HV 20d 52.2% 45.9% 56.3% 56.2% 47.0% HV 60d 52.1% 51.5% 53.2% 53.2% 52.1% IV Rank 40.3% 13.9% 62.0% 35.7% 13.9% IV Percentile 75.9% 33.3% 95.6% 77.0% 33.3% Term Structure -5.3% -15.1% 12.2% 9.5% 0.6% VWIV 57.0% 39.0% 69.2% 50.4% 39.0% Skew 25d 7.4% 3.7% 10.3% 6.7% 3.7% Skew 10d 14.0% 5.4% 18.3% 15.6% 5.4% Call IV 25d 52.6% 37.3% 63.2% 45.6% 37.3% Put IV 25d 60.0% 41.0% 72.1% 52.3% 41.0% Bid-Ask Spread % 3.18 2.15 5.54 2.15 4.02 Gamma HHI 0.11 0.08 0.24 0.08 0.13 Net GEX -3.0M -8.0M 9.0M -2.6M -7.2M Net DEX -259.6M -689.7M 59.1M -298.0M -220.3M Net VEX -5.8M -6.3M -5.5M -5.6M -6.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.98 3.65 0.99 1.43 Total Volume 1,215,145.455 579,420 3,811,040 1,045,540 579,420 Total OI 11,459,301.818 9,521,300 12,750,720 10,135,980 12,141,000
Daily Data (22 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 2008-04-01 $3.83 $3.63 49.0% 14.0% 56.2% 35.7% 50.4% 6.7% 9.5% -2.6M -298.0M -5.6M 0.99 2.15 N/A N/A 526,660 518,880 4,494,860 5,641,120 2008-04-02 $3.87 $3.63 47.9% 13.7% 54.6% 34.1% 48.4% 7.0% 11.0% -2.3M -342.8M -5.7M 2.87 3.61 N/A N/A 347,260 997,080 4,601,400 5,779,720 2008-04-03 $3.75 $3.75 47.2% 13.5% 56.3% 33.0% 48.3% 5.7% 12.2% -5.9M -164.2M -5.9M 1.26 2.41 N/A N/A 281,940 354,140 4,624,840 6,409,880 2008-04-04 $3.84 $3.75 48.9% 17.1% 54.3% 35.5% 59.8% 7.2% -6.9% -3.7M -298.8M -5.8M 1.40 2.26 N/A N/A 280,660 393,680 4,692,160 6,433,580 2008-04-07 $3.85 $3.75 47.6% 17.4% 54.3% 33.5% 60.8% 7.5% -8.1% -4.2M -285.5M -5.7M 0.98 2.44 N/A N/A 325,520 320,640 4,736,240 6,510,080 2008-04-08 $3.87 $3.75 47.2% 17.5% 53.8% 31.7% 62.8% 7.9% -8.3% -715.8K -367.2M -5.8M 2.44 2.46 N/A N/A 174,260 425,120 4,960,720 6,559,020 2008-04-09 $3.72 $3.75 46.0% 17.9% 53.5% 29.1% 62.9% 7.9% -9.4% -5.6M -125.4M -5.7M 1.21 2.50 N/A N/A 302,340 364,640 4,880,720 6,758,020 2008-04-10 $3.74 $3.75 60.8% 17.4% 53.2% 51.2% 60.8% 7.7% -8.3% -4.7M -149.7M -5.7M 1.19 2.54 N/A N/A 341,580 405,080 4,936,220 6,770,020 2008-04-11 $3.60 $3.75 61.9% 17.7% 54.8% 52.1% 63.1% 7.1% -7.8% -8.0M 59.1M -5.6M 1.85 2.50 N/A N/A 294,920 545,960 4,957,620 6,778,640 2008-04-14 $3.63 $3.75 65.7% 18.8% 54.9% 58.3% 65.8% 7.4% -10.6% -7.0M -10.9M -5.5M 2.14 2.80 N/A N/A 237,740 508,020 4,945,400 6,782,840 2008-04-15 $3.63 $3.75 64.8% 18.6% 53.9% 56.8% 65.1% 10.1% -11.0% -7.7M 21.7M -5.5M 1.17 2.91 N/A N/A 778,980 913,440 4,980,960 6,960,380 2008-04-16 $3.73 $3.75 64.1% 18.4% 48.0% 55.7% 66.1% 9.2% -11.5% -2.6M -182.9M -5.7M 1.58 2.84 N/A N/A 295,860 467,080 5,210,960 7,315,680 2008-04-17 $3.70 $3.75 62.1% 17.8% 47.4% 52.4% 62.8% 10.3% -11.9% -1.8M -124.2M -5.5M 1.19 3.32 N/A N/A 568,220 677,300 5,229,680 7,201,780 2008-04-18 $4.00 $3.75 65.2% 18.7% 52.8% 57.5% 65.9% 8.9% -15.1% 9.0M -689.7M -5.7M 1.30 3.09 N/A N/A 1,113,220 1,443,800 5,387,480 7,363,240 2008-04-21 $4.01 $4.00 67.2% 19.3% 51.4% 60.7% 68.6% 10.3% -13.8% -2.5M -341.2M -6.0M 1.91 2.91 N/A N/A 348,500 667,040 3,796,080 5,780,960 2008-04-22 $3.98 $4.00 66.2% 19.0% 51.3% 59.1% 69.2% 9.1% -12.5% -2.9M -301.6M -5.9M 2.05 2.70 N/A N/A 498,880 1,023,900 3,756,480 5,764,820 2008-04-23 $4.05 $4.00 68.0% 19.5% 50.9% 62.0% 68.4% 7.9% -13.5% -3.1M -379.0M -6.3M 1.14 2.91 N/A N/A 1,781,300 2,029,740 4,135,400 6,512,800 2008-04-24 $3.88 $4.00 41.3% 11.8% 51.0% 18.4% 42.4% 5.9% 0.2% -7.1M -156.6M -6.3M 1.08 5.54 N/A N/A 1,126,340 1,217,440 4,909,600 7,229,860 2008-04-25 $4.04 $4.00 40.8% 11.7% 51.9% 17.5% 41.7% 5.7% 0.3% 3.6M -469.5M -6.3M 1.10 5.04 N/A N/A 407,960 450,020 4,969,080 7,041,220 2008-04-28 $4.10 $4.00 42.4% 12.1% 51.7% 20.2% 42.1% 6.5% -0.9% 2.4M -510.7M -6.2M 3.41 5.01 N/A N/A 271,160 925,460 4,788,420 7,066,480 2008-04-29 $4.04 $4.00 40.7% 11.7% 45.9% 17.4% 40.7% 4.2% 0.0% -2.1M -373.6M -6.2M 3.65 4.01 N/A N/A 258,620 943,400 4,776,240 7,532,940 2008-04-30 $3.93 $4.00 38.6% 11.1% 47.0% 13.9% 39.0% 3.7% 0.6% -7.2M -220.3M -6.0M 1.43 4.02 N/A N/A 238,240 341,180 4,780,780 7,360,220
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