AMZN Options History — May 2008 In May 2008, AMZN traded between $3.62 and $4.11. ATM implied volatility averaged 37.3%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.7% (HV 20d: 43.0%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.16.
Notable Days 2008-05-19 : Highest Volume — 2,082,760 contracts2008-05-15 : Largest IV spike — 14.2% change2008-05-06 : Highest IV Rank — 17.4%2008-05-07 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $3.87 $3.62 $4.11 $3.97 $4.08 Max Pain $3.98 $3.75 $4.00 $4.00 $4.00 ATM IV 37.3% 32.3% 41.1% 38.3% 36.6% Expected Move 10.9% 10.2% 11.9% 11.0% 10.5% HV 20d 43.0% 33.7% 46.2% 45.4% 39.6% HV 60d 49.4% 46.9% 51.8% 51.8% 46.9% IV Rank 11.2% 2.9% 17.4% 13.5% 9.9% IV Percentile 26.1% 5.2% 50.4% 31.7% 19.0% Term Structure 1.3% 0.6% 2.1% 0.8% 2.1% VWIV 38.0% 35.9% 40.8% 38.7% 36.3% Skew 25d 3.5% 1.8% 4.5% 3.9% 4.0% Skew 10d 6.5% 3.3% 8.4% 6.7% 7.5% Call IV 25d 36.5% 33.3% 39.8% 36.7% 34.3% Put IV 25d 40.0% 37.0% 43.0% 40.6% 38.3% Bid-Ask Spread % 3.52 2.36 5.50 4.79 2.50 Gamma HHI 0.14 0.09 0.22 0.14 0.12 Net GEX -10.4M -28.9M 865.6K -4.3M 865.6K Net DEX -144.3M -476.4M 275.8M -287.2M -437.9M Net VEX -5.4M -5.9M -2.4M -5.9M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.16 0.65 2.86 1.09 0.85 Total Volume 660,065.714 276,360 2,082,760 436,000 276,360 Total OI 10,604,091.429 7,873,420 12,043,260 11,653,180 9,632,280
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 2008-05-01 $3.97 $4.00 38.3% 11.0% 45.4% 13.5% 38.7% 3.9% 0.8% -4.3M -287.2M -5.9M 1.09 4.79 N/A N/A 208,400 227,600 4,772,060 6,881,120 2008-05-02 $3.87 $4.00 38.9% 11.2% 45.7% 14.5% 38.5% 2.4% 1.1% -11.2M -109.1M -5.9M 1.10 4.22 N/A N/A 267,760 295,500 4,808,820 6,921,940 2008-05-05 $3.80 $4.00 40.4% 11.7% 46.2% 17.0% 40.3% 3.9% 1.0% -14.2M -36.6M -5.7M 1.79 3.50 N/A N/A 201,220 359,600 4,824,140 6,907,680 2008-05-06 $3.79 $4.00 41.1% 11.6% 46.1% 17.4% 40.3% 4.4% 1.0% -16.0M -4.9M -5.7M 1.55 3.57 N/A N/A 221,460 342,420 4,820,700 6,941,120 2008-05-07 $3.66 $4.00 40.6% 11.9% 45.7% 16.5% 40.8% 3.2% 1.1% -23.6M 177.8M -5.6M 1.03 3.67 N/A N/A 547,000 561,300 4,844,740 6,959,160 2008-05-08 $3.64 $4.00 37.7% 11.2% 45.6% 11.8% 38.9% 3.3% 0.6% -28.1M 253.4M -5.5M 1.94 4.04 N/A N/A 303,020 587,480 4,817,280 7,022,680 2008-05-09 $3.62 $4.00 35.2% 11.5% 43.5% 7.7% 39.4% 3.5% 0.7% -28.9M 275.8M -5.5M 1.00 2.36 N/A N/A 319,060 318,360 4,903,880 7,139,380 2008-05-12 $3.73 $4.00 35.1% 10.8% 44.6% 7.5% 37.0% 4.5% 1.2% -22.3M 222.1M -2.4M 0.69 4.95 N/A N/A 682,280 469,520 3,045,600 4,827,820 2008-05-13 $3.73 $4.00 33.2% 10.6% 44.6% 4.4% 36.9% 4.3% 1.3% -22.6M 39.4M -5.4M 2.86 2.75 N/A N/A 125,640 358,720 5,020,420 6,948,520 2008-05-14 $3.71 $4.00 32.3% 10.7% 43.4% 2.9% 36.8% 3.9% 1.2% -23.2M 57.9M -5.3M 0.65 3.51 N/A N/A 310,840 203,540 5,011,100 6,996,320 2008-05-15 $3.81 $4.00 36.9% 10.6% 44.3% 10.4% 37.2% 4.2% 1.2% -12.7M -139.1M -5.3M 0.94 3.11 N/A N/A 301,720 284,000 5,026,940 6,934,380 2008-05-16 $3.82 $3.75 35.4% 10.2% 33.7% 8.0% 35.9% 3.7% 1.9% -5.1M -185.5M -5.3M 1.09 2.66 N/A N/A 309,580 338,960 4,979,160 6,932,000 2008-05-19 $4.11 $3.75 37.5% 10.7% 43.1% 11.4% 37.1% 2.4% 1.3% -25.1K -476.4M -5.3M 0.83 3.38 N/A N/A 1,137,180 945,580 3,676,960 4,989,140 2008-05-20 $4.04 $4.00 37.1% 10.6% 43.7% 10.8% 37.1% 1.8% 1.4% -192.2K -394.7M -5.6M 0.73 3.02 N/A N/A 350,560 256,500 3,999,740 5,241,360 2008-05-21 $3.92 $4.00 37.0% 10.6% 44.5% 10.6% 37.5% 2.1% 1.8% -1.8M -271.6M -5.6M 0.79 3.75 N/A N/A 322,640 255,780 4,075,340 5,232,300 2008-05-22 $3.96 $4.00 36.7% 10.5% 42.1% 10.1% 37.0% 3.2% 1.9% -664.0K -326.8M -5.6M 0.81 3.37 N/A N/A 246,780 198,980 4,092,120 5,272,700 2008-05-23 $3.92 $4.00 37.1% 10.6% 39.7% 10.8% 37.6% 3.2% 1.8% -2.1M -261.5M -5.6M 1.46 5.50 N/A N/A 179,320 262,680 4,100,720 5,324,220 2008-05-27 $4.03 $4.00 38.9% 11.1% 40.8% 13.7% 39.1% 3.4% 1.0% -483.6K -394.4M -5.6M 1.01 3.63 N/A N/A 237,780 240,860 4,139,100 5,402,700 2008-05-28 $4.00 $4.00 38.4% 11.0% 40.5% 13.0% 38.3% 3.4% 1.6% -565.4K -366.8M -5.5M 0.88 2.98 N/A N/A 181,860 159,740 4,163,360 5,411,740 2008-05-29 $4.02 $4.00 38.4% 11.0% 39.4% 12.9% 38.3% 3.9% 1.3% -670.1K -364.3M -5.5M 1.30 2.56 N/A N/A 201,760 262,040 4,158,840 5,486,340 2008-05-30 $4.08 $4.00 36.6% 10.5% 39.6% 9.9% 36.3% 4.0% 2.1% 865.6K -437.9M -5.5M 0.85 2.50 N/A N/A 149,580 126,780 4,173,240 5,459,040
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