AMZN Options History — June 2008 In June 2008, AMZN traded between $3.67 and $4.23. ATM implied volatility averaged 40.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 0.3% (HV 20d: 40.3%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.38.
Notable Days 2008-06-27 : Highest Volume — 1,246,180 contracts2008-06-26 : Largest IV spike — 11.0% change2008-06-12 : Highest IV Rank — 21.2%2008-06-30 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.99 $3.67 $4.23 $4.01 $3.67 Max Pain $3.89 $3.75 $4.00 $4.00 $3.75 ATM IV 40.0% 36.7% 44.0% 37.5% 44.0% Expected Move 11.6% 10.5% 12.6% 10.8% 12.6% HV 20d 40.3% 36.0% 45.8% 38.9% 42.2% HV 60d 44.4% 40.8% 46.6% 46.5% 41.8% IV Rank 15.5% 10.1% 21.2% 11.5% 21.0% IV Percentile 39.9% 18.7% 59.9% 24.2% 59.9% Term Structure 7.7% 1.1% 14.1% 1.7% 12.5% VWIV 40.9% 36.9% 45.5% 37.9% 43.8% Skew 25d 4.1% 1.8% 6.4% 4.0% 4.4% Skew 10d 8.4% 2.3% 12.7% 7.9% 9.3% Call IV 25d 38.7% 35.4% 42.1% 35.8% 42.1% Put IV 25d 42.9% 38.2% 47.2% 39.8% 46.6% Bid-Ask Spread % 2.66 1.64 4.21 3.20 1.73 Gamma HHI 0.12 0.09 0.25 0.12 0.11 Net GEX -585.3K -8.7M 11.0M -66.5K -8.7M Net DEX -355.7M -691.8M 50.8M -373.8M 50.8M Net VEX -5.4M -5.6M -5.2M -5.4M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.69 2.61 1.24 0.99 Total Volume 734,214.286 226,240 1,246,180 226,240 690,040 Total OI 9,943,767.619 9,185,340 10,664,340 9,678,180 9,914,500
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 2008-06-02 $4.01 $4.00 37.5% 10.8% 38.9% 11.5% 37.9% 4.0% 1.7% -66.5K -373.8M -5.4M 1.24 3.20 N/A N/A 101,020 125,220 4,234,480 5,443,700 2008-06-03 $4.01 $4.00 37.3% 10.7% 38.2% 11.0% 37.3% 4.1% 2.0% -619.7K -361.4M -5.5M 0.69 2.78 N/A N/A 143,300 98,780 4,246,040 5,456,400 2008-06-04 $4.08 $4.00 36.7% 10.5% 38.5% 10.1% 36.9% 2.8% 1.9% 1.2M -451.2M -5.4M 1.27 2.07 N/A N/A 198,860 251,840 4,254,580 5,444,520 2008-06-05 $4.23 $4.00 37.5% 10.8% 37.4% 11.5% 38.1% 1.8% 1.1% 5.0M -657.2M -5.5M 1.12 1.82 N/A N/A 358,340 401,280 4,315,120 5,496,540 2008-06-06 $4.03 $3.75 40.1% 12.0% 41.9% 15.7% 42.7% 4.3% 6.0% -1.0M -390.9M -5.6M 1.99 3.78 N/A N/A 254,500 507,560 4,362,200 5,584,460 2008-06-09 $3.97 $3.75 42.7% 12.4% 42.4% 19.9% 45.5% 6.4% 5.4% -2.6M -301.3M -5.5M 2.57 2.57 N/A N/A 316,360 811,600 4,376,740 5,615,060 2008-06-10 $3.98 $3.75 38.4% 11.8% 41.4% 13.0% 41.9% 5.2% 7.1% -2.0M -331.5M -5.5M 2.61 2.67 N/A N/A 244,440 639,180 4,452,180 5,716,460 2008-06-11 $3.86 $3.75 41.3% 12.6% 43.0% 17.7% 42.8% 4.7% 6.2% -4.8M -176.2M -5.4M 1.15 4.21 N/A N/A 264,720 303,560 4,467,980 5,662,300 2008-06-12 $3.81 $3.75 43.4% 12.4% 43.4% 21.2% 43.1% 4.7% 6.3% -6.7M -114.2M -5.4M 0.99 3.53 N/A N/A 357,880 353,200 4,486,080 5,650,120 2008-06-13 $3.96 $3.75 40.8% 11.7% 44.6% 16.8% 41.5% 5.1% 6.7% -1.9M -308.2M -5.4M 0.96 3.19 N/A N/A 352,800 340,460 4,497,800 5,654,660 2008-06-16 $4.08 $3.75 41.7% 12.0% 45.8% 18.4% 42.5% 4.6% 5.2% 2.7M -486.7M -5.3M 1.12 2.70 N/A N/A 293,180 329,740 4,514,220 5,681,000 2008-06-17 $4.15 $3.75 38.4% 11.0% 38.0% 13.0% 39.3% 4.2% 8.0% 5.6M -588.4M -5.3M 0.74 2.91 N/A N/A 629,480 467,120 4,535,460 5,732,700 2008-06-18 $4.13 $4.00 38.7% 11.1% 37.4% 13.5% 40.6% 4.1% 7.6% 5.5M -571.5M -5.4M 1.67 3.61 N/A N/A 267,700 447,860 4,716,980 5,841,060 2008-06-19 $4.21 $4.00 38.4% 11.0% 36.0% 12.9% 39.8% 4.2% 8.0% 11.0M -691.8M -5.4M 1.22 3.24 N/A N/A 370,600 452,360 4,709,600 5,877,080 2008-06-20 $4.05 $4.00 39.1% 11.2% 38.8% 14.1% 39.5% 3.1% 9.6% -1.1M -461.1M -5.4M 1.07 2.43 N/A N/A 523,880 560,120 4,739,980 5,924,360 2008-06-23 $4.03 $4.00 40.3% 11.5% 38.6% 15.7% 40.6% 3.1% 12.5% 96.1K -389.5M -5.4M 1.14 1.98 N/A N/A 267,880 305,900 4,044,020 5,141,320 2008-06-24 $3.98 $4.00 39.5% 11.3% 37.5% 14.5% 40.2% 3.9% 13.6% -1.5M -325.1M -5.4M 1.41 1.68 N/A N/A 328,400 464,240 4,135,180 5,211,100 2008-06-25 $4.03 $4.00 39.0% 11.2% 37.7% 13.6% 39.4% 3.6% 14.1% -550.7K -380.3M -5.4M 1.85 2.18 N/A N/A 162,220 299,640 4,180,100 5,320,000 2008-06-26 $3.81 $4.00 43.3% 12.4% 42.2% 20.7% 43.1% 4.4% 12.3% -5.0M -133.1M -5.3M 1.71 1.83 N/A N/A 327,500 559,560 4,208,780 5,382,740 2008-06-27 $3.73 $4.00 42.2% 12.1% 42.1% 18.9% 43.2% 4.5% 13.1% -6.8M -28.4M -5.2M 1.35 1.64 N/A N/A 529,800 716,380 4,208,780 5,382,740 2008-06-30 $3.67 $3.75 44.0% 12.6% 42.2% 21.0% 43.8% 4.4% 12.5% -8.7M 50.8M -5.2M 0.99 1.73 N/A N/A 345,960 344,080 4,337,100 5,577,400
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