AMZN Options History — July 2008 In July 2008, AMZN traded between $3.31 and $3.94. ATM implied volatility averaged 56.9%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 7.5% (HV 20d: 49.4%). Max pain ranged from $3.63 to $4.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.45.
Notable Days 2008-07-24 : Highest Volume — 2,981,080 contracts2008-07-24 : Largest IV drop — 28.0% change2008-07-14 : Highest IV Rank — 78.8%2008-07-14 : Largest Expected Move — 22.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.62 $3.31 $3.94 $3.68 $3.82 Max Pain $3.81 $3.63 $4.00 $3.75 $3.75 ATM IV 56.9% 43.3% 78.6% 43.3% 47.9% Expected Move 16.8% 12.4% 22.5% 12.4% 13.7% HV 20d 49.4% 37.2% 65.0% 42.3% 62.5% HV 60d 44.2% 40.5% 48.7% 41.9% 48.7% IV Rank 42.4% 19.6% 78.8% 19.6% 27.2% IV Percentile 77.8% 55.6% 97.6% 55.6% 65.5% Term Structure -5.3% -20.5% 13.9% 13.0% -0.3% VWIV 59.5% 43.8% 78.8% 43.8% 46.7% Skew 25d 9.5% 4.3% 14.8% 4.3% 6.9% Skew 10d 17.8% 9.2% 26.5% 9.5% 14.4% Call IV 25d 54.5% 41.4% 70.7% 41.4% 43.8% Put IV 25d 64.0% 45.7% 85.0% 45.7% 50.7% Bid-Ask Spread % 3.00 1.63 5.64 1.85 2.00 Gamma HHI 0.11 0.08 0.16 0.11 0.09 Net GEX -6.5M -20.3M 3.1M -9.3M 848.8K Net DEX 6.4M -424.6M 446.1M 27.3M -265.0M Net VEX -4.9M -5.3M -4.4M -5.1M -5.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.91 3.41 1.45 1.05 Total Volume 1,391,636.364 443,260 2,981,080 1,220,260 822,260 Total OI 10,229,264.545 7,812,320 12,008,620 9,915,320 10,414,920
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 2008-07-01 $3.68 $3.75 43.3% 12.4% 42.3% 19.6% 43.8% 4.3% 13.0% -9.3M 27.3M -5.1M 1.45 1.85 N/A N/A 498,400 721,860 4,338,820 5,576,500 2008-07-02 $3.57 $3.75 44.3% 12.7% 42.4% 21.3% 45.2% 4.8% 12.8% -9.7M 128.8M -5.0M 1.09 1.63 N/A N/A 400,600 435,520 4,405,640 5,635,920 2008-07-03 $3.60 $3.75 43.9% 12.6% 39.7% 20.5% 45.2% 5.4% 13.9% -9.6M 101.7M -5.0M 1.29 1.70 N/A N/A 338,720 435,400 4,479,000 5,610,040 2008-07-07 $3.62 $4.00 48.9% 17.2% 37.2% 28.9% 61.2% 8.4% -7.9% -9.8M 76.7M -5.0M 1.78 2.88 N/A N/A 390,400 693,240 4,483,540 5,663,820 2008-07-08 $3.75 $4.00 45.7% 16.7% 39.6% 23.5% 57.9% 9.1% -7.5% -8.4M -74.7M -5.1M 0.92 2.41 N/A N/A 511,480 472,200 4,542,180 5,824,500 2008-07-09 $3.53 $4.00 49.8% 17.8% 44.6% 30.4% 61.1% 8.8% -9.4% -11.4M 193.0M -4.8M 1.29 3.11 N/A N/A 427,000 550,880 4,590,820 5,845,320 2008-07-10 $3.53 $4.00 63.3% 18.2% 43.7% 53.2% 62.9% 9.8% -9.4% -11.3M 186.3M -4.8M 1.74 2.77 N/A N/A 663,860 1,154,260 4,607,800 5,880,580 2008-07-11 $3.43 $4.00 67.6% 19.4% 44.5% 60.3% 68.0% 10.9% -11.9% -11.7M 286.8M -4.7M 1.54 3.73 N/A N/A 777,860 1,201,780 4,650,380 5,971,340 2008-07-14 $3.31 $4.00 78.6% 22.5% 42.3% 78.8% 78.8% 14.3% -20.5% -11.3M 405.6M -4.5M 3.41 2.66 N/A N/A 615,080 2,096,900 4,797,060 6,224,000 2008-07-15 $3.35 $3.75 77.9% 22.3% 40.4% 77.6% 76.8% 14.8% -20.3% -20.3M 446.1M -4.7M 1.79 4.21 N/A N/A 620,700 1,108,360 4,915,040 7,074,880 2008-07-16 $3.59 $3.75 65.5% 18.8% 48.5% 56.9% 66.1% 12.5% -10.2% -13.7M 31.1M -4.9M 1.61 5.64 N/A N/A 911,800 1,463,720 4,966,500 7,042,120 2008-07-17 $3.61 $3.75 65.8% 18.9% 48.7% 57.3% 67.1% 13.4% -11.2% -11.0M 5.5M -4.8M 1.89 4.52 N/A N/A 472,060 890,140 5,037,300 6,803,600 2008-07-18 $3.46 $3.75 67.0% 19.2% 49.1% 59.4% 67.6% 11.8% -12.3% -9.5M 273.9M -4.5M 0.91 3.45 N/A N/A 531,280 483,320 5,057,040 6,844,480 2008-07-21 $3.42 $3.75 70.7% 20.3% 48.0% 65.5% 73.0% 13.3% -12.5% -2.6M 53.4M -4.4M 1.11 2.65 N/A N/A 210,420 232,840 3,538,360 4,273,960 2008-07-22 $3.40 $3.75 69.3% 19.9% 47.9% 63.2% 73.1% 13.1% -11.0% -2.7M 62.5M -4.4M 1.44 3.15 N/A N/A 419,100 603,820 3,625,900 4,325,120 2008-07-23 $3.53 $3.63 69.2% 19.8% 50.6% 63.0% 71.8% 13.2% -12.4% -1.8M -34.3M -4.6M 1.52 3.75 N/A N/A 977,480 1,490,700 3,755,100 4,603,520 2008-07-24 $3.94 $3.63 49.8% 14.3% 65.0% 30.5% 51.3% 6.7% -1.0% 3.1M -424.6M -5.2M 0.94 2.71 N/A N/A 1,538,600 1,442,480 4,132,920 5,380,120 2008-07-25 $3.92 $3.75 46.4% 13.3% 62.1% 24.7% 48.2% 5.9% 0.1% 2.6M -372.4M -5.3M 1.40 2.91 N/A N/A 390,940 547,220 4,320,980 5,519,100 2008-07-28 $3.80 $3.75 49.2% 14.1% 62.5% 29.4% 49.1% 6.9% -0.2% -91.6K -231.5M -5.2M 1.39 2.37 N/A N/A 483,220 672,740 4,353,440 5,595,340 2008-07-29 $3.91 $3.75 44.4% 12.7% 62.9% 21.4% 47.7% 7.5% 0.8% 2.8M -365.4M -5.3M 1.23 2.92 N/A N/A 400,700 492,240 4,470,600 5,654,800 2008-07-30 $3.91 $3.75 44.0% 12.6% 62.9% 20.7% 46.5% 7.2% 1.5% 2.8M -370.2M -5.3M 1.18 2.98 N/A N/A 469,760 554,660 4,513,840 5,697,580 2008-07-31 $3.82 $3.75 47.9% 13.7% 62.5% 27.2% 46.7% 6.9% -0.3% 848.8K -265.0M -5.3M 1.05 2.00 N/A N/A 401,260 421,000 4,582,960 5,831,960
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