AMZN Options History — August 2008 In August 2008, AMZN traded between $3.79 and $4.40. ATM implied volatility averaged 44.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 12.9% (HV 20d: 57.3%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.24.
Notable Days 2008-08-11 : Highest Volume — 3,184,600 contracts2008-08-11 : Largest IV spike — 31.8% change2008-08-11 : Highest IV Rank — 41.6%2008-08-11 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $4.11 $3.79 $4.40 $3.79 $4.04 Max Pain $3.93 $3.75 $4.00 $3.75 $4.00 ATM IV 44.5% 39.3% 56.5% 46.1% 41.2% Expected Move 12.7% 11.3% 14.5% 13.2% 11.8% HV 20d 57.3% 47.6% 64.8% 62.6% 49.2% HV 60d 50.5% 48.2% 52.7% 48.2% 51.2% IV Rank 21.3% 12.0% 41.6% 24.2% 15.2% IV Percentile 52.4% 27.4% 81.3% 61.5% 38.5% Term Structure 2.8% 0.5% 5.0% 1.8% 4.7% VWIV 45.1% 40.6% 51.2% 46.6% 41.6% Skew 25d 4.0% 1.8% 8.0% 6.0% 2.0% Skew 10d 7.7% 3.2% 14.7% 12.2% 3.7% Call IV 25d 42.7% 38.8% 49.0% 42.9% 40.7% Put IV 25d 46.7% 42.0% 52.8% 48.9% 42.8% Bid-Ask Spread % 4.04 2.59 6.22 2.75 2.91 Gamma HHI 0.10 0.09 0.13 0.09 0.11 Net GEX 1.8M -4.2M 11.0M 791.0K -4.2M Net DEX -512.4M -1.04B -235.5M -244.1M -287.9M Net VEX -5.8M -6.1M -5.3M -5.5M -5.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.55 2.29 1.30 1.00 Total Volume 734,901.905 276,740 3,184,600 820,640 404,320 Total OI 11,252,974.286 10,481,120 13,075,920 10,628,800 11,062,200
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 2008-08-01 $3.79 $3.75 46.1% 13.2% 62.6% 24.2% 46.6% 6.0% 1.8% 791.0K -244.1M -5.5M 1.30 2.75 N/A N/A 356,900 463,740 4,722,260 5,906,540 2008-08-04 $3.79 $3.75 50.3% 14.1% 62.6% 31.2% 50.4% 8.0% 1.2% 775.1K -235.5M -5.4M 1.35 2.98 N/A N/A 289,520 389,520 4,750,300 5,941,080 2008-08-05 $3.96 $3.75 45.8% 13.1% 63.3% 23.7% 47.1% 7.4% 1.5% 5.4M -442.8M -5.5M 1.50 5.41 N/A N/A 239,640 359,500 4,784,600 6,031,540 2008-08-06 $3.90 $3.75 42.6% 12.8% 59.1% 18.3% 46.8% 6.7% 1.5% 3.8M -374.4M -5.4M 1.31 3.90 N/A N/A 296,780 389,620 4,826,100 6,140,720 2008-08-07 $3.85 $3.75 43.4% 13.1% 59.5% 19.7% 44.5% 6.0% 1.2% 2.6M -300.3M -5.3M 1.51 3.99 N/A N/A 207,860 313,880 4,821,100 6,154,040 2008-08-08 $4.03 $3.75 42.9% 12.8% 59.7% 18.8% 47.5% 5.7% 1.2% 9.0M -542.9M -5.4M 2.29 4.53 N/A N/A 509,560 1,169,120 4,856,580 6,169,340 2008-08-11 $4.40 $4.00 56.5% 14.5% 64.3% 41.6% 51.2% 3.5% 0.5% 11.0M -1.04B -5.7M 1.33 4.02 N/A N/A 1,368,920 1,815,680 5,004,400 6,871,880 2008-08-12 $4.36 $4.00 49.7% 14.0% 64.8% 30.3% 49.3% 4.0% 1.7% 7.3M -918.3M -6.1M 1.34 6.07 N/A N/A 313,140 420,880 5,273,960 7,450,300 2008-08-13 $4.33 $4.00 46.3% 13.8% 61.6% 24.5% 48.5% 3.6% 1.9% 7.4M -886.1M -6.0M 1.40 5.87 N/A N/A 410,500 573,820 5,262,940 7,478,060 2008-08-14 $4.40 $4.00 45.9% 13.1% 61.6% 23.8% 46.5% 4.3% 2.4% 7.1M -972.4M -6.0M 0.88 5.81 N/A N/A 460,580 404,140 5,258,640 7,573,440 2008-08-15 $4.32 $4.00 44.0% 12.6% 59.5% 20.7% 44.7% 4.1% 2.3% 2.0M -890.9M -6.1M 0.89 6.22 N/A N/A 419,080 371,060 5,346,160 7,729,760 2008-08-18 $4.16 $4.00 43.6% 12.5% 61.7% 20.0% 45.0% 3.5% 2.7% -1.0M -424.5M -6.1M 2.07 3.65 N/A N/A 185,280 382,960 4,437,240 6,043,880 2008-08-19 $4.06 $4.00 44.2% 12.7% 62.5% 21.0% 44.2% 1.8% 3.4% -3.5M -311.2M -6.0M 1.49 3.07 N/A N/A 189,940 282,900 4,455,200 6,145,120 2008-08-20 $4.11 $4.00 43.0% 12.3% 61.6% 19.1% 43.0% 2.2% 4.2% -2.9M -358.4M -6.1M 1.17 4.40 N/A N/A 153,340 179,540 4,475,940 6,186,800 2008-08-21 $4.16 $4.00 42.0% 12.1% 48.5% 17.4% 42.6% 2.6% 4.4% -1.3M -435.4M -6.0M 0.55 3.82 N/A N/A 221,580 121,120 4,499,880 6,195,300 2008-08-22 $4.26 $4.00 41.0% 11.7% 48.9% 15.6% 41.1% 2.7% 4.5% 1.6M -564.7M -6.0M 0.83 3.21 N/A N/A 211,540 174,760 4,561,660 6,207,660 2008-08-25 $4.14 $4.00 42.6% 12.2% 48.8% 18.4% 43.3% 3.2% 3.5% -1.7M -415.2M -5.9M 1.26 3.04 N/A N/A 174,900 219,940 4,580,900 6,271,660 2008-08-26 $4.09 $4.00 42.4% 12.1% 48.3% 17.2% 42.1% 2.5% 4.2% -3.4M -338.9M -5.9M 0.90 2.59 N/A N/A 145,500 131,240 4,577,000 6,321,880 2008-08-27 $4.09 $4.00 40.8% 11.7% 48.3% 14.5% 40.7% 1.9% 5.0% -3.0M -338.8M -5.8M 0.86 3.36 N/A N/A 186,780 159,720 4,614,780 6,345,480 2008-08-28 $4.17 $4.00 39.3% 11.3% 47.6% 12.0% 40.6% 3.1% 4.6% -920.8K -438.8M -5.7M 0.84 3.24 N/A N/A 197,440 166,700 4,616,480 6,359,660 2008-08-29 $4.04 $4.00 41.2% 11.8% 49.2% 15.2% 41.6% 2.0% 4.7% -4.2M -287.9M -5.7M 1.00 2.91 N/A N/A 202,200 202,120 4,691,580 6,370,620
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