AMZN Options History — September 2008 In September 2008, AMZN traded between $3.17 and $4.07. ATM implied volatility averaged 53.7%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 1.3% (HV 20d: 52.4%). 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 20 of 21 days. Put/call ratio averaged 1.28.
Notable Days 2008-09-17 : Highest Volume — 1,779,040 contracts2008-09-29 : Largest IV spike — 31.6% change2008-09-29 : Highest IV Rank — 81.7%2008-09-29 : Largest Expected Move — 23.1%Monthly Statistics Metric Avg Min Max Open Close Price $3.80 $3.17 $4.07 $4.07 $3.64 Max Pain $3.94 $3.75 $4.00 $4.00 $3.75 ATM IV 53.7% 41.6% 80.4% 42.7% 66.6% Expected Move 15.5% 12.2% 23.1% 12.2% 19.1% HV 20d 52.4% 33.1% 91.4% 49.2% 91.4% HV 60d 54.5% 50.1% 69.1% 50.3% 69.1% IV Rank 36.4% 15.8% 81.7% 17.7% 58.3% IV Percentile 71.7% 39.3% 98.4% 46.0% 90.5% Term Structure 3.0% -1.1% 6.1% 3.8% 2.0% VWIV 54.5% 42.2% 78.3% 42.2% 68.6% Skew 25d 6.4% 3.4% 17.4% 3.4% 10.0% Skew 10d 12.8% 6.5% 30.8% 6.5% 21.4% Call IV 25d 51.2% 41.1% 70.6% 41.2% 60.9% Put IV 25d 57.7% 44.5% 88.0% 44.5% 70.9% Bid-Ask Spread % 5.79 2.40 15.87 2.40 5.57 Gamma HHI 0.14 0.08 0.24 0.11 0.13 Net GEX -7.8M -24.0M 3.3M -2.6M -6.0M Net DEX -49.0M -431.2M 376.7M -335.9M 35.0M Net VEX -5.2M -5.6M -4.2M -5.6M -4.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.28 0.54 1.91 0.95 1.29 Total Volume 898,397.143 454,660 1,779,040 454,660 1,497,760 Total OI 11,106,365.714 9,369,400 12,240,400 11,149,060 10,557,760
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 2008-09-02 $4.07 $4.00 42.7% 12.2% 49.2% 17.7% 42.2% 3.4% 3.8% -2.6M -335.9M -5.6M 0.95 2.40 N/A N/A 233,320 221,340 4,742,280 6,406,780 2008-09-03 $4.04 $4.00 42.5% 12.2% 46.9% 17.4% 43.0% 3.9% 3.8% -4.8M -272.7M -5.6M 1.15 3.89 N/A N/A 235,500 271,540 4,723,700 6,461,580 2008-09-04 $3.90 $4.00 43.4% 12.5% 48.4% 19.0% 44.8% 3.7% 4.2% -9.3M -89.4M -5.4M 1.55 2.73 N/A N/A 355,620 551,200 4,739,700 6,459,340 2008-09-05 $3.96 $4.00 41.6% 13.5% 48.3% 15.8% 47.9% 4.8% 4.5% -7.5M -164.6M -5.6M 1.16 3.65 N/A N/A 253,500 294,180 4,844,020 6,603,840 2008-09-08 $4.06 $4.00 44.9% 13.6% 46.4% 21.5% 48.2% 4.3% 4.5% -3.4M -314.8M -5.5M 1.10 4.32 N/A N/A 470,440 518,060 4,860,740 6,641,080 2008-09-09 $3.95 $4.00 46.9% 13.9% 33.1% 24.9% 50.3% 3.8% 4.2% -8.5M -146.2M -5.5M 1.28 4.09 N/A N/A 220,380 282,260 4,878,560 6,652,420 2008-09-10 $3.84 $4.00 48.4% 14.2% 34.1% 27.4% 49.1% 4.0% 3.6% -14.5M 39.6M -5.3M 1.48 4.70 N/A N/A 383,260 565,820 4,851,560 6,694,440 2008-09-11 $3.98 $4.00 49.2% 14.1% 37.2% 28.7% 49.9% 5.1% 3.9% -8.8M -159.1M -5.5M 1.91 5.61 N/A N/A 267,640 511,460 4,875,240 6,782,960 2008-09-12 $3.92 $4.00 50.0% 14.3% 36.7% 30.1% 51.0% 5.1% 3.5% -11.7M -75.5M -5.4M 1.00 5.68 N/A N/A 316,260 315,180 4,910,480 6,869,600 2008-09-15 $3.87 $4.00 56.1% 16.1% 36.4% 40.5% 55.5% 5.4% 0.4% -12.0M -36.0M -5.3M 0.54 6.01 N/A N/A 604,480 328,160 4,972,680 6,861,780 2008-09-16 $3.94 $4.00 56.5% 16.2% 35.1% 41.1% 57.2% 6.3% -1.1% -8.5M -151.4M -5.4M 0.66 7.10 N/A N/A 707,640 465,620 5,094,060 6,869,480 2008-09-17 $3.58 $4.00 57.0% 16.3% 47.9% 41.9% 56.6% 7.8% 1.2% -24.0M 376.7M -5.0M 1.82 7.31 N/A N/A 630,500 1,148,540 5,308,840 6,931,560 2008-09-18 $3.83 $4.00 51.6% 14.8% 54.3% 32.8% 52.5% 7.1% 1.4% -14.8M 5.2M -5.1M 1.17 15.87 N/A N/A 664,340 775,600 5,331,600 6,782,680 2008-09-19 $4.05 $4.00 51.9% 14.9% 58.2% 33.3% 52.1% 7.4% 0.0% 3.3M -431.2M -5.3M 0.78 7.59 N/A N/A 562,540 437,320 5,374,640 6,573,500 2008-09-22 $3.75 $4.00 58.8% 16.8% 63.3% 45.0% 58.4% 6.2% 4.6% -2.2M -73.1M -4.9M 1.18 6.60 N/A N/A 320,240 378,960 4,393,780 4,975,620 2008-09-23 $3.59 $4.00 54.5% 15.6% 64.2% 37.7% 54.2% 6.8% 6.1% -4.4M 75.4M -4.7M 0.95 4.35 N/A N/A 409,140 390,120 4,517,720 5,082,560 2008-09-24 $3.50 $3.75 62.7% 18.0% 64.5% 51.7% 62.2% 6.2% 2.4% -3.9M 122.6M -4.6M 1.91 3.11 N/A N/A 287,280 549,740 4,654,840 5,124,740 2008-09-25 $3.60 $3.75 60.7% 17.4% 65.9% 48.3% 61.9% 8.7% 3.6% -4.3M 46.7M -4.8M 1.74 4.44 N/A N/A 276,020 480,680 4,711,720 5,328,000 2008-09-26 $3.54 $3.75 61.1% 17.5% 65.2% 49.0% 61.8% 8.1% 5.4% -7.3M 147.9M -4.8M 1.74 4.85 N/A N/A 214,680 373,360 4,747,660 5,590,540 2008-09-29 $3.17 $3.75 80.4% 23.1% 74.2% 81.7% 78.3% 17.4% 0.9% -7.5M 372.2M -4.2M 1.54 11.66 N/A N/A 432,080 664,580 4,792,580 5,657,020 2008-09-30 $3.64 $3.75 66.6% 19.1% 91.4% 58.3% 68.6% 10.0% 2.0% -6.0M 35.0M -4.9M 1.29 5.57 N/A N/A 652,820 844,940 4,827,120 5,730,640
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