AMZN Options History — October 2008 In October 2008, AMZN traded between $2.44 and $3.48. ATM implied volatility averaged 91.1%, placing in the 73.2% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded below realized volatility by 14.4% (HV 20d: 105.4%). Max pain ranged from $2.75 to $3.75. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.43.
Notable Days 2008-10-22 : Highest Volume — 2,766,560 contracts2008-10-15 : Largest IV spike — 29.1% change2008-10-08 : Highest IV Rank — 100.0%2008-10-16 : Largest Expected Move — 31.0%Monthly Statistics Metric Avg Min Max Open Close Price $2.82 $2.44 $3.48 $3.48 $2.86 Max Pain $3.17 $2.75 $3.75 $3.75 $2.75 ATM IV 91.1% 69.6% 126.5% 69.6% 78.1% Expected Move 25.6% 20.0% 31.0% 20.0% 22.4% HV 20d 105.4% 91.4% 118.2% 92.4% 104.1% HV 60d 77.2% 68.5% 84.3% 69.3% 83.8% IV Rank 73.2% 48.6% 100.0% 63.4% 48.6% IV Percentile 96.5% 89.3% 100.0% 94.8% 89.3% Term Structure -9.8% -23.3% 1.9% 1.1% 1.4% VWIV 90.0% 70.0% 110.8% 70.0% 79.0% Skew 25d 20.1% 9.2% 30.7% 9.2% 17.0% Skew 10d 40.5% 18.7% 62.2% 18.7% 35.9% Call IV 25d 78.9% 64.1% 91.9% 64.1% 68.2% Put IV 25d 99.0% 73.4% 122.3% 73.4% 85.2% Bid-Ask Spread % 7.06 4.12 12.27 4.81 6.95 Gamma HHI 0.12 0.08 0.33 0.13 0.11 Net GEX -4.1M -8.2M 2.3M -7.9M 2.3M Net DEX 384.8M 10.9M 786.3M 186.8M 10.9M Net VEX -3.7M -4.8M -2.7M -4.8M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.58 2.00 1.31 1.58 Total Volume 1,290,258.261 385,480 2,766,560 747,180 385,480 Total OI 11,053,185.217 8,509,780 12,115,320 10,923,060 11,763,800
Daily Data (23 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 2008-10-01 $3.48 $3.75 69.6% 20.0% 92.4% 63.4% 70.0% 9.2% 1.1% -7.9M 186.8M -4.8M 1.31 4.81 N/A N/A 322,840 424,340 4,934,220 5,988,840 2008-10-02 $3.37 $3.75 77.5% 22.2% 92.4% 76.7% 77.1% 12.1% 1.9% -8.1M 267.8M -4.8M 1.16 5.88 N/A N/A 560,660 652,500 4,981,480 6,082,240 2008-10-03 $3.35 $3.75 73.2% 21.0% 92.0% 69.4% 73.1% 12.1% 1.9% -7.8M 286.1M -4.7M 1.17 7.68 N/A N/A 249,160 291,840 5,169,820 6,023,520 2008-10-06 $3.26 $3.50 83.6% 23.9% 91.4% 87.0% 87.2% 16.0% -14.9% -8.2M 374.8M -4.4M 1.83 7.99 N/A N/A 531,800 974,440 5,111,300 6,030,420 2008-10-07 $2.93 $3.38 90.4% 25.5% 97.7% 98.6% 90.0% 17.3% -15.3% -7.3M 611.5M -3.8M 2.00 6.71 N/A N/A 560,680 1,121,720 5,221,240 6,104,160 2008-10-08 $3.05 $3.38 94.7% 27.4% 99.5% 100.0% 98.0% 21.0% -17.3% -7.6M 474.3M -4.2M 1.88 12.27 N/A N/A 459,100 862,760 5,298,560 6,130,980 2008-10-09 $2.80 $3.38 109.0% 29.9% 101.2% 100.0% 101.7% 23.7% -20.1% -6.5M 596.2M -3.8M 1.23 10.92 N/A N/A 445,140 548,520 5,349,300 6,199,100 2008-10-10 $2.81 $3.38 108.3% 28.6% 101.5% 99.1% 100.2% 24.6% -19.0% -6.5M 616.8M -3.7M 1.35 11.62 N/A N/A 637,360 860,100 5,376,500 6,175,320 2008-10-13 $3.10 $3.25 86.5% 23.9% 109.3% 70.7% 95.5% 24.0% -11.5% -7.8M 479.7M -3.9M 1.41 8.05 N/A N/A 358,020 506,200 5,477,820 6,293,680 2008-10-14 $2.79 $3.25 97.9% 26.8% 113.6% 85.6% 90.8% 24.3% -18.5% -7.5M 681.4M -3.3M 1.97 4.12 N/A N/A 460,480 908,040 5,504,460 6,288,640 2008-10-15 $2.44 $3.25 126.5% 30.8% 118.2% 100.0% 101.5% 27.2% -22.1% -5.9M 786.3M -2.7M 1.48 4.46 N/A N/A 760,600 1,128,540 5,601,360 6,180,920 2008-10-16 $2.51 $3.13 108.0% 31.0% 115.4% 80.4% 110.8% 30.7% -23.3% -6.8M 748.7M -2.8M 1.92 5.40 N/A N/A 644,140 1,234,600 5,695,280 6,216,740 2008-10-17 $2.53 $3.13 105.2% 30.2% 112.3% 77.4% 100.6% 26.2% -19.0% -6.8M 692.9M -2.9M 0.90 6.67 N/A N/A 750,140 674,460 5,784,620 6,330,700 2008-10-20 $2.65 $3.13 89.1% 25.6% 112.8% 60.4% 89.0% 25.3% -8.8% -2.1M 324.7M -3.0M 0.93 4.33 N/A N/A 416,720 387,840 4,083,720 4,426,060 2008-10-21 $2.51 $3.00 94.2% 27.0% 113.2% 65.8% 91.8% 17.7% -11.5% -2.1M 361.7M -2.7M 0.58 6.12 N/A N/A 597,240 346,760 4,266,400 4,530,960 2008-10-22 $2.50 $3.00 96.2% 27.6% 113.2% 67.9% 94.3% 18.0% -10.5% -2.0M 358.1M -2.8M 0.66 7.85 N/A N/A 1,665,720 1,100,840 4,301,920 4,625,980 2008-10-23 $2.52 $3.00 81.1% 23.3% 112.2% 51.9% 84.1% 20.0% -3.2% -198.5K 313.7M -3.2M 1.32 9.16 N/A N/A 1,057,680 1,398,740 5,373,920 5,143,760 2008-10-24 $2.45 $2.75 86.6% 24.8% 112.3% 57.7% 89.9% 18.6% -3.4% 26.8K 291.9M -3.3M 1.71 7.54 N/A N/A 482,720 826,060 5,721,320 5,337,980 2008-10-27 $2.48 $2.75 88.5% 25.4% 107.4% 59.7% 89.0% 19.3% -4.7% -369.9K 288.6M -3.3M 1.88 4.75 N/A N/A 318,340 599,960 5,598,960 5,439,280 2008-10-28 $2.80 $2.75 81.7% 23.4% 104.5% 52.5% 88.3% 20.5% -3.1% 1.9M 54.4M -3.9M 1.71 7.09 N/A N/A 422,600 724,180 5,630,680 5,551,160 2008-10-29 $2.84 $2.75 85.2% 24.4% 104.3% 56.2% 85.6% 20.3% -3.5% 1.9M 22.6M -4.0M 1.55 7.09 N/A N/A 434,180 673,780 5,676,520 5,633,180 2008-10-30 $2.84 $2.75 83.9% 24.1% 103.9% 54.8% 81.9% 18.3% -1.3% 1.8M 19.8M -4.1M 1.26 4.94 N/A N/A 401,600 507,320 5,760,940 5,805,500 2008-10-31 $2.86 $2.75 78.1% 22.4% 104.1% 48.6% 79.0% 17.0% 1.4% 2.3M 10.9M -4.1M 1.58 6.95 N/A N/A 149,140 236,340 5,883,860 5,879,940
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