AMZN Options History — December 2008 In December 2008, AMZN traded between $2.02 and $2.66. ATM implied volatility averaged 82.9%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 3.0% (HV 20d: 85.8%). Max pain ranged from $2.13 to $3.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.34.
Notable Days 2008-12-04 : Highest Volume — 1,241,860 contracts2008-12-03 : Largest IV drop — 11.3% change2008-12-02 : Highest IV Rank — 83.7%2008-12-02 : Largest Expected Move — 31.9%Monthly Statistics Metric Avg Min Max Open Close Price $2.47 $2.02 $2.66 $2.02 $2.56 Max Pain $2.77 $2.13 $3.00 $2.13 $2.75 ATM IV 82.9% 61.8% 111.1% 104.4% 61.8% Expected Move 23.4% 17.7% 31.9% 29.9% 17.7% HV 20d 85.8% 64.7% 109.1% 103.6% 64.7% HV 60d 98.5% 92.6% 102.1% 98.6% 93.0% IV Rank 53.7% 31.4% 83.7% 76.6% 31.4% IV Percentile 82.0% 60.7% 99.2% 97.2% 60.7% Term Structure 2.4% -11.1% 12.7% -2.7% 12.1% VWIV 82.4% 61.1% 112.0% 103.8% 61.1% Skew 25d 15.7% 8.3% 22.8% 20.0% 8.3% Skew 10d 32.7% 15.6% 51.6% 45.6% 15.6% Call IV 25d 73.7% 56.8% 98.3% 94.3% 56.8% Put IV 25d 89.4% 65.1% 120.5% 114.3% 65.1% Bid-Ask Spread % 3.40 1.22 6.67 6.03 1.22 Gamma HHI 0.10 0.09 0.14 0.14 0.10 Net GEX -961.6K -2.2M 651.9K -2.2M -775.7K Net DEX 136.8M -49.0M 365.8M 365.8M 135.5M Net VEX -2.8M -3.2M -2.3M -2.3M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 0.73 2.33 1.98 1.28 Total Volume 670,001.818 119,300 1,241,860 481,600 457,940 Total OI 11,069,810.909 10,037,260 12,051,980 10,575,800 10,496,440
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 2008-12-01 $2.02 $2.13 104.4% 29.9% 103.6% 76.6% 103.8% 20.0% -2.7% -2.2M 365.8M -2.3M 1.98 6.03 N/A N/A 161,720 319,880 5,078,020 5,497,780 2008-12-02 $2.06 $2.13 111.1% 31.9% 104.2% 83.7% 112.0% 22.2% -11.1% -2.1M 348.9M -2.3M 0.81 6.67 N/A N/A 510,480 414,980 5,133,920 5,538,160 2008-12-03 $2.26 $2.25 98.6% 28.3% 109.1% 70.4% 102.3% 22.8% -6.2% -2.1M 270.4M -2.5M 1.03 4.68 N/A N/A 469,660 484,620 5,057,340 5,610,000 2008-12-04 $2.37 $2.25 95.4% 27.3% 103.6% 67.0% 97.6% 18.8% -4.7% -1.7M 204.8M -2.7M 1.56 5.87 N/A N/A 484,320 757,540 5,105,620 5,683,240 2008-12-05 $2.41 $3.00 96.1% 26.3% 98.0% 67.7% 94.4% 20.1% -4.2% -1.6M 188.8M -2.8M 1.49 4.83 N/A N/A 337,700 503,560 5,179,560 5,818,160 2008-12-08 $2.57 $3.00 100.0% 25.9% 99.5% 71.9% 87.8% 18.9% -2.3% -619.1K 66.1M -2.9M 0.73 4.29 N/A N/A 536,000 393,780 5,245,560 5,866,260 2008-12-09 $2.56 $3.00 96.9% 25.7% 99.3% 68.6% 87.8% 16.1% -2.7% -396.8K 35.2M -3.2M 1.00 3.86 N/A N/A 585,280 582,720 5,550,480 5,945,820 2008-12-10 $2.48 $3.00 91.8% 25.2% 98.5% 63.2% 90.9% 19.0% -1.2% -997.1K 102.0M -3.2M 2.17 3.98 N/A N/A 167,500 363,280 5,752,960 6,063,280 2008-12-11 $2.41 $3.00 88.6% 25.4% 90.3% 59.8% 85.5% 18.8% -2.1% -1.5M 151.5M -3.0M 1.17 3.11 N/A N/A 194,680 226,920 5,730,020 6,027,180 2008-12-12 $2.56 $3.00 84.4% 24.2% 88.7% 55.3% 83.8% 17.3% 1.2% -265.1K 32.2M -3.1M 1.20 2.97 N/A N/A 331,020 397,180 5,775,400 6,048,300 2008-12-15 $2.44 $3.00 86.2% 24.7% 86.1% 57.2% 87.5% 17.8% -0.7% -1.0M 126.6M -2.9M 1.47 3.95 N/A N/A 282,440 414,500 5,810,200 6,004,800 2008-12-16 $2.63 $3.00 78.4% 22.5% 86.3% 48.9% 83.9% 16.5% 2.0% 385.3K -20.3M -3.1M 2.33 2.38 N/A N/A 194,220 452,020 5,825,240 6,033,280 2008-12-17 $2.66 $3.00 77.2% 22.1% 84.5% 47.6% 81.3% 16.2% 2.1% 651.9K -49.0M -3.1M 0.97 3.69 N/A N/A 381,980 369,860 5,849,240 6,064,900 2008-12-18 $2.60 $3.00 78.1% 22.4% 79.5% 48.7% 76.6% 16.2% 1.9% -198.3K 3.5M -2.9M 1.53 2.84 N/A N/A 279,180 427,080 5,856,900 6,152,520 2008-12-19 $2.58 $3.00 70.6% 20.2% 78.8% 40.7% 68.5% 13.7% 5.8% -1.6M 43.1M -2.8M 0.73 2.05 N/A N/A 269,800 197,840 5,857,100 6,194,880 2008-12-22 $2.49 $2.75 69.9% 20.0% 77.7% 39.9% 71.2% 11.7% 10.2% -791.3K 186.1M -2.6M 1.47 2.66 N/A N/A 265,880 390,040 5,009,780 5,027,480 2008-12-23 $2.55 $2.75 67.7% 19.4% 68.1% 37.6% 68.4% 11.6% 11.2% -899.8K 161.2M -2.6M 1.27 2.05 N/A N/A 201,140 255,440 5,055,580 5,135,620 2008-12-24 $2.57 $2.75 66.5% 19.1% 67.8% 36.4% 69.3% 11.0% 12.7% -820.7K 153.1M -2.6M 1.93 2.40 N/A N/A 40,740 78,560 5,113,740 5,192,580 2008-12-26 $2.59 $2.75 67.7% 19.4% 66.8% 37.6% 66.4% 9.4% 9.8% -738.6K 135.8M -2.6M 0.97 1.84 N/A N/A 263,500 255,140 5,107,140 5,182,020 2008-12-29 $2.47 $2.75 66.6% 19.1% 68.4% 36.5% 67.5% 9.3% 10.7% -1.3M 215.8M -2.4M 1.03 1.73 N/A N/A 312,500 322,740 5,178,260 5,246,420 2008-12-30 $2.54 $2.75 64.8% 18.6% 64.8% 34.6% 65.2% 10.0% 11.3% -715.6K 152.4M -2.5M 1.41 1.71 N/A N/A 168,020 236,660 5,229,020 5,205,640 2008-12-31 $2.56 $2.75 61.8% 17.7% 64.7% 31.4% 61.1% 8.3% 12.1% -775.7K 135.5M -2.4M 1.28 1.22 N/A N/A 201,100 256,840 5,243,420 5,253,020
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