AMZN Options History — January 2009 In January 2009, AMZN traded between $2.42 and $2.94. ATM implied volatility averaged 72.1%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 10.1% (HV 20d: 62.0%). Max pain ranged from $2.50 to $2.75. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.34.
Notable Days 2009-01-30 : Highest Volume — 3,685,280 contracts2009-01-30 : Largest IV drop — 31.2% change2009-01-20 : Highest IV Rank — 56.0%2009-01-20 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $2.62 $2.42 $2.94 $2.72 $2.94 Max Pain $2.64 $2.50 $2.75 $2.75 $2.50 ATM IV 72.1% 56.0% 85.0% 56.0% 56.6% Expected Move 21.9% 16.1% 24.4% 16.1% 16.2% HV 20d 62.0% 58.1% 84.8% 59.9% 84.8% HV 60d 84.2% 79.5% 91.3% 91.3% 86.6% IV Rank 42.3% 25.2% 56.0% 25.2% 25.8% IV Percentile 71.8% 56.0% 84.5% 56.0% 56.0% Term Structure -4.5% -9.7% 13.1% 13.1% 3.4% VWIV 76.9% 58.0% 84.3% 58.0% 60.3% Skew 25d 12.7% 7.2% 16.1% 7.2% 10.1% Skew 10d 24.4% 14.3% 31.6% 14.3% 18.8% Call IV 25d 69.3% 53.3% 77.0% 54.0% 53.3% Put IV 25d 82.0% 61.3% 90.9% 61.3% 63.3% Bid-Ask Spread % 2.81 2.04 3.90 2.15 2.51 Gamma HHI 0.12 0.08 0.17 0.12 0.12 Net GEX -61.1K -3.6M 4.4M 687.8K 4.4M Net DEX 8.4M -309.6M 238.1M 25.2M -309.6M Net VEX -2.6M -3.1M -2.5M -2.5M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 0.61 4.15 1.06 1.40 Total Volume 1,073,960 337,720 3,685,280 711,700 3,685,280 Total OI 9,290,774 5,888,520 12,246,100 10,568,360 7,975,300
Daily Data (20 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 2009-01-02 $2.72 $2.75 56.0% 16.1% 59.9% 25.2% 58.0% 7.2% 13.1% 687.8K 25.2M -2.5M 1.06 2.15 N/A N/A 344,700 367,000 5,294,860 5,273,500 2009-01-05 $2.70 $2.50 62.8% 20.4% 58.5% 32.4% 73.1% 12.9% -4.5% 577.5K 38.8M -2.5M 4.15 3.34 N/A N/A 121,140 502,620 5,345,260 5,335,560 2009-01-06 $2.87 $2.50 67.7% 21.4% 61.3% 37.6% 74.3% 12.5% -5.2% 1.5M -111.9M -2.5M 1.07 3.14 N/A N/A 705,080 751,700 5,355,300 5,476,920 2009-01-07 $2.81 $2.75 67.2% 22.2% 58.5% 37.1% 79.5% 13.7% -6.5% 159.7K -47.1M -2.6M 2.02 2.97 N/A N/A 274,420 554,160 5,396,700 5,614,040 2009-01-08 $2.86 $2.75 63.3% 21.8% 58.6% 33.0% 73.5% 13.5% -5.8% 983.2K -91.1M -2.6M 0.61 3.90 N/A N/A 777,500 472,340 5,488,280 5,716,340 2009-01-09 $2.78 $2.75 58.3% 22.1% 58.5% 27.6% 78.0% 11.9% -6.6% 1.3M -53.2M -2.8M 1.07 2.54 N/A N/A 359,460 384,120 5,995,280 5,697,800 2009-01-12 $2.60 $2.75 75.0% 23.4% 62.8% 45.4% 79.4% 12.2% -7.2% -1.3M 98.4M -2.5M 0.93 3.07 N/A N/A 639,760 597,080 6,061,560 5,733,720 2009-01-13 $2.57 $2.75 66.7% 22.6% 59.2% 36.5% 79.5% 13.4% -6.1% -2.1M 113.7M -2.5M 1.14 2.04 N/A N/A 583,500 663,760 6,093,100 5,749,520 2009-01-14 $2.42 $2.75 71.1% 23.8% 60.6% 41.2% 82.1% 12.8% -7.6% -3.6M 238.1M -2.5M 1.26 3.16 N/A N/A 488,040 614,320 6,194,120 5,934,240 2009-01-15 $2.57 $2.75 79.5% 22.8% 58.2% 50.1% 80.8% 12.8% -5.5% -1.2M 44.0M -2.7M 1.58 2.93 N/A N/A 502,940 796,220 6,259,560 5,872,480 2009-01-16 $2.58 $2.75 75.8% 21.7% 58.1% 46.1% 75.4% 12.2% -3.3% -378.1K 18.3M -2.6M 1.60 2.98 N/A N/A 322,540 516,860 6,271,220 5,974,880 2009-01-20 $2.42 $2.75 85.0% 24.4% 61.8% 56.0% 84.1% 13.9% -4.8% -486.7K 41.2M -2.5M 1.62 2.93 N/A N/A 219,300 354,940 2,861,780 3,026,740 2009-01-21 $2.53 $2.75 78.1% 22.4% 63.8% 48.6% 76.9% 13.0% -2.8% -217.6K 14.3M -2.6M 0.94 2.32 N/A N/A 174,300 163,420 2,933,860 3,192,200 2009-01-22 $2.50 $2.50 79.8% 22.9% 62.8% 50.4% 80.1% 12.7% -4.4% -310.7K 22.7M -2.6M 1.14 2.28 N/A N/A 350,660 398,340 2,948,160 3,219,500 2009-01-23 $2.53 $2.50 78.6% 22.5% 62.4% 49.2% 79.7% 12.1% -4.2% -90.5K 4.7M -2.7M 1.15 2.99 N/A N/A 219,540 252,880 3,066,580 3,319,380 2009-01-26 $2.48 $2.50 80.1% 23.0% 62.7% 50.8% 80.2% 12.4% -6.3% -450.2K 31.3M -2.6M 0.78 2.86 N/A N/A 300,040 233,680 3,143,060 3,399,500 2009-01-27 $2.42 $2.50 81.2% 23.3% 63.1% 52.0% 79.6% 12.9% -8.0% -730.0K 58.6M -2.5M 1.05 2.76 N/A N/A 283,960 298,240 3,247,300 3,446,220 2009-01-28 $2.52 $2.50 77.0% 22.1% 62.5% 47.4% 78.6% 16.1% -7.0% -50.3K 18.0M -2.6M 0.89 2.93 N/A N/A 598,680 532,200 3,313,000 3,481,600 2009-01-29 $2.50 $2.50 82.3% 23.6% 61.8% 53.1% 84.3% 16.0% -9.7% 29.3K 13.9M -2.6M 1.37 2.48 N/A N/A 876,160 1,198,320 3,505,040 3,602,020 2009-01-30 $2.94 $2.50 56.6% 16.2% 84.8% 25.8% 60.3% 10.1% 3.4% 4.4M -309.6M -3.1M 1.40 2.51 N/A N/A 1,533,920 2,151,360 3,760,580 4,214,720
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