AMZN Options History — February 2009 In February 2009, AMZN traded between $3.05 and $3.34. ATM implied volatility averaged 59.0%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 19.9% (HV 20d: 78.9%). Max pain ranged from $2.75 to $3.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.37.
Notable Days 2009-02-02 : Highest Volume — 1,649,660 contracts2009-02-17 : Largest IV spike — 12.5% change2009-02-23 : Highest IV Rank — 33.3%2009-02-23 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.17 $3.05 $3.34 $3.06 $3.24 Max Pain $2.93 $2.75 $3.00 $2.75 $3.00 ATM IV 59.0% 53.2% 63.7% 62.7% 57.0% Expected Move 17.1% 15.5% 18.3% 18.0% 16.3% HV 20d 78.9% 72.4% 85.3% 83.5% 76.6% HV 60d 75.2% 67.6% 86.4% 86.4% 67.6% IV Rank 28.4% 22.2% 33.3% 32.3% 26.2% IV Percentile 56.2% 50.8% 61.9% 60.3% 52.0% Term Structure 1.2% -0.8% 3.1% 1.7% 3.1% VWIV 60.6% 57.7% 63.5% 63.3% 59.2% Skew 25d 10.0% 9.1% 11.2% 9.8% 10.2% Skew 10d 20.0% 18.3% 23.0% 19.3% 21.1% Call IV 25d 54.7% 51.9% 58.1% 57.4% 52.8% Put IV 25d 64.8% 61.5% 67.3% 67.2% 63.0% Bid-Ask Spread % 3.45 2.15 4.62 2.76 3.99 Gamma HHI 0.15 0.11 0.31 0.13 0.12 Net GEX 3.7M 1.8M 8.1M 3.5M 3.6M Net DEX -381.3M -571.6M -219.9M -367.0M -334.8M Net VEX -3.9M -4.3M -3.5M -3.5M -4.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.69 3.01 1.43 1.08 Total Volume 979,800 483,940 1,649,660 1,649,660 1,068,660 Total OI 9,611,002.105 7,394,080 10,796,260 8,955,680 8,497,900
Daily Data (19 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 2009-02-02 $3.06 $2.75 62.7% 18.0% 83.5% 32.3% 63.3% 9.8% 1.7% 3.5M -367.0M -3.5M 1.43 2.76 N/A N/A 679,780 969,880 3,998,180 4,957,500 2009-02-03 $3.18 $2.75 57.1% 16.4% 84.2% 26.4% 59.9% 11.0% 2.4% 4.0M -428.5M -3.9M 1.14 2.15 N/A N/A 598,100 683,940 4,082,380 5,320,760 2009-02-04 $3.05 $2.75 58.8% 16.9% 83.6% 28.1% 59.0% 9.3% 2.7% 1.8M -301.3M -3.8M 1.57 2.43 N/A N/A 394,200 618,340 4,090,260 5,457,000 2009-02-05 $3.16 $2.75 54.2% 15.5% 83.8% 23.3% 59.3% 9.6% 2.9% 3.2M -393.5M -3.9M 1.58 2.69 N/A N/A 297,040 467,860 4,154,680 5,558,340 2009-02-06 $3.33 $2.75 59.1% 17.2% 85.3% 28.4% 60.9% 11.0% -0.2% 5.7M -571.6M -4.0M 1.41 4.62 N/A N/A 507,300 714,600 4,249,440 5,582,300 2009-02-09 $3.34 $3.00 60.1% 17.6% 84.2% 29.5% 61.6% 10.9% -0.8% 4.8M -555.0M -3.9M 1.43 3.13 N/A N/A 415,580 593,100 4,283,460 5,747,540 2009-02-10 $3.17 $3.00 56.5% 17.3% 82.6% 25.7% 62.8% 11.2% -0.2% 2.7M -392.3M -3.9M 1.94 3.27 N/A N/A 463,980 901,660 4,364,680 5,814,200 2009-02-11 $3.22 $3.00 53.2% 17.0% 82.3% 22.2% 60.9% 11.0% 0.1% 3.4M -437.6M -4.0M 0.96 4.49 N/A N/A 507,480 485,940 4,400,240 5,923,020 2009-02-12 $3.20 $3.00 58.4% 16.8% 78.4% 27.8% 60.6% 10.2% 0.6% 4.7M -436.6M -4.0M 1.59 4.53 N/A N/A 355,760 565,500 4,603,340 6,002,440 2009-02-13 $3.16 $3.00 56.6% 16.2% 76.9% 25.8% 57.7% 9.6% 1.3% 4.3M -412.0M -4.0M 1.26 3.85 N/A N/A 214,140 269,800 4,711,200 6,013,280 2009-02-17 $3.08 $3.00 63.7% 18.3% 78.0% 33.3% 62.5% 9.8% -0.0% 2.9M -341.7M -3.9M 0.69 3.78 N/A N/A 535,860 369,060 4,725,420 6,015,920 2009-02-18 $3.12 $3.00 63.3% 18.1% 73.2% 32.9% 61.6% 9.6% -0.7% 3.6M -367.7M -3.8M 0.73 3.42 N/A N/A 410,540 300,320 4,677,180 6,016,200 2009-02-19 $3.10 $3.00 61.5% 17.6% 72.6% 31.0% 59.8% 9.2% 0.5% 2.2M -357.6M -3.8M 1.35 3.13 N/A N/A 262,280 354,860 4,708,760 6,055,760 2009-02-20 $3.19 $3.00 59.8% 17.1% 72.4% 29.2% 61.2% 9.8% 1.3% 8.1M -467.1M -3.9M 1.13 3.53 N/A N/A 387,760 438,520 4,691,220 6,105,040 2009-02-23 $3.09 $3.00 63.7% 18.3% 74.3% 33.3% 63.5% 9.1% 1.6% 2.4M -219.9M -3.7M 3.01 3.72 N/A N/A 261,940 787,320 3,605,080 3,789,000 2009-02-24 $3.28 $3.00 58.8% 16.8% 75.5% 28.1% 60.7% 10.0% 2.0% 3.5M -341.1M -4.0M 1.33 3.19 N/A N/A 472,480 630,520 3,686,920 4,176,620 2009-02-25 $3.19 $3.00 57.0% 16.3% 75.9% 26.2% 58.7% 10.0% 2.7% 2.9M -279.4M -4.1M 1.00 3.81 N/A N/A 467,200 466,820 3,870,960 4,276,880 2009-02-26 $3.12 $3.00 59.8% 17.1% 76.3% 29.2% 58.4% 9.6% 2.3% 2.5M -240.6M -4.1M 1.33 3.07 N/A N/A 298,980 399,100 4,045,540 4,350,400 2009-02-27 $3.24 $3.00 57.0% 16.3% 76.6% 26.2% 59.2% 10.2% 3.1% 3.6M -334.8M -4.3M 1.08 3.99 N/A N/A 514,720 553,940 4,080,500 4,417,400
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