AMZN Options History — April 2009 In April 2009, AMZN traded between $3.67 and $4.22. ATM implied volatility averaged 56.8%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 10.0% (HV 20d: 46.8%). Max pain ranged from $3.25 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.09.
Notable Days 2009-04-24 : Highest Volume — 3,277,660 contracts2009-04-09 : Largest IV spike — 28.6% change2009-04-20 : Highest IV Rank — 38.1%2009-04-20 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.93 $3.67 $4.22 $3.67 $4.03 Max Pain $3.85 $3.25 $4.00 $3.25 $4.00 ATM IV 56.8% 43.4% 68.2% 54.5% 43.4% Expected Move 17.2% 12.5% 19.5% 15.6% 12.5% HV 20d 46.8% 36.8% 60.0% 59.1% 38.9% HV 60d 61.0% 50.8% 66.3% 66.3% 50.8% IV Rank 26.0% 11.8% 38.1% 23.5% 11.8% IV Percentile 46.6% 22.6% 69.4% 38.9% 22.6% Term Structure -3.2% -9.4% 14.2% 14.2% 2.7% VWIV 61.0% 43.1% 70.1% 56.7% 43.1% Skew 25d 9.0% 5.3% 11.7% 8.5% 5.6% Skew 10d 18.3% 10.2% 23.4% 17.3% 11.8% Call IV 25d 55.9% 40.7% 65.1% 51.9% 40.7% Put IV 25d 64.9% 46.4% 73.8% 60.4% 46.4% Bid-Ask Spread % 3.96 3.09 4.85 3.09 3.99 Gamma HHI 0.15 0.12 0.20 0.15 0.14 Net GEX 10.6M 3.9M 16.7M 10.9M 5.9M Net DEX -725.6M -1.06B -410.5M -689.3M -469.9M Net VEX -5.4M -5.8M -5.0M -5.4M -5.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.60 1.55 1.01 0.60 Total Volume 1,037,134.286 577,460 3,277,660 854,660 577,460 Total OI 10,157,789.524 6,925,340 11,844,760 10,959,200 9,626,120
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 2009-04-01 $3.67 $3.25 54.5% 15.6% 59.1% 23.5% 56.7% 8.5% 14.2% 10.9M -689.3M -5.4M 1.01 3.09 N/A N/A 425,940 428,720 5,579,880 5,379,320 2009-04-02 $3.82 $3.25 55.1% 15.8% 60.0% 24.2% 55.7% 9.2% 14.0% 13.8M -855.8M -5.5M 1.24 3.27 N/A N/A 440,940 546,440 5,639,940 5,400,160 2009-04-03 $3.91 $3.75 49.2% 18.8% 56.3% 17.9% 66.9% 11.7% -6.9% 14.6M -972.6M -5.6M 1.25 4.60 N/A N/A 327,300 409,060 5,703,660 5,524,680 2009-04-06 $3.90 $3.75 51.0% 19.1% 55.4% 19.9% 70.1% 11.3% -7.3% 14.3M -944.7M -5.6M 1.50 4.31 N/A N/A 264,100 396,900 5,796,540 5,627,400 2009-04-07 $3.78 $3.75 51.2% 19.3% 50.9% 20.1% 68.6% 10.7% -6.8% 12.5M -780.0M -5.4M 1.19 3.80 N/A N/A 273,100 324,980 5,783,960 5,668,140 2009-04-08 $3.85 $3.75 48.4% 18.8% 49.5% 17.1% 65.9% 10.1% -6.1% 15.1M -889.5M -5.4M 0.99 4.11 N/A N/A 380,780 378,560 5,828,320 5,680,660 2009-04-09 $3.99 $3.75 62.3% 17.9% 50.5% 31.8% 63.4% 10.0% -5.3% 16.7M -1.06B -5.5M 0.93 4.76 N/A N/A 427,940 396,780 5,811,520 5,756,320 2009-04-13 $3.95 $4.00 65.2% 18.7% 50.3% 34.9% 67.9% 10.0% -7.7% 16.6M -1.01B -5.4M 1.55 4.09 N/A N/A 261,540 404,280 5,860,460 5,819,580 2009-04-14 $3.86 $4.00 67.5% 19.4% 50.2% 37.4% 66.5% 10.4% -8.4% 15.8M -892.8M -5.3M 1.47 4.72 N/A N/A 240,660 353,320 5,899,420 5,874,440 2009-04-15 $3.74 $4.00 67.3% 19.3% 47.4% 37.1% 68.7% 9.8% -8.6% 13.1M -712.2M -5.1M 0.91 4.19 N/A N/A 720,060 657,140 5,915,940 5,928,820 2009-04-16 $3.86 $4.00 66.0% 18.9% 48.7% 35.8% 66.6% 9.8% -8.2% 13.6M -845.0M -5.0M 1.05 4.33 N/A N/A 457,080 478,060 5,692,360 5,797,740 2009-04-17 $3.90 $3.75 60.9% 17.5% 48.1% 30.4% 62.1% 8.5% -6.5% 10.4M -884.5M -5.0M 0.68 3.81 N/A N/A 462,320 314,280 5,661,280 5,926,760 2009-04-20 $3.88 $3.75 68.2% 19.5% 48.2% 38.1% 69.2% 8.6% -9.4% 5.7M -453.1M -5.0M 0.97 3.84 N/A N/A 556,360 537,740 3,862,040 3,063,300 2009-04-21 $3.94 $4.00 66.3% 19.0% 40.3% 36.1% 68.4% 8.8% -8.8% 5.8M -484.7M -5.2M 1.18 3.67 N/A N/A 310,940 367,680 4,039,340 3,326,920 2009-04-22 $3.96 $4.00 67.3% 19.3% 37.9% 37.1% 68.5% 9.6% -8.1% 5.6M -488.2M -5.3M 1.16 4.85 N/A N/A 461,640 537,360 4,074,600 3,444,500 2009-04-23 $4.03 $4.00 64.7% 18.6% 37.9% 34.4% 65.2% 7.8% -7.4% 5.9M -531.8M -5.3M 1.10 3.90 N/A N/A 1,107,800 1,221,040 4,123,620 3,631,180 2009-04-24 $4.22 $4.00 47.0% 13.5% 40.4% 15.6% 49.1% 9.8% 2.3% 9.3M -709.7M -5.6M 1.16 4.14 N/A N/A 1,516,160 1,761,500 4,517,620 4,139,780 2009-04-27 $4.16 $4.00 47.0% 13.5% 36.8% 15.6% 48.7% 8.0% 1.5% 6.9M -600.4M -5.7M 0.92 3.10 N/A N/A 562,700 517,660 4,676,660 4,467,380 2009-04-28 $4.12 $4.00 46.6% 13.4% 37.2% 15.2% 45.9% 6.6% 1.6% 6.1M -552.2M -5.7M 1.14 3.26 N/A N/A 529,000 604,660 4,726,320 4,512,820 2009-04-29 $3.99 $4.00 43.9% 12.6% 38.9% 12.3% 43.8% 5.3% 2.1% 3.9M -410.5M -5.7M 0.84 3.31 N/A N/A 456,320 383,520 4,915,800 4,608,280 2009-04-30 $4.03 $4.00 43.4% 12.5% 38.9% 11.8% 43.1% 5.6% 2.7% 5.9M -469.9M -5.8M 0.60 3.99 N/A N/A 362,020 215,440 5,006,060 4,620,060
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