AMZN Options History — June 2009 In June 2009, AMZN traded between $3.88 and $4.38. ATM implied volatility averaged 40.0%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 3.3% (HV 20d: 36.8%). Max pain ranged from $3.75 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2009-06-01 : Highest Volume — 1,752,340 contracts2009-06-26 : Largest IV drop — 10.6% change2009-06-01 : Highest IV Rank — 6.9%2009-06-08 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $4.18 $3.88 $4.38 $4.15 $4.18 Max Pain $3.83 $3.75 $4.00 $4.00 $4.00 ATM IV 40.0% 36.0% 43.3% 42.8% 36.0% Expected Move 11.5% 10.3% 12.5% 12.3% 10.3% HV 20d 36.8% 30.5% 42.2% 41.7% 30.5% HV 60d 39.8% 36.3% 46.9% 46.9% 36.3% IV Rank 3.3% 0.0% 6.9% 6.9% 0.0% IV Percentile 6.7% 0.0% 17.1% 16.3% 0.4% Term Structure 6.4% -0.3% 10.6% -0.3% 8.6% VWIV 41.3% 37.4% 45.1% 45.1% 37.7% Skew 25d 5.7% 4.4% 7.6% 7.6% 4.4% Skew 10d 11.5% 8.6% 15.5% 15.5% 9.2% Call IV 25d 38.2% 35.1% 40.8% 40.8% 35.3% Put IV 25d 43.9% 39.6% 48.4% 48.4% 39.7% Bid-Ask Spread % 3.41 2.36 5.40 4.04 4.16 Gamma HHI 0.16 0.12 0.19 0.15 0.19 Net GEX 9.3M 2.6M 15.1M 12.4M 9.7M Net DEX -648.8M -974.2M -259.3M -720.4M -576.8M Net VEX -5.7M -6.0M -5.3M -5.7M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.89 1.86 1.00 1.43 Total Volume 957,204.545 527,880 1,752,340 1,752,340 920,040 Total OI 9,995,083.636 8,810,560 10,734,220 9,415,200 9,997,740
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 2009-06-01 $4.15 $4.00 42.8% 12.3% 41.7% 6.9% 45.1% 7.6% -0.3% 12.4M -720.4M -5.7M 1.00 4.04 N/A N/A 876,800 875,540 5,134,420 4,280,780 2009-06-02 $4.25 $4.00 42.3% 12.1% 42.2% 6.3% 43.5% 5.9% -0.1% 13.2M -810.1M -5.8M 0.89 5.40 N/A N/A 667,980 595,960 5,220,340 4,461,580 2009-06-03 $4.28 $4.00 41.2% 11.8% 41.4% 5.0% 42.5% 5.4% 1.5% 13.4M -842.1M -6.0M 1.24 2.94 N/A N/A 524,420 651,620 5,284,940 4,675,140 2009-06-04 $4.28 $4.00 41.5% 11.9% 41.4% 5.4% 42.5% 6.3% 0.7% 13.5M -832.4M -6.0M 1.34 3.05 N/A N/A 384,340 513,560 5,296,280 4,644,680 2009-06-05 $4.38 $3.75 39.4% 11.8% 39.8% 2.3% 42.9% 6.2% 6.3% 15.1M -974.2M -6.0M 1.22 4.26 N/A N/A 546,680 664,300 5,312,380 4,714,620 2009-06-08 $4.32 $3.75 43.3% 12.5% 39.6% 6.6% 44.1% 6.7% 5.4% 12.5M -865.1M -6.0M 1.62 3.91 N/A N/A 280,260 453,240 5,317,920 4,859,200 2009-06-09 $4.35 $3.75 40.4% 11.9% 39.6% 3.4% 41.7% 6.1% 6.6% 13.1M -904.3M -5.9M 1.86 3.43 N/A N/A 233,460 433,840 5,306,600 4,910,780 2009-06-10 $4.33 $3.75 38.0% 11.5% 39.5% 0.7% 40.1% 5.2% 7.3% 12.0M -849.3M -5.8M 1.09 2.97 N/A N/A 485,100 528,600 5,341,880 4,965,760 2009-06-11 $4.28 $3.75 39.8% 11.4% 34.5% 2.7% 41.2% 5.6% 7.0% 9.9M -774.9M -6.0M 1.21 3.33 N/A N/A 253,940 307,080 5,403,840 5,100,540 2009-06-12 $4.20 $3.75 39.6% 11.4% 35.6% 2.5% 40.6% 4.7% 7.3% 7.6M -665.9M -5.8M 1.69 3.65 N/A N/A 288,340 486,880 5,377,660 5,083,460 2009-06-15 $4.16 $3.75 40.3% 11.6% 34.8% 3.3% 42.1% 5.2% 6.8% 8.0M -613.5M -5.7M 1.36 4.01 N/A N/A 305,760 416,400 5,456,000 5,031,560 2009-06-16 $4.11 $3.75 41.6% 11.9% 34.1% 4.8% 41.1% 5.2% 6.8% 7.0M -549.2M -5.6M 1.23 3.61 N/A N/A 384,420 474,560 5,452,260 5,040,740 2009-06-17 $4.13 $3.75 41.3% 11.8% 33.2% 4.4% 43.2% 5.8% 6.3% 7.7M -588.0M -5.6M 1.66 3.48 N/A N/A 570,260 946,060 5,497,940 5,074,540 2009-06-18 $4.08 $3.75 41.8% 12.0% 33.7% 4.9% 41.6% 5.5% 6.9% 2.6M -508.5M -5.5M 0.92 3.32 N/A N/A 450,600 414,140 5,539,540 5,165,280 2009-06-19 $4.15 $3.75 38.6% 11.1% 32.3% 1.4% 40.2% 6.8% 8.2% 8.3M -624.5M -5.5M 1.60 3.62 N/A N/A 202,640 325,240 5,590,800 5,143,420 2009-06-22 $3.96 $3.75 40.8% 11.7% 37.0% 3.8% 41.7% 5.6% 10.6% 3.3M -322.4M -5.3M 1.70 2.93 N/A N/A 353,280 600,020 4,585,740 4,224,820 2009-06-23 $3.88 $3.75 40.0% 11.5% 35.5% 2.9% 41.7% 6.3% 10.3% 2.9M -259.3M -5.3M 1.16 2.67 N/A N/A 475,740 550,400 4,766,880 4,292,100 2009-06-24 $3.96 $3.75 38.7% 11.1% 35.7% 1.5% 39.3% 6.2% 9.9% 4.7M -346.1M -5.5M 0.99 2.71 N/A N/A 335,440 333,680 4,911,120 4,457,360 2009-06-25 $4.11 $3.75 40.3% 11.5% 37.8% 3.2% 40.2% 5.9% 8.8% 8.0M -498.5M -5.7M 1.62 2.77 N/A N/A 389,260 630,760 4,959,260 4,507,500 2009-06-26 $4.19 $4.00 36.0% 10.3% 38.3% 0.0% 37.4% 4.5% 9.2% 10.1M -605.3M -5.7M 1.52 2.37 N/A N/A 346,880 525,960 5,058,060 4,653,860 2009-06-29 $4.15 $4.00 37.0% 10.6% 31.4% 1.1% 38.7% 4.4% 7.4% 9.2M -543.2M -5.5M 1.71 2.36 N/A N/A 389,920 665,100 5,087,380 4,705,140 2009-06-30 $4.18 $4.00 36.0% 10.3% 30.5% 0.0% 37.7% 4.4% 8.6% 9.7M -576.8M -5.6M 1.43 4.16 N/A N/A 378,200 541,840 5,149,580 4,848,160
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