AMZN Options History — July 2009 In July 2009, AMZN traded between $3.78 and $4.69. ATM implied volatility averaged 40.6%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.9% (HV 20d: 39.7%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.14.
Notable Days 2009-07-23 : Highest Volume — 3,838,780 contracts2009-07-16 : Largest IV spike — 23.2% change2009-07-20 : Highest IV Rank — 14.2%2009-07-08 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $4.18 $3.78 $4.69 $4.08 $4.29 Max Pain $4.22 $4.00 $4.50 $4.00 $4.25 ATM IV 40.6% 35.0% 48.5% 37.5% 35.0% Expected Move 12.5% 10.0% 14.8% 10.7% 10.0% HV 20d 39.7% 31.3% 49.5% 31.4% 47.7% HV 60d 37.7% 35.7% 41.0% 36.7% 40.7% IV Rank 5.4% 0.0% 14.2% 1.6% 0.0% IV Percentile 12.6% 0.0% 35.3% 1.6% 0.0% Term Structure -0.5% -4.7% 9.0% 8.6% 3.1% VWIV 44.1% 35.5% 51.0% 37.2% 35.5% Skew 25d 4.6% 1.3% 8.6% 3.4% 1.4% Skew 10d 8.9% 2.6% 15.9% 7.2% 3.6% Call IV 25d 41.8% 35.1% 47.1% 36.0% 35.1% Put IV 25d 46.5% 36.5% 55.2% 39.4% 36.5% Bid-Ask Spread % 3.08 1.98 4.35 2.02 4.17 Gamma HHI 0.18 0.13 0.40 0.17 0.15 Net GEX 3.3M -8.3M 25.2M 6.1M -4.8M Net DEX -414.3M -927.5M -20.5M -416.7M -277.2M Net VEX -5.6M -6.3M -5.1M -5.5M -6.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.73 1.75 1.20 1.06 Total Volume 1,092,526.364 426,580 3,838,780 921,980 426,580 Total OI 10,107,651.818 7,427,280 11,109,460 10,179,420 10,710,340
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 2009-07-01 $4.08 $4.00 37.5% 10.7% 31.4% 1.6% 37.2% 3.4% 8.6% 6.1M -416.7M -5.5M 1.20 2.02 N/A N/A 419,340 502,640 5,194,180 4,985,240 2009-07-02 $3.97 $4.00 38.1% 10.9% 32.7% 2.4% 38.6% 3.4% 9.0% 2.5M -274.5M -5.5M 1.32 1.98 N/A N/A 382,040 502,580 5,280,600 5,003,620 2009-07-06 $3.90 $4.25 39.6% 13.9% 31.3% 4.0% 49.9% 7.5% -3.0% -1.2M -175.4M -5.2M 1.75 3.03 N/A N/A 330,840 577,320 5,256,320 5,068,660 2009-07-07 $3.78 $4.25 42.9% 14.5% 32.6% 7.6% 49.6% 7.8% -3.5% -5.3M -20.5M -5.1M 1.17 3.58 N/A N/A 481,500 563,040 5,297,620 5,158,040 2009-07-08 $3.87 $4.25 43.7% 14.8% 33.8% 8.5% 51.0% 8.6% -3.9% -440.3K -161.5M -5.3M 1.26 2.86 N/A N/A 427,200 536,440 5,342,420 5,041,800 2009-07-09 $3.90 $4.25 38.3% 14.0% 34.3% 2.5% 50.9% 7.3% -2.7% -255.9K -200.9M -5.2M 1.26 2.05 N/A N/A 304,200 383,180 5,358,360 5,152,060 2009-07-10 $3.88 $4.25 35.6% 13.5% 34.2% 0.0% 46.8% 8.1% -1.8% -2.1M -164.0M -5.3M 0.73 3.67 N/A N/A 352,820 259,020 5,444,080 5,246,720 2009-07-13 $4.07 $4.25 43.8% 13.8% 38.6% 9.0% 48.3% 7.3% -2.9% 9.3M -454.1M -5.3M 1.01 2.91 N/A N/A 640,900 650,500 5,480,420 5,223,460 2009-07-14 $4.10 $4.00 38.6% 13.2% 38.5% 3.3% 46.1% 5.9% -2.1% 10.3M -494.0M -5.3M 1.47 3.19 N/A N/A 286,880 422,560 5,574,980 5,355,100 2009-07-15 $4.23 $4.00 37.2% 13.2% 39.9% 1.8% 46.7% 6.2% -2.6% 20.4M -712.3M -5.4M 1.14 2.85 N/A N/A 465,460 529,120 5,601,860 5,384,660 2009-07-16 $4.31 $4.25 45.9% 13.1% 40.3% 11.3% 46.8% 5.4% -2.9% 25.2M -867.1M -5.5M 1.08 3.16 N/A N/A 457,460 491,920 5,635,640 5,473,820 2009-07-17 $4.29 $4.25 45.5% 13.0% 39.9% 10.8% 45.5% 4.8% -2.3% 7.4M -917.5M -5.3M 0.78 3.05 N/A N/A 528,040 409,980 5,556,540 5,422,740 2009-07-20 $4.41 $4.25 48.5% 13.9% 40.6% 14.2% 49.3% 3.8% -3.8% 6.4M -602.0M -5.3M 1.10 2.67 N/A N/A 379,660 418,200 3,905,140 3,522,140 2009-07-21 $4.45 $4.25 48.0% 13.8% 36.1% 13.6% 48.6% 4.1% -4.2% 7.0M -639.9M -5.4M 0.79 2.90 N/A N/A 485,000 382,800 4,065,140 3,680,340 2009-07-22 $4.44 $4.25 44.4% 12.7% 35.0% 9.7% 45.0% 3.7% -1.8% 7.7M -644.6M -5.5M 0.93 3.25 N/A N/A 415,560 387,140 4,271,340 3,832,340 2009-07-23 $4.69 $4.25 47.7% 13.7% 38.9% 13.3% 48.5% 2.5% -4.7% 10.4M -927.5M -5.7M 1.20 2.86 N/A N/A 1,743,720 2,095,060 4,400,660 3,957,980 2009-07-24 $4.32 $4.50 38.0% 10.9% 49.0% 2.6% 38.2% 3.1% 1.6% -3.2M -324.3M -6.1M 1.40 3.09 N/A N/A 1,233,680 1,727,900 4,990,480 5,059,320 2009-07-27 $4.21 $4.25 35.9% 10.3% 49.5% 0.4% 36.6% 3.4% 2.2% -8.3M -123.9M -6.2M 1.08 4.35 N/A N/A 539,100 581,640 5,022,640 5,463,820 2009-07-28 $4.25 $4.25 36.3% 10.4% 49.5% 0.8% 37.4% 1.4% 2.2% -5.4M -213.8M -6.2M 1.20 2.69 N/A N/A 485,760 584,800 5,145,240 5,452,880 2009-07-29 $4.22 $4.25 36.4% 10.4% 49.5% 0.9% 37.1% 1.7% 1.8% -5.6M -182.4M -6.3M 0.77 3.35 N/A N/A 316,480 244,800 5,207,140 5,455,940 2009-07-30 $4.30 $4.25 35.9% 10.3% 49.0% 0.4% 36.5% 1.3% 2.7% -3.2M -321.0M -6.3M 1.29 4.14 N/A N/A 297,620 385,100 5,193,420 5,493,100 2009-07-31 $4.29 $4.25 35.0% 10.0% 47.7% 0.0% 35.5% 1.4% 3.1% -4.8M -277.2M -6.2M 1.06 4.17 N/A N/A 206,840 219,740 5,176,540 5,533,800
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