AMZN Options History — August 2009

In August 2009, AMZN traded between $4.05 and $4.37. ATM implied volatility averaged 36.0%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.8% (HV 20d: 37.8%). Max pain ranged from $4.25 to $4.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.21.

Notable Days

2009-08-17: Highest Volume — 1,486,940 contracts
2009-08-13: Largest IV spike — 16.2% change
2009-08-13: Highest IV Rank — 8.7%
2009-08-13: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.20	$4.05	$4.37	$4.37	$4.06
Max Pain	$4.31	$4.25	$4.50	$4.25	$4.25
ATM IV	36.0%	32.5%	41.4%	37.4%	35.1%
Expected Move	10.5%	9.3%	11.9%	10.7%	10.1%
HV 20d	37.8%	23.4%	47.5%	47.5%	23.6%
HV 60d	38.4%	35.8%	40.5%	40.3%	35.8%
IV Rank	2.7%	0.0%	8.7%	2.7%	2.7%
IV Percentile	4.4%	0.0%	19.4%	4.4%	3.6%
Term Structure	3.1%	1.4%	4.7%	2.1%	3.8%
VWIV	37.6%	33.7%	42.7%	37.5%	35.2%
Skew 25d	3.9%	0.3%	6.1%	1.5%	2.9%
Skew 10d	8.1%	1.0%	12.2%	4.5%	6.3%
Call IV 25d	35.7%	32.0%	39.1%	37.2%	34.1%
Put IV 25d	39.6%	36.0%	44.8%	38.7%	37.1%
Bid-Ask Spread %	3.71	2.51	5.73	2.64	2.51
Gamma HHI	0.24	0.14	0.86	0.14	0.22
Net GEX	-20.7M	-193.1M	-1.6M	-1.6M	-8.4M
Net DEX	-134.1M	-408.6M	209.7M	-408.6M	-8.1M
Net VEX	-5.7M	-6.1M	-5.1M	-6.1M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.79	2.28	1.01	1.22
Total Volume	683,480.952	364,660	1,486,940	491,020	554,140
Total OI	10,657,688.571	9,038,240	11,655,480	10,752,600	9,479,700

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
2009-08-03	$4.37	$4.25	37.4%	10.7%	47.5%	2.7%	37.5%	1.5%	2.1%	-1.6M	-408.6M	-6.1M	1.01	2.64	N/A	N/A	244,220	246,800	5,178,640	5,573,960
2009-08-04	$4.29	$4.25	37.5%	10.7%	46.3%	2.7%	38.0%	0.3%	1.5%	-5.9M	-274.0M	-6.1M	0.82	2.73	N/A	N/A	270,640	222,860	5,159,200	5,610,640
2009-08-05	$4.21	$4.25	36.3%	10.4%	46.6%	1.5%	36.9%	2.0%	2.3%	-9.7M	-128.3M	-6.0M	0.93	2.89	N/A	N/A	383,340	354,720	5,175,700	5,641,120
2009-08-06	$4.22	$4.25	35.0%	10.0%	46.6%	0.0%	35.5%	1.9%	3.0%	-10.4M	-141.2M	-6.0M	0.79	3.52	N/A	N/A	291,880	232,000	5,280,560	5,734,260
2009-08-07	$4.27	$4.50	33.3%	10.7%	46.5%	0.0%	37.6%	3.9%	2.4%	-8.8M	-227.8M	-6.0M	1.04	4.73	N/A	N/A	227,360	236,580	5,230,740	5,763,000
2009-08-10	$4.22	$4.50	34.7%	11.1%	43.8%	1.5%	39.5%	4.0%	2.0%	-13.1M	-133.5M	-5.8M	1.16	3.84	N/A	N/A	364,340	420,880	5,224,620	5,763,340
2009-08-11	$4.18	$4.50	35.0%	11.0%	44.0%	1.8%	39.4%	4.1%	2.7%	-14.5M	-72.3M	-5.8M	1.32	3.60	N/A	N/A	213,100	282,060	5,352,580	5,824,820
2009-08-12	$4.30	$4.50	35.6%	11.2%	43.7%	2.5%	40.2%	4.3%	2.9%	-7.0M	-303.1M	-5.9M	1.12	4.51	N/A	N/A	267,720	299,860	5,333,520	5,845,560
2009-08-13	$4.23	$4.50	41.4%	11.9%	43.6%	8.7%	42.7%	5.7%	1.4%	-13.5M	-161.7M	-5.8M	2.28	3.73	N/A	N/A	368,340	838,760	5,336,340	5,870,020
2009-08-14	$4.18	$4.25	39.7%	11.4%	43.8%	6.9%	41.3%	6.1%	2.0%	-21.0M	-13.1M	-5.9M	1.17	3.64	N/A	N/A	329,720	385,940	5,399,260	6,181,560
2009-08-17	$4.05	$4.25	40.8%	11.7%	43.6%	8.0%	41.0%	5.7%	2.8%	-26.1M	209.7M	-5.7M	1.47	4.44	N/A	N/A	602,260	884,680	5,423,000	6,204,940
2009-08-18	$4.11	$4.25	39.2%	11.2%	43.7%	6.4%	38.8%	5.4%	3.3%	-25.3M	91.5M	-5.6M	1.60	5.73	N/A	N/A	306,540	491,520	5,468,160	6,150,820
2009-08-19	$4.15	$4.25	36.0%	10.3%	44.1%	2.9%	37.6%	4.8%	3.2%	-32.2M	55.8M	-5.4M	0.98	3.84	N/A	N/A	392,280	384,100	5,469,360	6,186,120
2009-08-20	$4.20	$4.25	35.3%	10.1%	38.8%	2.1%	36.3%	4.3%	3.7%	-17.8M	-151.7M	-5.4M	1.05	3.14	N/A	N/A	480,620	506,700	5,415,500	5,955,560
2009-08-21	$4.25	$4.25	35.6%	10.2%	26.6%	2.4%	36.5%	4.2%	4.4%	-193.1M	-232.2M	-5.4M	1.39	3.55	N/A	N/A	356,180	495,500	5,493,080	5,941,440
2009-08-24	$4.22	$4.25	35.6%	10.2%	24.9%	2.5%	37.4%	4.8%	4.1%	-4.8M	-221.0M	-5.4M	1.35	3.58	N/A	N/A	278,440	375,360	4,232,900	4,805,340
2009-08-25	$4.21	$4.25	34.7%	10.0%	24.8%	1.6%	36.0%	4.6%	3.9%	-4.9M	-204.6M	-5.4M	1.41	4.67	N/A	N/A	180,160	254,240	4,299,820	4,868,020
2009-08-26	$4.20	$4.25	33.7%	9.7%	24.6%	0.4%	34.7%	4.0%	4.6%	-5.2M	-181.0M	-5.4M	1.11	4.90	N/A	N/A	172,500	192,160	4,341,560	4,908,140
2009-08-27	$4.22	$4.25	32.7%	9.4%	23.4%	0.0%	33.7%	4.1%	4.7%	-4.8M	-206.2M	-5.4M	0.91	2.71	N/A	N/A	232,240	212,120	4,367,600	4,929,220
2009-08-28	$4.14	$4.25	32.5%	9.3%	24.2%	0.0%	34.3%	4.3%	4.3%	-6.5M	-105.8M	-5.3M	1.30	3.05	N/A	N/A	226,220	294,020	4,419,500	4,972,240
2009-08-31	$4.06	$4.25	35.1%	10.1%	23.6%	2.7%	35.2%	2.9%	3.8%	-8.4M	-8.1M	-5.1M	1.22	2.51	N/A	N/A	249,060	305,080	4,467,680	5,012,020