AMZN Options History — September 2009

In September 2009, AMZN traded between $3.91 and $4.69. ATM implied volatility averaged 36.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 5.2% (HV 20d: 31.0%). Max pain ranged from $4.25 to $4.25. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2009-09-16: Highest Volume — 2,691,700 contracts
2009-09-08: Largest IV spike — 11.7% change
2009-09-24: Highest IV Rank — 9.0%
2009-09-24: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.34	$3.91	$4.69	$3.96	$4.67
Max Pain	$4.25	$4.25	$4.25	$4.25	$4.25
ATM IV	36.2%	30.3%	39.0%	35.6%	38.3%
Expected Move	10.6%	9.6%	11.2%	10.2%	11.0%
HV 20d	31.0%	21.8%	38.6%	24.3%	35.4%
HV 60d	37.2%	36.1%	38.7%	36.1%	36.9%
IV Rank	5.8%	0.0%	9.0%	3.3%	8.3%
IV Percentile	10.8%	0.0%	21.4%	5.6%	19.8%
Term Structure	5.9%	2.6%	9.1%	4.2%	7.5%
VWIV	38.1%	34.4%	41.0%	36.5%	40.1%
Skew 25d	4.8%	2.5%	6.9%	2.9%	4.4%
Skew 10d	10.3%	4.5%	14.3%	5.9%	10.2%
Call IV 25d	35.4%	33.1%	38.0%	35.2%	38.0%
Put IV 25d	40.2%	36.6%	42.5%	38.2%	42.5%
Bid-Ask Spread %	3.23	2.64	4.72	4.04	3.30
Gamma HHI	0.18	0.12	0.40	0.23	0.14
Net GEX	-501.7K	-11.3M	26.8M	-9.8M	4.8M
Net DEX	-396.4M	-810.9M	179.0M	111.8M	-776.4M
Net VEX	-5.1M	-5.3M	-4.9M	-5.0M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.70	3.11	1.51	1.25
Total Volume	873,821.905	424,620	2,691,700	966,560	927,280
Total OI	10,078,754.286	9,344,060	10,987,760	9,469,800	10,324,320

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
2009-09-01	$3.96	$4.25	35.6%	10.2%	24.3%	3.3%	36.5%	2.9%	4.2%	-9.8M	111.8M	-5.0M	1.51	4.04	N/A	N/A	384,500	582,060	4,440,960	5,028,840
2009-09-02	$3.91	$4.25	34.9%	10.0%	24.0%	2.5%	35.7%	2.5%	3.6%	-11.3M	179.0M	-5.0M	1.17	4.72	N/A	N/A	384,500	448,700	4,527,100	5,084,700
2009-09-03	$3.92	$4.25	33.6%	9.6%	24.0%	1.1%	34.4%	2.7%	4.1%	-10.6M	146.0M	-5.0M	0.82	3.34	N/A	N/A	268,520	218,940	4,605,380	5,107,100
2009-09-04	$3.94	$4.25	30.3%	10.4%	23.7%	0.0%	37.8%	5.7%	5.4%	-10.4M	132.1M	-4.9M	1.53	2.84	N/A	N/A	316,160	484,240	4,678,880	5,147,020
2009-09-08	$4.04	$4.25	33.9%	10.8%	25.8%	3.7%	38.6%	5.5%	4.3%	-8.8M	-9.1M	-5.0M	0.96	3.56	N/A	N/A	260,280	248,960	4,689,060	5,276,440
2009-09-09	$4.11	$4.25	34.0%	10.9%	26.4%	3.8%	38.5%	5.5%	4.1%	-6.7M	-112.6M	-5.0M	1.30	3.42	N/A	N/A	282,840	366,400	4,716,100	5,336,200
2009-09-10	$4.19	$4.25	35.4%	10.1%	25.2%	5.2%	38.2%	6.9%	5.5%	-4.1M	-221.0M	-5.1M	1.05	3.69	N/A	N/A	447,720	468,240	4,734,700	5,375,980
2009-09-11	$4.23	$4.25	34.8%	10.0%	24.8%	4.6%	36.6%	6.0%	6.3%	-3.9M	-267.9M	-5.1M	1.02	2.88	N/A	N/A	345,200	353,260	4,837,480	5,503,800
2009-09-14	$4.19	$4.25	35.7%	10.2%	24.6%	5.6%	36.6%	6.3%	5.3%	-6.3M	-204.2M	-5.0M	1.04	2.93	N/A	N/A	208,560	216,060	4,874,100	5,569,700
2009-09-15	$4.18	$4.25	35.1%	10.1%	21.8%	5.0%	38.0%	6.7%	5.5%	-6.1M	-183.3M	-5.0M	1.55	3.26	N/A	N/A	244,000	377,940	4,895,480	5,547,360
2009-09-16	$4.54	$4.25	38.7%	11.1%	35.9%	8.7%	39.5%	5.2%	2.6%	7.4M	-782.0M	-5.0M	0.73	2.71	N/A	N/A	1,556,300	1,135,400	4,917,100	5,625,780
2009-09-17	$4.52	$4.25	37.4%	10.7%	35.9%	7.3%	38.2%	5.4%	4.7%	12.5M	-759.8M	-5.1M	0.84	3.15	N/A	N/A	693,840	583,360	5,082,560	5,727,880
2009-09-18	$4.51	$4.25	36.1%	10.3%	35.8%	6.0%	37.3%	4.8%	5.8%	26.8M	-756.6M	-5.1M	0.91	2.68	N/A	N/A	451,100	409,880	5,136,820	5,850,940
2009-09-21	$4.53	$4.25	37.1%	10.6%	35.7%	7.0%	38.7%	5.1%	8.1%	1.6M	-616.2M	-5.1M	1.79	2.64	N/A	N/A	213,240	382,280	4,368,160	4,975,900
2009-09-22	$4.69	$4.25	38.1%	10.9%	37.2%	8.1%	39.5%	4.7%	7.4%	4.3M	-810.9M	-5.1M	0.70	3.12	N/A	N/A	1,005,680	703,660	4,409,120	5,093,440
2009-09-23	$4.62	$4.25	38.9%	11.1%	37.8%	8.8%	38.5%	4.4%	7.1%	2.3M	-707.5M	-5.3M	0.95	3.44	N/A	N/A	306,080	291,460	4,573,980	5,273,760
2009-09-24	$4.61	$4.25	39.0%	11.2%	37.8%	9.0%	39.4%	4.1%	6.8%	2.1M	-693.8M	-5.3M	1.25	3.15	N/A	N/A	245,460	306,940	4,639,800	5,345,820
2009-09-25	$4.53	$4.25	37.9%	10.9%	38.6%	7.9%	41.0%	3.5%	8.0%	163.1K	-586.1M	-5.3M	3.11	3.25	N/A	N/A	247,620	769,960	4,652,120	5,374,380
2009-09-28	$4.61	$4.25	37.6%	10.8%	38.0%	7.5%	38.1%	4.3%	8.5%	2.8M	-707.3M	-5.3M	1.41	2.67	N/A	N/A	241,100	340,540	4,687,380	5,400,600
2009-09-29	$4.59	$4.25	37.5%	10.7%	37.2%	7.4%	38.1%	3.6%	9.1%	2.8M	-698.3M	-5.1M	1.56	2.97	N/A	N/A	246,920	385,080	4,737,460	5,480,140
2009-09-30	$4.67	$4.25	38.3%	11.0%	35.4%	8.3%	40.1%	4.4%	7.5%	4.8M	-776.4M	-5.3M	1.25	3.30	N/A	N/A	412,420	514,860	4,813,660	5,510,660