AMZN Options History — October 2009 In October 2009, AMZN traded between $4.43 and $6.23. ATM implied volatility averaged 41.4%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 7.9% (HV 20d: 49.3%). Max pain ranged from $4.25 to $5.25. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.13.
Notable Days 2009-10-23 : Highest Volume — 9,665,160 contracts2009-10-15 : Largest IV spike — 31.9% change2009-10-15 : Highest IV Rank — 19.0%2009-10-15 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.06 $4.43 $6.23 $4.55 $5.94 Max Pain $4.66 $4.25 $5.25 $4.50 $5.25 ATM IV 41.4% 33.9% 48.6% 40.5% 41.5% Expected Move 12.8% 11.3% 13.9% 11.6% 11.9% HV 20d 49.3% 27.9% 89.8% 36.6% 89.7% HV 60d 41.2% 30.2% 58.0% 37.1% 58.0% IV Rank 12.2% 3.7% 19.0% 10.6% 12.6% IV Percentile 31.0% 2.4% 48.4% 27.8% 36.5% Term Structure -2.3% -5.9% 8.0% 7.1% 0.7% VWIV 45.6% 40.5% 49.3% 40.9% 43.2% Skew 25d 4.3% 2.6% 5.7% 4.2% 4.7% Skew 10d 9.0% 5.0% 12.2% 8.2% 9.7% Call IV 25d 43.2% 38.6% 46.3% 39.1% 40.2% Put IV 25d 47.5% 42.6% 51.2% 43.4% 44.9% Bid-Ask Spread % 3.31 2.27 4.39 2.80 4.39 Gamma HHI 0.17 0.09 0.64 0.14 0.11 Net GEX 13.2M -2.6M 60.6M 2.0M 8.2M Net DEX -1.20B -2.52B -444.5M -636.0M -1.92B Net VEX -5.6M -7.7M -4.8M -5.4M -7.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.61 1.85 1.30 1.85 Total Volume 1,840,331.818 541,220 9,665,160 892,380 2,104,980 Total OI 10,783,561.818 7,404,080 13,703,060 10,554,460 13,703,060
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 2009-10-01 $4.55 $4.50 40.5% 11.6% 36.6% 10.6% 40.9% 4.2% 7.1% 2.0M -636.0M -5.4M 1.30 2.80 N/A N/A 388,020 504,360 4,923,540 5,630,920 2009-10-02 $4.49 $4.25 39.4% 11.3% 37.4% 9.4% 40.5% 4.0% 8.0% 163.3K -533.5M -5.4M 1.73 3.63 N/A N/A 198,080 343,140 4,987,020 5,615,000 2009-10-05 $4.43 $4.50 39.6% 13.6% 38.0% 9.6% 48.1% 5.7% -3.8% -2.6M -444.5M -5.3M 1.74 3.53 N/A N/A 247,660 430,400 5,002,980 5,651,860 2009-10-06 $4.55 $4.50 40.4% 13.7% 38.0% 10.5% 47.7% 5.3% -4.0% 2.2M -635.9M -5.2M 1.16 2.70 N/A N/A 283,360 328,120 5,026,780 5,658,320 2009-10-07 $4.70 $4.50 38.9% 13.6% 39.1% 8.9% 48.5% 5.4% -4.1% 8.2M -883.9M -5.2M 0.85 3.41 N/A N/A 792,860 673,600 5,064,200 5,687,540 2009-10-08 $4.76 $4.50 36.7% 13.5% 38.9% 6.6% 47.1% 5.3% -3.9% 12.8M -1.02B -5.2M 0.80 3.21 N/A N/A 606,640 484,360 5,271,940 5,883,200 2009-10-09 $4.79 $4.50 33.9% 13.1% 38.9% 3.7% 46.7% 4.9% -3.6% 14.3M -1.06B -5.1M 0.97 3.86 N/A N/A 295,200 287,100 5,273,080 5,896,300 2009-10-12 $4.68 $4.50 38.6% 13.1% 39.9% 8.5% 46.7% 4.2% -4.2% 7.3M -858.7M -5.0M 1.17 3.83 N/A N/A 306,840 358,320 5,241,900 5,916,240 2009-10-13 $4.74 $4.50 35.4% 13.3% 39.8% 5.3% 47.0% 4.8% -4.1% 14.3M -1.01B -5.0M 1.28 4.07 N/A N/A 350,560 448,260 5,231,100 5,907,320 2009-10-14 $4.87 $4.50 36.8% 13.6% 29.3% 6.8% 48.2% 4.2% -5.1% 21.5M -1.22B -5.0M 0.82 3.44 N/A N/A 813,840 664,140 5,284,280 5,989,320 2009-10-15 $4.80 $4.50 48.6% 13.9% 30.0% 19.0% 49.3% 4.7% -5.9% 17.4M -1.07B -5.0M 0.99 3.00 N/A N/A 509,680 503,160 5,192,080 6,028,860 2009-10-16 $4.77 $4.50 47.0% 13.5% 30.2% 18.8% 47.1% 3.8% -4.7% 60.6M -1.09B -5.0M 1.01 3.67 N/A N/A 664,800 669,540 5,294,820 6,066,840 2009-10-19 $4.73 $4.50 44.3% 12.7% 30.4% 15.8% 44.3% 4.1% -3.9% 8.2M -623.0M -4.8M 1.35 2.49 N/A N/A 394,800 533,620 3,763,820 3,640,260 2009-10-20 $4.75 $4.50 44.9% 12.9% 27.9% 16.5% 45.0% 3.4% -3.8% 9.3M -668.2M -4.9M 0.61 2.27 N/A N/A 434,420 263,840 3,926,420 3,777,160 2009-10-21 $4.67 $4.50 45.7% 13.1% 28.0% 17.4% 46.1% 3.5% -4.2% 10.0M -595.1M -5.0M 0.88 3.27 N/A N/A 554,060 486,800 4,082,280 3,644,360 2009-10-22 $4.67 $4.50 46.5% 13.3% 28.0% 18.3% 47.2% 2.6% -5.3% 11.3M -615.4M -5.2M 0.69 3.88 N/A N/A 1,825,580 1,251,640 4,317,460 3,780,820 2009-10-23 $5.92 $4.50 41.3% 11.8% 88.0% 12.5% 43.2% 4.3% -2.2% 24.5M -2.17B -5.0M 0.86 2.63 N/A N/A 5,194,140 4,471,020 5,099,020 4,175,240 2009-10-26 $6.23 $5.25 46.2% 13.2% 88.9% 17.9% 47.6% 4.2% -2.5% 18.5M -2.52B -6.5M 0.84 2.78 N/A N/A 2,963,380 2,485,880 5,966,540 5,873,320 2009-10-27 $6.10 $5.25 41.0% 11.8% 89.6% 12.1% 41.5% 3.3% 0.2% 14.8M -2.29B -6.8M 1.19 2.94 N/A N/A 1,447,380 1,723,320 6,340,160 6,502,660 2009-10-28 $6.08 $5.25 43.5% 12.5% 89.8% 14.9% 44.3% 3.6% -0.7% 13.4M -2.23B -7.5M 1.32 3.86 N/A N/A 818,500 1,078,640 6,575,980 6,797,200 2009-10-29 $6.13 $5.25 40.6% 11.6% 88.7% 11.6% 42.3% 4.5% -0.3% 13.7M -2.28B -7.5M 1.39 3.09 N/A N/A 545,000 758,260 6,659,400 6,887,760 2009-10-30 $5.94 $5.25 41.5% 11.9% 89.7% 12.6% 43.2% 4.7% 0.7% 8.2M -1.92B -7.7M 1.85 4.39 N/A N/A 739,040 1,365,940 6,677,440 7,025,620
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