AMZN Options History — December 2009

In December 2009, AMZN traded between $6.35 and $7.11. ATM implied volatility averaged 37.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.8% (HV 20d: 30.2%). Max pain ranged from $4.50 to $6.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2009-12-03: Highest Volume — 3,260,340 contracts
2009-12-14: Largest IV spike — 8.6% change
2009-12-14: Highest IV Rank — 21.2%
2009-12-14: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.74	$6.35	$7.11	$6.92	$6.73
Max Pain	$5.09	$4.50	$6.50	$6.25	$5.25
ATM IV	37.0%	34.1%	42.2%	34.1%	35.5%
Expected Move	10.8%	9.8%	12.1%	9.8%	10.2%
HV 20d	30.2%	27.4%	34.0%	27.7%	30.3%
HV 60d	57.3%	56.8%	58.7%	57.6%	57.0%
IV Rank	11.2%	4.6%	21.2%	4.6%	9.4%
IV Percentile	21.1%	4.8%	50.0%	4.8%	13.5%
Term Structure	7.0%	3.3%	12.9%	3.3%	12.9%
VWIV	38.3%	35.3%	42.4%	35.3%	36.5%
Skew 25d	2.2%	-1.8%	4.0%	3.0%	-1.1%
Skew 10d	4.9%	-2.7%	8.1%	7.0%	-0.5%
Call IV 25d	37.3%	33.6%	40.6%	33.6%	37.1%
Put IV 25d	39.5%	35.2%	44.6%	36.6%	36.0%
Bid-Ask Spread %	3.65	2.50	5.62	3.83	2.50
Gamma HHI	0.12	0.09	0.17	0.14	0.10
Net GEX	18.2M	-2.3M	31.4M	28.6M	14.9M
Net DEX	-2.11B	-2.92B	-1.39B	-2.63B	-1.84B
Net VEX	-7.2M	-7.7M	-6.4M	-6.4M	-7.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.57	0.90	0.64	0.86
Total Volume	1,862,339.091	700,800	3,260,340	1,740,200	700,800
Total OI	12,850,605.455	10,851,840	14,374,940	11,594,920	12,968,700

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
2009-12-01	$6.92	$6.25	34.1%	9.8%	27.7%	4.6%	35.3%	3.0%	3.3%	28.6M	-2.63B	-6.4M	0.64	3.83	N/A	N/A	1,063,760	676,440	5,784,980	5,809,940
2009-12-02	$7.11	$6.25	36.5%	10.5%	28.2%	7.7%	37.0%	2.7%	3.5%	31.4M	-2.92B	-6.5M	0.78	3.59	N/A	N/A	1,276,640	1,001,760	5,890,800	5,890,780
2009-12-03	$7.06	$6.50	37.5%	10.7%	27.9%	10.2%	38.0%	1.7%	3.7%	25.6M	-2.76B	-6.9M	0.72	3.34	N/A	N/A	1,899,400	1,360,940	6,020,760	6,219,200
2009-12-04	$6.88	$4.50	35.7%	11.5%	29.4%	7.8%	41.1%	3.1%	4.7%	19.3M	-2.40B	-7.3M	0.73	4.88	N/A	N/A	1,407,980	1,026,500	6,419,260	6,474,740
2009-12-07	$6.71	$4.50	36.4%	11.4%	27.7%	8.7%	40.3%	3.8%	4.7%	17.0M	-2.14B	-7.3M	0.77	5.62	N/A	N/A	879,320	672,980	6,659,740	6,590,020
2009-12-08	$6.71	$4.75	36.1%	11.5%	27.7%	8.3%	40.7%	3.8%	4.5%	18.9M	-2.14B	-7.3M	0.66	4.71	N/A	N/A	707,220	466,080	6,737,040	6,655,240
2009-12-09	$6.57	$4.75	38.2%	11.4%	27.4%	11.8%	39.9%	3.8%	5.1%	11.9M	-1.87B	-7.3M	0.68	3.50	N/A	N/A	1,353,300	921,540	6,783,460	6,660,500
2009-12-10	$6.77	$4.75	40.0%	11.5%	29.4%	15.7%	40.5%	3.4%	4.7%	26.6M	-2.34B	-7.4M	0.57	4.04	N/A	N/A	1,384,740	792,140	6,913,780	6,733,020
2009-12-11	$6.71	$4.75	38.8%	11.1%	29.6%	14.6%	39.7%	3.0%	5.6%	23.2M	-2.22B	-7.4M	0.70	4.74	N/A	N/A	690,900	485,340	7,014,840	6,854,440
2009-12-14	$6.57	$4.75	42.2%	12.1%	29.9%	21.2%	42.4%	4.0%	4.2%	14.5M	-1.91B	-7.2M	0.88	3.58	N/A	N/A	1,225,800	1,077,420	7,052,000	6,810,260
2009-12-15	$6.51	$4.75	39.8%	11.4%	29.8%	17.0%	40.2%	3.2%	5.4%	9.9M	-1.78B	-7.3M	0.70	3.16	N/A	N/A	874,660	612,940	7,093,960	6,979,380
2009-12-16	$6.42	$4.75	38.5%	11.0%	30.2%	15.0%	38.9%	2.9%	6.5%	4.8M	-1.59B	-7.1M	0.72	2.70	N/A	N/A	1,134,640	819,500	7,235,360	6,970,540
2009-12-17	$6.35	$4.75	38.5%	11.0%	30.4%	14.8%	38.7%	2.7%	7.0%	-2.3M	-1.39B	-7.0M	0.82	2.53	N/A	N/A	975,540	801,620	7,304,320	7,061,580
2009-12-18	$6.42	$4.75	37.5%	10.7%	30.2%	13.0%	38.1%	2.8%	6.9%	5.2M	-1.59B	-7.0M	0.88	3.82	N/A	N/A	775,480	681,480	7,341,220	7,033,720
2009-12-21	$6.64	$5.00	35.1%	10.1%	32.4%	8.6%	36.3%	2.1%	9.6%	15.8M	-1.83B	-7.0M	0.67	2.98	N/A	N/A	974,300	657,380	5,476,800	5,375,040
2009-12-22	$6.69	$5.00	36.5%	10.5%	31.2%	11.2%	37.3%	1.8%	9.5%	18.0M	-1.95B	-7.2M	0.73	3.10	N/A	N/A	825,660	605,720	5,754,620	5,591,420
2009-12-23	$6.95	$5.00	35.0%	10.0%	34.0%	8.5%	36.0%	2.3%	9.2%	23.9M	-2.30B	-7.3M	0.77	2.94	N/A	N/A	1,509,400	1,157,180	5,821,960	5,786,680
2009-12-24	$6.92	$5.25	35.9%	10.3%	33.9%	10.2%	36.6%	1.5%	10.2%	21.5M	-2.22B	-7.6M	0.65	4.65	N/A	N/A	912,160	593,340	5,925,380	6,003,580
2009-12-28	$6.97	$5.25	36.2%	10.4%	33.2%	10.7%	37.0%	0.9%	10.7%	25.3M	-2.30B	-7.4M	0.57	2.76	N/A	N/A	1,080,400	620,120	6,023,000	6,030,860
2009-12-29	$6.97	$5.25	35.4%	10.2%	31.5%	9.3%	36.1%	-1.5%	10.6%	26.7M	-2.32B	-7.4M	0.86	3.78	N/A	N/A	1,192,420	1,027,820	6,167,900	6,143,220
2009-12-30	$6.82	$5.25	34.9%	10.0%	31.7%	8.3%	36.2%	-1.8%	11.9%	20.3M	-2.07B	-7.5M	0.90	3.57	N/A	N/A	1,087,080	981,620	6,335,340	6,313,940
2009-12-31	$6.73	$5.25	35.5%	10.2%	30.3%	9.4%	36.5%	-1.1%	12.9%	14.9M	-1.84B	-7.7M	0.86	2.50	N/A	N/A	377,400	323,400	6,457,540	6,511,160