AMZN Options History — February 2010

In February 2010, AMZN traded between $5.80 and $6.00. ATM implied volatility averaged 34.9%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 2.6% (HV 20d: 32.3%). Max pain ranged from $6.00 to $6.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.05.

Notable Days

2010-02-01: Highest Volume — 5,174,420 contracts
2010-02-04: Largest IV spike — 16.2% change
2010-02-08: Highest IV Rank — 27.6%
2010-02-08: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.90	$5.80	$6.00	$5.94	$5.92
Max Pain	$6.08	$6.00	$6.50	$6.50	$6.00
ATM IV	34.9%	28.9%	42.1%	39.9%	28.9%
Expected Move	10.1%	8.3%	12.1%	11.5%	8.3%
HV 20d	32.3%	27.6%	34.8%	33.8%	27.6%
HV 60d	30.5%	29.4%	32.1%	32.1%	29.4%
IV Rank	11.1%	0.0%	27.6%	22.5%	0.0%
IV Percentile	18.4%	0.0%	60.3%	46.4%	0.0%
Term Structure	0.8%	-0.2%	2.0%	0.3%	1.0%
VWIV	36.3%	30.2%	42.3%	41.6%	30.2%
Skew 25d	5.4%	3.8%	7.0%	6.1%	3.8%
Skew 10d	11.2%	7.8%	14.7%	13.3%	7.8%
Call IV 25d	33.6%	28.3%	39.3%	38.6%	28.3%
Put IV 25d	39.0%	32.1%	45.6%	44.8%	32.1%
Bid-Ask Spread %	3.87	2.30	5.12	5.12	3.47
Gamma HHI	0.12	0.09	0.20	0.10	0.13
Net GEX	-9.7M	-20.4M	-623.7K	-12.6M	-7.8M
Net DEX	225.9M	-33.8M	429.0M	360.2M	65.2M
Net VEX	-7.1M	-7.7M	-6.6M	-7.4M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.71	2.07	1.09	0.89
Total Volume	1,559,247.368	701,860	5,174,420	5,174,420	701,860
Total OI	10,101,305.263	7,789,960	11,250,060	9,873,940	8,444,280

Daily Data (19 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
2010-02-01	$5.94	$6.50	39.9%	11.5%	33.8%	22.5%	41.6%	6.1%	0.3%	-12.6M	360.2M	-7.4M	1.09	5.12	N/A	N/A	2,472,480	2,701,940	4,778,620	5,095,320
2010-02-02	$5.91	$6.25	37.1%	10.6%	33.8%	15.8%	39.3%	6.0%	1.1%	-10.9M	344.5M	-7.5M	1.21	3.06	N/A	N/A	1,378,740	1,670,620	5,104,780	5,341,500
2010-02-03	$5.96	$6.25	35.3%	10.1%	33.9%	11.6%	37.1%	5.6%	2.0%	-7.7M	222.3M	-7.7M	1.00	4.01	N/A	N/A	867,380	864,320	5,136,760	5,424,880
2010-02-04	$5.80	$6.25	41.0%	11.8%	34.4%	25.0%	41.1%	4.7%	0.7%	-13.2M	401.7M	-7.6M	1.14	2.30	N/A	N/A	974,540	1,115,520	5,168,380	5,449,280
2010-02-05	$5.87	$6.00	39.5%	11.8%	34.8%	21.4%	42.3%	6.9%	0.0%	-10.0M	300.7M	-7.7M	0.93	4.35	N/A	N/A	791,280	739,380	5,257,800	5,530,000
2010-02-08	$5.84	$6.00	42.1%	12.1%	32.7%	27.6%	41.9%	7.0%	-0.2%	-10.0M	318.5M	-7.5M	0.71	4.34	N/A	N/A	784,720	560,700	5,301,920	5,482,720
2010-02-09	$5.90	$6.00	36.1%	11.0%	32.6%	13.5%	40.5%	7.0%	0.5%	-8.1M	254.9M	-7.4M	0.90	4.96	N/A	N/A	699,300	631,460	5,358,980	5,499,480
2010-02-10	$5.87	$6.00	34.9%	11.1%	31.9%	10.7%	38.4%	7.0%	0.4%	-11.1M	308.2M	-7.2M	1.16	4.28	N/A	N/A	742,200	858,940	5,388,260	5,485,120
2010-02-11	$6.00	$6.00	36.3%	10.4%	32.7%	14.0%	37.2%	6.6%	1.0%	-623.7K	64.2M	-7.5M	1.03	4.01	N/A	N/A	773,140	795,400	5,475,540	5,492,020
2010-02-12	$5.98	$6.25	35.1%	10.1%	32.5%	11.2%	36.0%	5.9%	1.4%	-7.1M	125.1M	-7.4M	2.07	3.76	N/A	N/A	394,060	813,820	5,420,740	5,599,680
2010-02-16	$5.88	$6.00	35.6%	10.2%	32.9%	12.4%	36.8%	4.9%	0.7%	-16.3M	330.5M	-7.0M	0.78	4.85	N/A	N/A	646,000	501,940	5,446,360	5,559,460
2010-02-17	$5.82	$6.00	35.1%	10.1%	32.9%	11.2%	35.0%	5.0%	0.9%	-20.4M	429.0M	-6.8M	1.34	3.30	N/A	N/A	634,040	847,920	5,529,680	5,596,620
2010-02-18	$5.90	$6.00	32.0%	9.2%	33.4%	3.9%	33.6%	4.6%	1.3%	-9.9M	230.6M	-6.8M	1.12	4.13	N/A	N/A	584,300	653,120	5,615,220	5,633,000
2010-02-19	$5.88	$6.00	31.3%	9.0%	33.2%	2.2%	32.7%	4.9%	1.2%	-12.7M	313.5M	-6.7M	0.92	2.99	N/A	N/A	470,300	434,620	5,635,860	5,614,200
2010-02-22	$5.90	$6.00	31.0%	8.9%	30.0%	1.5%	32.4%	4.2%	0.9%	-7.0M	71.8M	-6.6M	0.90	4.43	N/A	N/A	369,320	332,580	3,577,000	4,212,960
2010-02-23	$5.86	$6.00	32.6%	9.4%	29.9%	5.3%	32.2%	4.2%	0.6%	-7.9M	105.8M	-6.6M	0.87	3.43	N/A	N/A	470,140	406,820	3,628,940	4,288,320
2010-02-24	$5.99	$6.00	29.7%	8.5%	30.9%	0.0%	30.5%	4.2%	1.3%	-4.2M	-33.8M	-6.7M	0.92	3.89	N/A	N/A	464,520	427,080	3,708,820	4,354,260
2010-02-25	$5.91	$6.00	29.8%	8.5%	29.5%	0.2%	31.2%	4.3%	1.0%	-7.6M	79.8M	-6.7M	0.96	2.91	N/A	N/A	537,500	513,700	3,819,200	4,468,840
2010-02-26	$5.92	$6.00	28.9%	8.3%	27.6%	0.0%	30.2%	3.8%	1.0%	-7.8M	65.2M	-6.6M	0.89	3.47	N/A	N/A	372,220	329,640	3,874,300	4,569,980