AMZN Options History — March 2010 In March 2010, AMZN traded between $6.23 and $6.83. ATM implied volatility averaged 28.2%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.1% (HV 20d: 26.1%). Max pain ranged from $6.00 to $6.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.77.
Notable Days 2010-03-25 : Highest Volume — 3,047,500 contracts2010-03-11 : Largest IV spike — 14.7% change2010-03-15 : Highest IV Rank — 12.9%2010-03-15 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $6.54 $6.23 $6.83 $6.23 $6.79 Max Pain $6.24 $6.00 $6.50 $6.00 $6.50 ATM IV 28.2% 25.4% 31.6% 30.7% 26.7% Expected Move 8.2% 7.3% 9.1% 8.8% 7.7% HV 20d 26.1% 23.9% 33.5% 33.5% 24.9% HV 60d 29.5% 27.5% 31.1% 31.1% 29.2% IV Rank 4.2% 0.0% 12.9% 4.2% 3.2% IV Percentile 2.1% 0.0% 7.1% 1.6% 2.4% Term Structure 7.2% 0.8% 12.5% 0.8% 11.9% VWIV 29.5% 26.2% 32.2% 32.2% 27.9% Skew 25d 3.3% 0.3% 4.8% 4.2% 0.3% Skew 10d 7.3% 2.0% 9.8% 8.7% 2.6% Call IV 25d 28.0% 25.0% 29.8% 29.7% 27.5% Put IV 25d 31.3% 27.8% 34.4% 33.9% 27.8% Bid-Ask Spread % 2.93 1.98 3.91 3.25 2.58 Gamma HHI 0.15 0.10 0.29 0.10 0.15 Net GEX 18.5M 6.5M 31.5M 6.5M 23.4M Net DEX -675.6M -949.8M -347.6M -347.6M -863.2M Net VEX -7.0M -7.5M -6.8M -6.9M -7.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.53 1.09 0.72 0.53 Total Volume 1,163,731.304 658,540 3,047,500 1,892,780 898,380 Total OI 8,970,900.87 7,599,400 9,907,960 8,464,980 9,063,660
Daily Data (23 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 2010-03-01 $6.23 $6.00 30.7% 8.8% 33.5% 4.2% 32.2% 4.2% 0.8% 6.5M -347.6M -6.9M 0.72 3.25 N/A N/A 1,100,940 791,840 3,918,280 4,546,700 2010-03-02 $6.28 $6.00 29.6% 8.5% 27.0% 1.7% 30.3% 3.2% 1.6% 9.5M -424.8M -6.9M 0.82 3.37 N/A N/A 838,700 688,060 4,060,800 4,649,620 2010-03-03 $6.29 $6.00 29.0% 8.3% 26.8% 0.3% 29.7% 3.0% 2.3% 8.5M -411.7M -7.0M 0.99 3.27 N/A N/A 484,920 481,560 4,149,080 4,715,860 2010-03-04 $6.43 $6.00 27.5% 7.9% 27.5% 0.0% 29.2% 3.8% 3.3% 13.8M -583.3M -7.1M 1.01 2.79 N/A N/A 575,280 580,900 4,120,500 4,819,160 2010-03-05 $6.45 $6.00 26.9% 8.6% 25.0% 0.0% 30.8% 4.4% 5.0% 14.5M -595.9M -7.0M 0.75 2.60 N/A N/A 774,220 580,100 4,170,320 4,866,640 2010-03-08 $6.51 $6.25 28.7% 8.8% 24.9% 4.0% 31.1% 4.8% 4.2% 15.8M -653.3M -7.0M 0.70 3.11 N/A N/A 540,720 377,440 4,189,660 4,965,060 2010-03-09 $6.44 $6.25 26.9% 8.6% 25.2% 0.1% 30.8% 4.7% 5.2% 15.1M -563.9M -7.0M 0.72 2.79 N/A N/A 634,840 455,620 4,276,380 4,946,620 2010-03-10 $6.53 $6.25 26.2% 8.7% 25.3% 0.0% 31.1% 4.7% 4.9% 21.3M -703.8M -7.0M 0.80 2.95 N/A N/A 559,840 446,580 4,304,380 4,988,500 2010-03-11 $6.68 $6.25 30.1% 8.6% 25.8% 9.2% 31.0% 4.5% 5.6% 28.1M -949.8M -7.1M 0.79 3.02 N/A N/A 789,820 626,960 4,329,820 5,013,340 2010-03-12 $6.59 $6.25 30.2% 8.7% 25.9% 9.5% 30.0% 4.3% 5.8% 23.4M -810.3M -7.1M 0.62 3.91 N/A N/A 673,100 414,320 4,347,260 5,033,860 2010-03-15 $6.56 $6.25 31.6% 9.1% 26.0% 12.9% 32.0% 4.7% 4.6% 18.9M -716.8M -6.9M 0.93 3.80 N/A N/A 507,880 472,280 4,384,540 5,059,500 2010-03-16 $6.59 $6.25 30.4% 8.7% 24.6% 10.0% 30.2% 4.5% 5.6% 23.7M -785.8M -6.9M 0.73 3.01 N/A N/A 538,980 394,920 4,421,380 5,128,980 2010-03-17 $6.57 $6.25 29.4% 8.4% 24.1% 7.7% 29.5% 4.3% 6.2% 22.9M -784.3M -7.0M 0.76 3.72 N/A N/A 374,120 284,420 4,628,380 5,241,220 2010-03-18 $6.64 $6.25 26.5% 7.6% 23.9% 0.7% 27.7% 4.0% 7.6% 30.8M -919.1M -6.9M 1.09 3.01 N/A N/A 381,920 416,720 4,635,660 5,272,300 2010-03-19 $6.52 $6.25 26.7% 7.6% 25.2% 1.0% 27.1% 4.2% 7.6% 31.5M -710.8M -6.9M 0.80 2.96 N/A N/A 598,100 480,440 4,634,080 5,266,800 2010-03-22 $6.52 $6.25 25.6% 7.3% 25.2% 0.0% 26.8% 3.1% 12.5% 11.2M -485.2M -6.8M 0.78 1.98 N/A N/A 647,200 504,640 3,626,200 3,973,200 2010-03-23 $6.46 $6.25 25.4% 7.3% 25.4% 0.0% 26.2% 2.8% 12.4% 11.2M -452.4M -6.9M 0.77 2.60 N/A N/A 419,700 324,180 3,800,760 4,130,780 2010-03-24 $6.40 $6.25 26.2% 7.5% 25.2% 2.0% 26.8% 2.8% 12.2% 8.0M -360.0M -6.9M 0.67 2.70 N/A N/A 453,100 303,580 3,823,120 4,185,380 2010-03-25 $6.74 $6.25 29.5% 8.5% 29.5% 9.6% 30.3% 1.5% 10.9% 20.2M -829.2M -7.3M 0.60 2.86 N/A N/A 1,906,720 1,140,780 3,954,660 4,296,340 2010-03-26 $6.75 $6.50 28.3% 8.1% 29.5% 7.0% 29.1% 0.5% 12.0% 23.0M -853.9M -7.5M 0.59 2.08 N/A N/A 724,800 428,000 4,235,800 4,491,540 2010-03-29 $6.76 $6.50 27.6% 7.9% 24.5% 5.3% 28.5% 1.5% 12.2% 20.8M -807.0M -7.3M 0.90 2.81 N/A N/A 408,060 367,320 4,188,220 4,575,960 2010-03-30 $6.83 $6.50 28.9% 8.3% 24.6% 8.4% 29.8% 0.3% 11.2% 23.2M -926.0M -7.4M 0.60 2.12 N/A N/A 857,080 516,740 4,233,880 4,666,540 2010-03-31 $6.79 $6.50 26.7% 7.7% 24.9% 3.2% 27.9% 0.3% 11.9% 23.4M -863.2M -7.3M 0.53 2.58 N/A N/A 588,360 310,020 4,344,720 4,718,940
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