AMZN Options History — April 2010

In April 2010, AMZN traded between $6.57 and $7.50. ATM implied volatility averaged 34.7%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 2.2% (HV 20d: 32.5%). Max pain ranged from $6.50 to $7.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2010-04-22: Highest Volume — 3,971,380 contracts
2010-04-15: Largest IV spike — 42.4% change
2010-04-22: Highest IV Rank — 53.0%
2010-04-22: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.05	$6.57	$7.50	$6.59	$6.86
Max Pain	$6.82	$6.50	$7.00	$6.50	$7.00
ATM IV	34.7%	25.1%	47.4%	26.9%	35.3%
Expected Move	11.3%	7.7%	13.6%	7.7%	10.1%
HV 20d	32.5%	26.7%	38.4%	26.7%	38.4%
HV 60d	30.2%	29.4%	31.7%	29.8%	30.8%
IV Rank	23.7%	0.0%	53.0%	3.5%	30.2%
IV Percentile	34.2%	0.0%	94.8%	3.2%	31.7%
Term Structure	-2.7%	-7.2%	12.0%	12.0%	2.2%
VWIV	39.6%	27.4%	47.0%	27.4%	35.7%
Skew 25d	3.1%	1.7%	4.9%	1.7%	2.6%
Skew 10d	6.3%	3.9%	9.4%	4.9%	6.2%
Call IV 25d	38.0%	26.8%	45.5%	26.8%	34.6%
Put IV 25d	41.0%	28.5%	47.5%	28.5%	37.2%
Bid-Ask Spread %	3.55	2.43	7.37	2.60	5.94
Gamma HHI	0.13	0.07	0.27	0.13	0.09
Net GEX	22.7M	-2.7M	55.1M	12.6M	-2.7M
Net DEX	-975.8M	-1.76B	-257.5M	-534.3M	-257.5M
Net VEX	-8.5M	-10.2M	-7.1M	-7.2M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.44	1.13	1.05	0.70
Total Volume	1,792,182.857	785,300	3,971,380	1,598,480	1,231,240
Total OI	9,470,646.667	6,824,700	10,708,000	9,137,940	10,072,780

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
2010-04-01	$6.59	$6.50	26.9%	7.7%	26.7%	3.5%	27.4%	1.7%	12.0%	12.6M	-534.3M	-7.2M	1.05	2.60	N/A	N/A	780,260	818,220	4,405,480	4,732,460
2010-04-05	$6.57	$6.75	29.7%	11.5%	26.7%	10.2%	40.1%	3.7%	-4.1%	12.1M	-501.8M	-7.1M	1.13	3.49	N/A	N/A	391,820	441,460	4,369,560	4,875,280
2010-04-06	$6.78	$6.75	29.9%	11.5%	28.6%	10.6%	40.2%	4.3%	-4.5%	25.5M	-851.8M	-7.2M	0.75	2.93	N/A	N/A	954,900	717,860	4,417,340	4,933,060
2010-04-07	$6.74	$6.75	29.5%	11.6%	28.4%	9.6%	40.9%	4.5%	-4.9%	18.7M	-749.9M	-7.2M	0.64	2.94	N/A	N/A	580,660	373,160	4,510,360	5,049,220
2010-04-08	$7.05	$6.75	33.1%	12.2%	31.9%	18.1%	42.8%	4.9%	-5.6%	34.5M	-1.27B	-7.2M	0.51	3.03	N/A	N/A	2,178,880	1,120,400	4,510,360	5,049,220
2010-04-09	$7.00	$6.75	28.7%	12.0%	31.2%	7.8%	42.2%	4.2%	-5.6%	38.6M	-1.25B	-8.1M	0.65	2.94	N/A	N/A	775,100	503,580	5,222,020	5,178,400
2010-04-12	$7.06	$6.75	30.0%	12.4%	30.7%	10.8%	43.9%	4.0%	-6.7%	45.7M	-1.41B	-7.8M	0.44	2.43	N/A	N/A	786,240	348,440	5,222,020	5,178,400
2010-04-13	$7.01	$6.75	25.1%	12.2%	30.8%	0.0%	42.9%	3.6%	-6.4%	35.7M	-1.24B	-7.8M	0.48	2.89	N/A	N/A	1,226,120	586,980	5,276,240	5,231,660
2010-04-14	$7.21	$6.75	30.1%	12.2%	32.1%	11.6%	43.3%	3.8%	-6.7%	50.9M	-1.66B	-7.8M	0.57	3.05	N/A	N/A	1,329,960	759,660	5,246,160	5,243,180
2010-04-15	$7.29	$6.75	42.8%	12.3%	32.0%	41.2%	42.9%	3.7%	-7.2%	55.1M	-1.76B	-7.8M	0.50	2.99	N/A	N/A	1,497,240	752,900	5,293,440	5,332,000
2010-04-16	$7.11	$6.75	43.0%	12.3%	33.7%	41.6%	42.8%	2.3%	-6.0%	13.7M	-1.43B	-8.2M	0.87	2.96	N/A	N/A	952,100	824,500	5,300,600	5,407,400
2010-04-19	$7.12	$6.75	42.5%	12.2%	32.7%	40.5%	42.3%	2.1%	-4.0%	12.2M	-788.9M	-8.2M	0.56	3.05	N/A	N/A	579,580	325,600	3,457,940	3,366,760
2010-04-20	$7.21	$6.75	41.6%	11.9%	32.8%	38.5%	42.0%	2.3%	-4.0%	16.8M	-925.5M	-8.5M	1.10	3.45	N/A	N/A	374,040	411,260	3,719,080	3,492,140
2010-04-21	$7.32	$6.75	43.8%	12.5%	32.6%	44.3%	43.3%	3.1%	-4.9%	18.7M	-1.05B	-8.7M	0.87	7.37	N/A	N/A	870,760	754,240	3,818,720	3,561,860
2010-04-22	$7.50	$7.00	47.4%	13.6%	32.6%	53.0%	47.0%	2.0%	-6.5%	23.1M	-1.29B	-9.3M	0.81	5.15	N/A	N/A	2,198,380	1,773,000	4,188,760	3,784,120
2010-04-23	$7.18	$7.00	31.0%	8.9%	33.4%	15.0%	31.6%	2.1%	1.7%	16.1M	-793.2M	-9.8M	0.75	3.40	N/A	N/A	2,198,680	1,639,000	4,995,240	4,575,140
2010-04-26	$7.36	$7.00	34.1%	9.8%	34.2%	26.6%	34.6%	2.7%	1.1%	28.0M	-1.07B	-10.2M	0.93	3.08	N/A	N/A	729,140	681,000	5,312,280	4,705,200
2010-04-27	$7.10	$7.00	36.1%	10.3%	37.0%	32.5%	36.4%	2.3%	0.7%	8.2M	-608.9M	-10.1M	0.92	4.20	N/A	N/A	828,340	759,440	4,985,720	4,836,300
2010-04-28	$6.97	$7.00	34.9%	10.0%	37.6%	29.0%	35.6%	2.0%	1.2%	2.9M	-422.8M	-10.1M	1.01	3.24	N/A	N/A	899,980	910,160	5,109,220	4,889,400
2010-04-29	$7.09	$7.00	33.1%	9.5%	37.9%	23.8%	33.7%	2.5%	2.3%	9.7M	-636.4M	-10.2M	0.98	3.48	N/A	N/A	894,760	876,800	5,122,200	4,906,860
2010-04-30	$6.86	$7.00	35.3%	10.1%	38.4%	30.2%	35.7%	2.6%	2.2%	-2.7M	-257.5M	-10.0M	0.70	5.94	N/A	N/A	725,060	506,180	5,151,200	4,921,580