AMZN Options History — June 2010

In June 2010, AMZN traded between $5.43 and $6.44. ATM implied volatility averaged 38.8%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.1% (HV 20d: 37.7%). Max pain ranged from $6.25 to $6.50. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2010-06-08: Highest Volume — 1,822,340 contracts
2010-06-29: Largest IV spike — 30.6% change
2010-06-29: Highest IV Rank — 64.6%
2010-06-29: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.08	$5.43	$6.44	$6.16	$5.46
Max Pain	$6.45	$6.25	$6.50	$6.50	$6.25
ATM IV	38.8%	31.4%	46.9%	41.7%	45.2%
Expected Move	11.2%	9.0%	13.5%	12.0%	12.9%
HV 20d	37.7%	34.1%	44.8%	40.9%	43.5%
HV 60d	37.9%	35.6%	41.2%	35.6%	40.6%
IV Rank	40.5%	18.8%	64.6%	49.1%	59.3%
IV Percentile	56.2%	15.1%	92.9%	79.0%	88.5%
Term Structure	4.7%	0.4%	9.2%	1.1%	6.6%
VWIV	40.1%	32.2%	47.6%	42.9%	45.8%
Skew 25d	8.4%	6.4%	10.7%	10.4%	10.0%
Skew 10d	17.6%	12.6%	24.5%	24.2%	20.8%
Call IV 25d	36.1%	29.1%	44.8%	38.9%	42.4%
Put IV 25d	44.5%	35.5%	53.3%	49.3%	52.4%
Bid-Ask Spread %	3.57	2.76	4.66	4.66	3.24
Gamma HHI	0.09	0.07	0.17	0.07	0.10
Net GEX	-6.0M	-13.8M	4.1M	-4.6M	-12.9M
Net DEX	128.9M	-156.8M	589.2M	130.6M	542.8M
Net VEX	-7.2M	-8.0M	-6.4M	-7.8M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.55	1.79	1.24	1.51
Total Volume	896,431.818	416,140	1,822,340	416,140	1,294,840
Total OI	8,585,877.273	7,177,720	9,511,760	8,501,560	8,393,960

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
2010-06-01	$6.16	$6.50	41.7%	12.0%	40.9%	49.1%	42.9%	10.4%	1.1%	-4.6M	130.6M	-7.8M	1.24	4.66	N/A	N/A	185,640	230,500	4,278,060	4,223,500
2010-06-02	$6.32	$6.50	37.4%	10.7%	37.3%	36.4%	38.9%	8.9%	2.4%	-1.6M	-6.7M	-7.9M	1.41	3.58	N/A	N/A	249,920	352,480	4,305,980	4,253,240
2010-06-03	$6.44	$6.50	34.2%	9.8%	37.9%	26.9%	37.2%	8.3%	3.5%	2.2M	-156.8M	-8.0M	0.82	4.17	N/A	N/A	289,200	237,960	4,364,920	4,324,420
2010-06-04	$6.14	$6.50	39.9%	12.1%	41.0%	43.9%	44.1%	10.1%	2.1%	-6.2M	154.8M	-7.7M	0.88	4.14	N/A	N/A	480,460	420,680	4,370,540	4,348,220
2010-06-07	$6.10	$6.50	46.0%	13.1%	39.8%	61.7%	45.9%	10.0%	0.4%	-7.1M	192.1M	-7.5M	1.02	3.91	N/A	N/A	427,440	434,460	4,379,100	4,372,060
2010-06-08	$5.94	$6.50	44.3%	12.9%	36.0%	56.8%	45.8%	10.7%	1.4%	-11.9M	375.4M	-7.2M	0.80	2.81	N/A	N/A	1,011,880	810,460	4,447,480	4,429,160
2010-06-09	$5.90	$6.50	44.0%	12.8%	36.0%	55.9%	46.2%	10.5%	1.6%	-10.9M	384.2M	-7.3M	0.90	3.20	N/A	N/A	595,840	534,600	4,670,300	4,550,580
2010-06-10	$6.16	$6.50	41.0%	11.8%	38.5%	47.0%	42.9%	9.8%	2.6%	-4.4M	116.6M	-7.6M	1.06	3.50	N/A	N/A	410,440	434,880	4,680,080	4,588,020
2010-06-11	$6.15	$6.50	39.6%	11.3%	38.2%	42.8%	41.1%	8.6%	3.2%	-5.6M	126.9M	-7.5M	1.41	2.82	N/A	N/A	286,040	404,100	4,596,000	4,641,200
2010-06-14	$6.19	$6.50	39.9%	11.4%	37.6%	43.8%	42.0%	8.7%	2.8%	-3.9M	74.5M	-7.4M	1.29	3.74	N/A	N/A	279,580	361,160	4,627,460	4,647,220
2010-06-15	$6.34	$6.50	38.0%	10.9%	38.7%	38.2%	38.7%	8.3%	3.0%	4.1M	-111.4M	-7.4M	1.21	4.06	N/A	N/A	394,500	479,240	4,638,740	4,706,000
2010-06-16	$6.34	$6.50	36.1%	10.4%	38.0%	32.7%	36.6%	7.6%	4.1%	3.4M	-129.4M	-7.5M	1.56	3.59	N/A	N/A	374,240	584,800	4,706,820	4,783,040
2010-06-17	$6.29	$6.50	34.1%	9.8%	37.8%	26.7%	35.4%	6.8%	5.1%	-4.4M	-62.3M	-7.2M	1.49	3.97	N/A	N/A	355,480	528,780	4,707,300	4,787,820
2010-06-18	$6.29	$6.50	31.4%	9.0%	34.6%	18.8%	32.2%	6.4%	6.5%	-11.6M	-64.6M	-7.1M	1.31	3.78	N/A	N/A	325,080	426,900	4,704,180	4,807,580
2010-06-21	$6.13	$6.50	34.4%	9.9%	35.0%	27.7%	36.0%	7.3%	7.5%	-4.1M	20.3M	-6.8M	0.55	4.26	N/A	N/A	634,620	349,680	3,604,520	3,676,160
2010-06-22	$6.12	$6.50	35.9%	10.3%	35.0%	32.0%	35.8%	7.0%	8.5%	-4.9M	32.7M	-6.8M	1.79	3.07	N/A	N/A	324,380	581,780	3,424,700	3,753,020
2010-06-23	$6.07	$6.50	34.5%	9.9%	34.1%	27.8%	34.8%	6.6%	9.2%	-6.8M	104.6M	-6.8M	1.70	3.70	N/A	N/A	294,080	501,080	3,533,500	3,933,920
2010-06-24	$5.92	$6.50	36.1%	10.3%	34.9%	32.5%	37.3%	7.2%	9.0%	-9.2M	207.3M	-6.9M	1.17	2.76	N/A	N/A	456,040	532,000	3,610,720	4,080,460
2010-06-25	$6.05	$6.25	36.3%	10.4%	34.3%	33.0%	36.6%	6.9%	9.2%	-6.9M	73.1M	-7.2M	1.38	2.97	N/A	N/A	334,220	459,600	3,675,920	4,152,940
2010-06-28	$5.89	$6.25	35.9%	10.3%	35.4%	32.1%	37.7%	6.4%	8.6%	-11.8M	241.9M	-6.9M	1.26	3.25	N/A	N/A	241,260	303,860	3,735,600	4,279,440
2010-06-29	$5.43	$6.25	46.9%	13.5%	44.8%	64.6%	47.6%	8.5%	4.8%	-13.8M	589.2M	-6.4M	0.97	3.46	N/A	N/A	763,720	743,600	3,786,980	4,308,440
2010-06-30	$5.46	$6.25	45.2%	12.9%	43.5%	59.3%	45.8%	10.0%	6.6%	-12.9M	542.8M	-6.6M	1.51	3.24	N/A	N/A	515,640	779,200	3,962,100	4,431,860