AMZN Options History — July 2010

In July 2010, AMZN traded between $5.46 and $6.18. ATM implied volatility averaged 38.9%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 1.0% (HV 20d: 40.0%). Max pain ranged from $5.75 to $6.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2010-07-23: Highest Volume — 5,386,540 contracts
2010-07-15: Largest IV spike — 34.7% change
2010-07-21: Highest IV Rank — 61.2%
2010-07-06: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.88	$5.46	$6.18	$5.55	$5.89
Max Pain	$5.93	$5.75	$6.25	$6.25	$5.75
ATM IV	38.9%	30.6%	45.8%	44.7%	30.6%
Expected Move	12.1%	9.1%	14.3%	12.8%	9.1%
HV 20d	40.0%	27.5%	43.6%	43.2%	27.5%
HV 60d	39.7%	36.8%	40.9%	40.8%	36.8%
IV Rank	40.9%	16.2%	61.2%	57.8%	16.2%
IV Percentile	57.4%	13.1%	90.5%	87.3%	13.1%
Term Structure	-0.9%	-4.0%	9.2%	6.8%	1.8%
VWIV	43.1%	33.4%	49.9%	46.1%	33.4%
Skew 25d	7.3%	4.4%	10.4%	8.6%	4.4%
Skew 10d	15.2%	9.4%	22.9%	16.8%	9.4%
Call IV 25d	39.0%	30.8%	45.7%	41.4%	30.8%
Put IV 25d	46.3%	35.2%	55.5%	50.1%	35.2%
Bid-Ask Spread %	3.50	2.79	4.10	2.79	4.10
Gamma HHI	0.09	0.07	0.11	0.11	0.08
Net GEX	-3.2M	-14.5M	5.8M	-13.1M	1.2M
Net DEX	32.2M	-315.4M	553.4M	465.3M	-105.9M
Net VEX	-6.6M	-7.0M	-6.3M	-6.8M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.69	2.05	1.50	1.68
Total Volume	1,202,220.952	629,160	5,386,540	1,238,040	1,028,840
Total OI	8,440,454.286	6,489,980	9,424,980	8,556,240	8,672,240

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
2010-07-01	$5.55	$6.25	44.7%	12.8%	43.2%	57.8%	46.1%	8.6%	6.8%	-13.1M	465.3M	-6.8M	1.50	2.79	N/A	N/A	494,760	743,280	4,014,840	4,541,400
2010-07-02	$5.46	$6.25	39.7%	11.4%	40.7%	43.1%	41.3%	7.9%	9.2%	-14.5M	553.4M	-6.6M	0.94	2.89	N/A	N/A	324,380	304,780	4,108,640	4,567,000
2010-07-06	$5.50	$5.75	43.0%	14.3%	41.1%	52.8%	49.9%	9.8%	-2.8%	-12.9M	489.9M	-6.5M	1.17	3.76	N/A	N/A	295,980	346,940	4,179,780	4,562,160
2010-07-07	$5.67	$5.75	37.4%	13.2%	42.1%	36.4%	46.5%	10.1%	-2.0%	-11.8M	330.5M	-6.7M	0.87	3.47	N/A	N/A	463,300	402,660	4,217,380	4,609,760
2010-07-08	$5.81	$5.75	36.0%	13.5%	43.0%	32.4%	47.9%	10.4%	-3.3%	-7.0M	140.2M	-6.8M	2.05	3.57	N/A	N/A	333,020	681,720	4,310,540	4,638,380
2010-07-09	$5.86	$5.75	34.3%	13.4%	39.9%	27.3%	47.0%	9.9%	-3.2%	-7.9M	116.6M	-6.9M	1.05	4.07	N/A	N/A	331,700	349,220	4,328,640	4,749,280
2010-07-12	$5.98	$5.75	37.7%	12.8%	40.6%	37.2%	47.3%	8.8%	-3.3%	-5.2M	-16.7M	-6.8M	1.42	3.22	N/A	N/A	402,620	571,680	4,346,140	4,799,920
2010-07-13	$6.18	$6.00	36.4%	12.9%	42.5%	33.5%	47.8%	8.9%	-4.0%	5.8M	-315.4M	-7.0M	1.35	2.89	N/A	N/A	623,960	840,500	4,396,860	4,790,780
2010-07-14	$6.17	$6.00	33.3%	12.8%	41.5%	24.4%	46.1%	8.3%	-3.7%	3.3M	-264.9M	-6.9M	0.91	3.01	N/A	N/A	390,100	353,500	4,416,980	4,831,120
2010-07-15	$6.10	$6.00	44.9%	12.9%	41.6%	58.6%	45.0%	6.9%	-3.1%	1.1M	-184.4M	-6.8M	1.49	4.00	N/A	N/A	364,860	542,700	4,435,200	4,867,900
2010-07-16	$5.92	$6.00	44.3%	12.7%	42.7%	56.6%	45.3%	6.7%	-2.6%	-9.4M	77.9M	-6.7M	1.12	3.28	N/A	N/A	467,500	522,360	4,487,620	4,937,360
2010-07-19	$6.00	$6.00	44.0%	12.6%	43.1%	55.8%	44.4%	7.0%	-2.7%	-864.1K	-105.0M	-6.5M	1.62	3.45	N/A	N/A	304,940	494,940	3,010,240	3,479,740
2010-07-20	$6.00	$6.00	43.2%	12.4%	42.1%	53.5%	43.2%	6.3%	-3.1%	-1.1M	-103.9M	-6.5M	0.69	3.73	N/A	N/A	444,820	308,920	3,122,540	3,659,300
2010-07-21	$5.87	$6.00	45.8%	13.1%	42.8%	61.2%	44.6%	6.9%	-2.7%	-2.0M	-20.7M	-6.6M	1.33	3.82	N/A	N/A	412,000	549,900	3,302,840	3,716,080
2010-07-22	$6.00	$6.00	45.5%	13.0%	43.6%	60.2%	46.0%	6.4%	-3.5%	691.1K	-117.2M	-6.6M	0.72	4.05	N/A	N/A	1,163,400	837,360	3,376,880	3,895,820
2010-07-23	$5.94	$6.00	35.7%	10.2%	42.7%	31.3%	38.1%	5.5%	0.2%	2.7M	-46.4M	-6.5M	1.22	3.78	N/A	N/A	2,423,000	2,963,540	3,901,640	4,160,700
2010-07-26	$5.92	$6.00	35.2%	10.1%	41.9%	30.0%	37.5%	5.5%	0.5%	1.6M	-98.8M	-6.7M	1.37	3.30	N/A	N/A	604,500	830,380	3,817,420	4,419,280
2010-07-27	$5.86	$6.00	35.7%	10.2%	41.0%	31.4%	36.0%	5.4%	0.4%	-1.1M	-17.2M	-6.5M	1.16	2.92	N/A	N/A	488,240	567,860	3,909,840	4,524,280
2010-07-28	$5.86	$5.75	35.8%	10.3%	27.8%	31.6%	36.4%	5.3%	0.5%	2.0M	-55.0M	-6.5M	1.51	3.35	N/A	N/A	341,140	516,720	3,968,060	4,548,720
2010-07-29	$5.84	$5.75	34.7%	9.9%	27.8%	28.4%	34.5%	4.5%	0.9%	1.1M	-47.4M	-6.4M	1.30	3.97	N/A	N/A	353,840	460,780	4,040,360	4,585,880
2010-07-30	$5.89	$5.75	30.6%	9.1%	27.5%	16.2%	33.4%	4.4%	1.8%	1.2M	-105.9M	-6.3M	1.68	4.10	N/A	N/A	383,300	645,540	4,066,580	4,605,660