AMZN Options History — August 2010 In August 2010, AMZN traded between $6.00 and $6.50. ATM implied volatility averaged 34.8%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 8.0% (HV 20d: 26.9%). Max pain ranged from $5.75 to $6.25. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.09.
Notable Days 2010-08-04 : Highest Volume — 2,002,620 contracts2010-08-04 : Largest IV spike — 21.1% change2010-08-04 : Highest IV Rank — 53.2%2010-08-13 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $6.32 $6.00 $6.50 $6.00 $6.24 Max Pain $6.09 $5.75 $6.25 $5.75 $6.25 ATM IV 34.8% 30.9% 43.1% 36.1% 38.2% Expected Move 9.6% 9.0% 10.5% 9.2% 10.0% HV 20d 26.9% 24.9% 29.1% 27.0% 27.5% HV 60d 35.0% 32.8% 36.9% 36.9% 32.8% IV Rank 28.8% 17.2% 53.2% 32.6% 38.6% IV Percentile 34.7% 13.9% 84.1% 48.0% 61.1% Term Structure 2.0% 0.6% 3.0% 1.0% 2.1% VWIV 34.5% 32.1% 37.2% 33.6% 36.9% Skew 25d 5.6% 4.1% 6.6% 5.7% 6.3% Skew 10d 12.2% 9.7% 14.3% 12.6% 14.3% Call IV 25d 31.7% 29.5% 34.3% 30.4% 33.4% Put IV 25d 37.3% 34.5% 40.3% 36.0% 39.8% Bid-Ask Spread % 3.52 2.83 4.90 3.48 3.32 Gamma HHI 0.11 0.08 0.21 0.08 0.08 Net GEX 7.6M -19.9M 21.1M 2.8M 750.8K Net DEX -432.2M -726.6M -149.3M -165.9M -202.5M Net VEX -6.6M -7.0M -6.3M -6.4M -6.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.75 1.88 1.16 1.08 Total Volume 832,580 425,620 2,002,620 893,960 551,760 Total OI 8,604,814.545 7,409,920 9,438,100 8,254,200 7,938,800
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 2010-08-02 $6.00 $5.75 36.1% 9.2% 27.0% 32.6% 33.6% 5.7% 1.0% 2.8M -165.9M -6.4M 1.16 3.48 N/A N/A 414,540 479,420 3,791,560 4,462,640 2010-08-03 $6.12 $6.00 35.6% 9.2% 27.5% 31.0% 32.1% 5.0% 1.0% 7.4M -295.2M -6.7M 0.75 3.99 N/A N/A 439,580 330,660 3,865,300 4,609,780 2010-08-04 $6.38 $6.00 43.1% 9.6% 29.1% 53.2% 36.3% 5.2% 0.6% 16.8M -645.9M -6.9M 0.81 3.20 N/A N/A 1,104,020 898,600 3,931,200 4,659,940 2010-08-05 $6.39 $6.00 35.2% 9.0% 28.3% 30.0% 33.8% 4.9% 2.0% 16.9M -615.9M -7.0M 1.11 2.94 N/A N/A 422,900 467,400 4,052,460 4,826,320 2010-08-06 $6.42 $6.00 30.9% 9.5% 28.2% 17.2% 33.7% 5.6% 1.3% 15.1M -658.4M -6.9M 1.17 4.06 N/A N/A 426,060 496,760 4,109,280 4,895,040 2010-08-09 $6.44 $6.00 32.0% 9.1% 27.7% 20.6% 33.3% 5.8% 1.7% 17.2M -647.0M -6.8M 0.95 4.90 N/A N/A 423,040 400,680 4,006,340 4,794,040 2010-08-10 $6.50 $6.00 36.3% 9.4% 25.4% 33.1% 33.6% 6.6% 1.2% 17.7M -692.1M -6.8M 1.26 4.21 N/A N/A 348,540 438,360 4,014,760 4,882,300 2010-08-11 $6.29 $6.00 34.1% 10.1% 28.2% 26.6% 35.9% 6.2% 1.5% 5.8M -402.7M -6.9M 1.29 3.94 N/A N/A 506,400 652,440 4,069,840 4,980,220 2010-08-12 $6.33 $6.00 36.0% 10.3% 27.9% 32.2% 36.1% 6.1% 1.1% 6.7M -480.1M -6.8M 1.88 3.72 N/A N/A 316,080 594,500 4,102,440 5,079,980 2010-08-13 $6.23 $6.00 36.7% 10.5% 26.1% 34.2% 37.2% 6.0% 1.3% -19.9M -283.3M -6.9M 1.13 3.57 N/A N/A 363,640 412,420 4,107,300 5,145,900 2010-08-16 $6.30 $6.00 35.2% 10.1% 26.1% 30.0% 35.3% 6.3% 1.8% 6.4M -425.1M -6.7M 1.03 2.83 N/A N/A 351,660 362,000 4,058,980 5,028,240 2010-08-17 $6.44 $6.00 32.7% 9.4% 27.0% 22.6% 33.5% 5.8% 2.6% 16.1M -653.0M -6.7M 0.90 3.35 N/A N/A 517,160 464,120 4,098,420 5,085,360 2010-08-18 $6.48 $6.00 33.3% 9.5% 25.2% 24.2% 33.6% 5.5% 2.2% 21.1M -726.6M -6.6M 1.12 3.52 N/A N/A 319,120 358,220 4,141,700 5,118,400 2010-08-19 $6.38 $6.25 33.3% 9.6% 25.3% 24.4% 34.5% 4.3% 2.4% 13.1M -544.8M -6.6M 1.00 3.01 N/A N/A 504,340 505,920 4,211,460 5,153,380 2010-08-20 $6.39 $6.25 32.5% 9.3% 24.9% 21.9% 33.9% 4.1% 3.0% 5.8M -549.6M -6.6M 0.89 3.05 N/A N/A 411,020 366,360 4,249,560 5,188,540 2010-08-23 $6.33 $6.25 33.7% 9.7% 25.2% 25.5% 33.9% 5.2% 2.9% 5.3M -315.4M -6.4M 0.94 3.16 N/A N/A 300,740 283,900 3,389,460 4,020,460 2010-08-24 $6.23 $6.25 33.1% 9.5% 25.7% 23.8% 34.3% 5.8% 3.0% 1.3M -192.9M -6.5M 1.09 3.20 N/A N/A 349,940 380,700 3,491,760 4,134,980 2010-08-25 $6.34 $6.25 34.4% 9.9% 26.2% 27.6% 34.8% 5.5% 1.9% 5.1M -331.1M -6.5M 1.30 3.20 N/A N/A 268,900 350,060 3,554,540 4,236,740 2010-08-26 $6.24 $6.25 33.1% 9.5% 27.1% 23.6% 33.4% 5.8% 2.9% 1.2M -211.1M -6.5M 1.10 4.08 N/A N/A 255,860 282,000 3,620,120 4,315,840 2010-08-27 $6.33 $6.25 32.6% 9.3% 27.3% 22.3% 33.1% 4.9% 3.0% 4.1M -319.6M -6.4M 0.90 3.30 N/A N/A 406,520 364,800 3,642,840 4,348,800 2010-08-30 $6.19 $6.25 38.4% 9.7% 28.2% 39.2% 35.7% 6.1% 2.4% -223.9K -149.3M -6.3M 1.17 3.42 N/A N/A 195,860 229,760 3,595,860 4,295,040 2010-08-31 $6.24 $6.25 38.2% 10.0% 27.5% 38.6% 36.9% 6.3% 2.1% 750.8K -202.5M -6.3M 1.08 3.32 N/A N/A 265,240 286,520 3,621,320 4,317,480
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