AMZN Options History — September 2010 In September 2010, AMZN traded between $6.62 and $8.04. ATM implied volatility averaged 35.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.1% (HV 20d: 30.2%). Max pain ranged from $6.25 to $7.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.14.
Notable Days 2010-09-24 : Highest Volume — 3,035,080 contracts2010-09-07 : Largest IV spike — 40.9% change2010-09-28 : Highest IV Rank — 55.6%2010-09-27 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $7.38 $6.62 $8.04 $6.62 $7.85 Max Pain $6.65 $6.25 $7.25 $6.25 $7.25 ATM IV 35.3% 29.6% 43.9% 38.4% 36.7% Expected Move 9.8% 8.7% 10.7% 9.7% 10.1% HV 20d 30.2% 23.7% 33.9% 31.6% 23.7% HV 60d 32.2% 27.1% 34.7% 34.5% 28.2% IV Rank 30.1% 13.4% 55.6% 39.4% 34.3% IV Percentile 38.6% 8.7% 85.3% 63.1% 54.8% Term Structure 5.2% 1.9% 10.2% 1.9% 10.2% VWIV 35.5% 32.0% 38.7% 34.7% 36.0% Skew 25d 5.3% 3.5% 6.5% 5.9% 3.8% Skew 10d 11.6% 8.1% 16.0% 16.0% 10.0% Call IV 25d 32.4% 28.7% 36.2% 31.1% 34.3% Put IV 25d 37.8% 34.7% 40.7% 37.0% 38.2% Bid-Ask Spread % 3.82 2.45 8.47 4.09 3.75 Gamma HHI 0.15 0.09 0.22 0.11 0.09 Net GEX 20.4M 1.2M 33.7M 15.3M 1.2M Net DEX -1.24B -1.77B -660.7M -660.7M -1.25B Net VEX -6.6M -7.5M -6.1M -6.5M -7.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.78 1.49 0.86 1.13 Total Volume 1,351,427.619 591,780 3,035,080 1,176,020 1,360,560 Total OI 8,873,481.905 7,466,500 10,336,980 8,076,540 10,336,980
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 2010-09-01 $6.62 $6.25 38.4% 9.7% 31.6% 39.4% 34.7% 5.9% 1.9% 15.3M -660.7M -6.5M 0.86 4.09 N/A N/A 632,100 543,920 3,660,540 4,416,000 2010-09-02 $6.76 $6.25 30.6% 8.7% 32.2% 16.3% 32.0% 6.1% 3.4% 22.1M -841.3M -6.4M 1.01 3.75 N/A N/A 665,280 675,260 3,759,440 4,545,620 2010-09-03 $6.94 $6.25 29.6% 9.2% 33.3% 13.4% 33.3% 6.2% 5.0% 20.7M -1.07B -6.4M 0.84 5.06 N/A N/A 799,420 669,860 3,799,600 4,711,860 2010-09-07 $6.86 $6.25 41.7% 10.2% 33.7% 49.1% 35.8% 6.3% 3.7% 17.5M -874.6M -6.5M 1.44 3.58 N/A N/A 242,700 349,080 3,754,420 4,687,700 2010-09-08 $6.96 $6.25 33.1% 10.0% 33.9% 23.9% 36.7% 6.5% 3.5% 22.3M -988.8M -6.4M 1.47 3.41 N/A N/A 341,640 502,920 3,791,720 4,750,660 2010-09-09 $7.02 $6.50 35.5% 10.2% 31.2% 30.8% 36.9% 6.2% 3.0% 24.4M -1.07B -6.4M 1.20 2.85 N/A N/A 481,720 578,580 3,829,560 4,871,440 2010-09-10 $7.12 $6.50 35.2% 10.1% 31.4% 29.8% 36.1% 5.8% 2.6% 23.9M -1.17B -6.4M 1.40 2.76 N/A N/A 538,040 752,040 3,851,760 5,028,240 2010-09-13 $7.25 $6.50 33.7% 9.7% 30.6% 25.5% 35.8% 6.0% 2.9% 28.9M -1.32B -6.1M 1.47 4.63 N/A N/A 507,260 746,940 3,784,100 5,019,800 2010-09-14 $7.29 $6.50 33.2% 9.5% 30.6% 24.0% 35.0% 5.7% 3.2% 27.9M -1.35B -6.1M 0.78 2.45 N/A N/A 479,500 373,740 3,813,840 5,190,000 2010-09-15 $7.27 $6.50 32.8% 9.4% 30.3% 22.9% 35.2% 6.1% 3.6% 24.4M -1.30B -6.2M 1.43 2.59 N/A N/A 352,820 503,940 3,890,080 5,266,720 2010-09-16 $7.41 $6.50 32.8% 9.4% 30.6% 22.9% 34.8% 5.3% 3.0% 28.8M -1.49B -6.1M 1.38 3.45 N/A N/A 519,220 716,460 3,893,620 5,379,520 2010-09-17 $7.42 $6.75 30.7% 8.8% 29.5% 16.5% 32.2% 5.1% 4.6% 19.7M -1.49B -6.1M 0.83 8.47 N/A N/A 526,260 439,040 3,955,480 5,525,520 2010-09-20 $7.57 $6.75 33.3% 9.5% 29.7% 24.3% 34.8% 5.9% 5.6% 15.7M -1.18B -6.3M 1.05 3.57 N/A N/A 776,840 816,320 3,242,040 4,224,460 2010-09-21 $7.54 $6.75 33.8% 9.7% 29.3% 25.7% 34.8% 5.3% 5.5% 14.9M -1.13B -6.7M 0.89 4.32 N/A N/A 814,520 724,460 3,436,560 4,516,040 2010-09-22 $7.59 $7.00 34.2% 9.8% 27.8% 27.0% 35.5% 5.7% 6.3% 18.5M -1.27B -6.7M 1.12 3.52 N/A N/A 533,140 594,520 3,884,440 4,679,740 2010-09-23 $7.64 $7.00 33.7% 9.7% 27.6% 25.5% 35.1% 4.7% 7.6% 18.6M -1.27B -6.7M 0.82 3.63 N/A N/A 1,075,660 880,180 3,862,960 4,826,140 2010-09-24 $8.04 $7.00 37.4% 10.2% 29.6% 36.3% 36.9% 3.5% 8.0% 33.7M -1.77B -6.7M 1.03 3.47 N/A N/A 1,496,700 1,538,380 4,059,040 5,026,560 2010-09-27 $7.97 $7.00 40.1% 10.7% 30.5% 44.5% 38.5% 3.9% 7.5% 18.7M -1.54B -7.1M 1.09 4.29 N/A N/A 791,460 859,200 4,138,160 5,224,560 2010-09-28 $7.99 $7.00 43.9% 10.7% 27.9% 55.6% 38.7% 4.5% 8.6% 17.9M -1.54B -7.3M 1.49 3.42 N/A N/A 730,840 1,089,660 4,284,340 5,407,780 2010-09-29 $7.95 $7.00 40.0% 10.2% 28.6% 44.1% 36.9% 3.6% 9.4% 12.7M -1.48B -7.4M 1.31 3.09 N/A N/A 589,800 770,000 4,393,060 5,623,020 2010-09-30 $7.85 $7.25 36.7% 10.1% 23.7% 34.3% 36.0% 3.8% 10.2% 1.2M -1.25B -7.5M 1.13 3.75 N/A N/A 639,460 721,100 4,481,200 5,855,780
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