AMZN Options History — October 2010

In October 2010, AMZN traded between $7.65 and $8.50. ATM implied volatility averaged 37.5%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 4.4% (HV 20d: 33.1%). Max pain ranged from $7.25 to $8.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2010-10-21: Highest Volume — 4,959,500 contracts
2010-10-14: Largest IV spike — 37.0% change
2010-10-21: Highest IV Rank — 67.1%
2010-10-21: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.04	$7.65	$8.50	$7.69	$8.26
Max Pain	$7.83	$7.25	$8.00	$7.25	$8.00
ATM IV	37.5%	30.8%	47.8%	32.3%	30.8%
Expected Move	11.8%	9.3%	13.7%	9.5%	9.3%
HV 20d	33.1%	24.5%	40.0%	25.5%	36.1%
HV 60d	30.1%	28.4%	31.9%	28.4%	31.2%
IV Rank	36.7%	16.8%	67.1%	21.5%	16.8%
IV Percentile	49.5%	14.7%	96.8%	19.0%	14.7%
Term Structure	-2.8%	-7.8%	10.6%	10.6%	1.6%
VWIV	42.0%	33.8%	48.3%	34.7%	33.9%
Skew 25d	5.3%	3.4%	7.4%	3.7%	3.5%
Skew 10d	10.3%	6.3%	15.2%	8.0%	6.4%
Call IV 25d	39.1%	31.4%	44.8%	32.9%	31.6%
Put IV 25d	44.4%	35.1%	50.8%	36.6%	35.1%
Bid-Ask Spread %	3.28	2.39	5.30	3.60	3.90
Gamma HHI	0.14	0.07	0.79	0.09	0.21
Net GEX	15.9M	-20.5M	170.8M	5.6M	-20.5M
Net DEX	-1.21B	-1.98B	-811.2M	-975.0M	-1.05B
Net VEX	-7.5M	-8.0M	-7.0M	-7.4M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.63	1.55	1.16	1.23
Total Volume	1,630,727.619	812,260	4,959,500	2,158,000	1,068,960
Total OI	9,847,391.429	7,365,240	11,017,720	10,526,440	9,901,200

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
2010-10-01	$7.69	$7.25	32.3%	9.5%	25.5%	21.5%	34.7%	3.7%	10.6%	5.6M	-975.0M	-7.4M	1.16	3.60	N/A	N/A	997,860	1,160,140	4,543,860	5,982,580
2010-10-04	$7.77	$7.75	37.0%	12.7%	24.5%	35.2%	45.3%	7.0%	-4.8%	9.2M	-1.19B	-7.7M	0.90	2.59	N/A	N/A	560,680	501,980	4,428,080	5,846,160
2010-10-05	$8.04	$7.75	40.2%	12.9%	25.7%	44.7%	46.5%	7.3%	-5.3%	24.7M	-1.64B	-7.4M	1.08	2.49	N/A	N/A	688,080	745,420	4,522,840	5,953,880
2010-10-06	$7.77	$7.75	36.1%	12.8%	29.7%	32.7%	45.3%	6.6%	-5.2%	2.5M	-1.12B	-7.7M	1.23	3.83	N/A	N/A	662,580	813,380	4,560,260	6,092,680
2010-10-07	$7.81	$7.75	35.9%	12.9%	29.6%	32.0%	45.2%	7.4%	-5.3%	6.7M	-1.21B	-7.5M	1.10	2.39	N/A	N/A	508,380	556,940	4,651,440	6,187,140
2010-10-08	$7.78	$7.75	30.8%	12.3%	29.6%	17.0%	43.5%	6.4%	-4.6%	7.3M	-1.21B	-7.3M	1.05	3.80	N/A	N/A	783,080	825,180	4,721,960	6,295,760
2010-10-11	$7.65	$7.75	33.5%	12.5%	30.0%	25.0%	44.4%	6.0%	-5.1%	-3.2M	-984.5M	-7.2M	0.83	2.62	N/A	N/A	513,020	424,780	4,493,780	6,113,500
2010-10-12	$7.82	$7.75	33.8%	12.5%	30.8%	25.8%	44.4%	6.5%	-5.4%	9.4M	-1.24B	-7.4M	0.87	2.76	N/A	N/A	571,780	498,820	4,455,940	6,133,920
2010-10-13	$7.76	$7.75	32.5%	12.5%	31.1%	22.0%	44.3%	5.6%	-5.6%	6.0M	-1.18B	-7.1M	1.55	2.54	N/A	N/A	318,520	493,740	4,499,380	6,174,960
2010-10-14	$7.78	$7.75	44.5%	12.8%	30.5%	57.5%	45.2%	6.2%	-6.2%	5.6M	-1.17B	-7.3M	0.63	3.33	N/A	N/A	576,500	360,700	4,512,740	6,185,480
2010-10-15	$8.23	$7.75	46.7%	13.4%	36.1%	63.8%	47.7%	4.9%	-7.8%	170.8M	-1.98B	-7.0M	0.71	2.43	N/A	N/A	1,491,580	1,057,920	4,587,320	6,261,800
2010-10-18	$8.18	$7.75	46.2%	13.2%	35.9%	62.4%	46.9%	4.1%	-5.2%	9.0M	-1.06B	-7.2M	1.03	3.16	N/A	N/A	483,480	499,100	3,150,760	4,214,480
2010-10-19	$7.93	$8.00	46.3%	13.3%	37.9%	62.7%	46.6%	3.9%	-4.9%	4.6M	-811.2M	-7.5M	1.00	5.30	N/A	N/A	656,180	656,480	3,269,660	4,394,660
2010-10-20	$7.93	$8.00	46.6%	13.4%	37.8%	63.5%	47.0%	4.6%	-5.5%	5.3M	-824.5M	-7.3M	0.98	3.16	N/A	N/A	523,360	510,740	3,390,720	4,549,960
2010-10-21	$8.25	$8.00	47.8%	13.7%	40.0%	67.1%	48.3%	6.1%	-5.6%	12.4M	-1.18B	-7.3M	0.98	4.89	N/A	N/A	2,501,700	2,457,800	3,511,740	4,694,480
2010-10-22	$8.46	$8.00	33.9%	9.7%	37.0%	26.0%	35.8%	4.3%	1.0%	18.7M	-1.53B	-7.7M	1.00	3.45	N/A	N/A	2,447,060	2,457,340	4,412,060	5,706,940
2010-10-25	$8.45	$8.00	33.3%	9.6%	36.8%	24.4%	34.7%	4.5%	0.7%	16.7M	-1.33B	-8.0M	1.08	3.06	N/A	N/A	777,560	840,620	3,999,700	5,362,480
2010-10-26	$8.50	$8.00	33.4%	9.6%	36.8%	24.6%	34.5%	4.5%	1.3%	18.3M	-1.37B	-7.7M	0.99	3.37	N/A	N/A	569,500	562,020	4,015,640	5,483,640
2010-10-27	$8.38	$8.00	32.7%	9.4%	37.3%	22.6%	34.1%	3.4%	1.3%	13.8M	-1.21B	-7.9M	1.32	2.94	N/A	N/A	421,960	556,960	4,151,900	5,604,320
2010-10-28	$8.34	$8.00	33.1%	9.5%	36.9%	23.7%	33.8%	4.1%	1.1%	11.1M	-1.15B	-7.8M	1.44	3.33	N/A	N/A	468,500	674,900	4,174,640	5,600,780
2010-10-29	$8.26	$8.00	30.8%	9.3%	36.1%	16.8%	33.9%	3.5%	1.6%	-20.5M	-1.05B	-7.8M	1.23	3.90	N/A	N/A	479,940	589,020	4,186,000	5,715,200