AMZN Options History — December 2010

In December 2010, AMZN traded between $8.70 and $9.24. ATM implied volatility averaged 29.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.6% (HV 20d: 27.9%). Max pain ranged from $7.00 to $8.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.

Notable Days

2010-12-20: Highest Volume — 2,369,740 contracts
2010-12-02: Largest IV drop — 13.4% change
2010-12-01: Highest IV Rank — 38.8%
2010-12-01: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.94	$8.70	$9.24	$8.83	$9.00
Max Pain	$7.63	$7.00	$8.50	$8.50	$8.00
ATM IV	29.5%	23.8%	38.2%	38.2%	25.0%
Expected Move	8.7%	7.5%	10.3%	10.3%	8.1%
HV 20d	27.9%	16.5%	36.1%	36.1%	17.6%
HV 60d	31.6%	29.3%	32.3%	32.3%	29.3%
IV Rank	13.4%	0.0%	38.8%	38.8%	3.4%
IV Percentile	13.5%	0.0%	67.5%	67.5%	0.4%
Term Structure	5.5%	0.4%	9.6%	0.4%	9.6%
VWIV	31.1%	27.2%	36.1%	36.1%	28.9%
Skew 25d	3.1%	1.8%	4.5%	3.8%	2.7%
Skew 10d	6.4%	3.6%	9.0%	8.4%	5.8%
Call IV 25d	29.4%	25.6%	34.2%	34.2%	27.5%
Put IV 25d	32.5%	28.6%	38.0%	38.0%	30.2%
Bid-Ask Spread %	4.82	2.83	15.42	3.04	3.05
Gamma HHI	0.18	0.11	0.54	0.14	0.54
Net GEX	16.7M	-99.5M	49.8M	24.9M	-99.5M
Net DEX	-1.66B	-1.99B	-1.33B	-1.65B	-1.51B
Net VEX	-8.0M	-8.7M	-7.4M	-8.7M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.44	1.41	0.75	1.41
Total Volume	1,101,614.545	476,520	2,369,740	1,235,600	1,182,420
Total OI	10,071,457.273	8,611,540	10,668,880	10,345,040	10,085,680

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
2010-12-01	$8.83	$8.50	38.2%	10.3%	36.1%	38.8%	36.1%	3.8%	0.4%	24.9M	-1.65B	-8.7M	0.75	3.04	N/A	N/A	706,040	529,560	4,447,760	5,897,280
2010-12-02	$8.83	$8.50	33.1%	9.9%	35.4%	23.7%	34.9%	2.4%	0.8%	21.6M	-1.62B	-8.6M	0.81	3.37	N/A	N/A	696,980	564,720	4,449,800	6,016,980
2010-12-03	$8.78	$8.50	30.1%	9.3%	35.5%	15.0%	32.9%	1.8%	1.2%	17.9M	-1.61B	-8.5M	0.87	3.04	N/A	N/A	634,820	553,520	4,461,940	6,146,220
2010-12-06	$8.90	$7.00	33.8%	9.6%	35.6%	25.8%	34.9%	4.1%	2.8%	26.4M	-1.74B	-8.3M	0.97	6.46	N/A	N/A	638,400	616,100	4,204,300	5,864,080
2010-12-07	$8.84	$7.25	32.0%	9.5%	35.7%	20.6%	33.6%	4.5%	3.2%	22.7M	-1.63B	-8.3M	1.34	4.79	N/A	N/A	544,340	726,860	4,293,460	6,017,260
2010-12-08	$8.81	$7.25	30.7%	9.3%	35.5%	16.6%	33.1%	4.3%	3.1%	17.0M	-1.55B	-8.1M	1.05	4.25	N/A	N/A	417,680	437,620	4,295,840	6,088,160
2010-12-09	$8.74	$7.25	29.6%	9.1%	35.1%	13.4%	32.7%	3.6%	3.7%	12.4M	-1.43B	-8.1M	1.03	4.86	N/A	N/A	579,500	598,720	4,305,620	6,151,200
2010-12-10	$8.78	$7.25	27.6%	9.1%	34.5%	7.5%	32.6%	3.4%	3.6%	12.0M	-1.51B	-8.0M	1.05	6.21	N/A	N/A	589,560	620,520	4,330,880	6,236,320
2010-12-13	$8.71	$7.25	30.9%	9.0%	32.9%	17.1%	32.1%	3.1%	3.7%	12.2M	-1.38B	-7.9M	0.69	15.42	N/A	N/A	579,220	397,500	4,162,500	6,091,560
2010-12-14	$8.70	$7.25	30.4%	9.0%	28.5%	15.6%	31.8%	3.2%	3.7%	9.0M	-1.33B	-7.8M	0.55	6.15	N/A	N/A	573,020	313,380	4,206,200	6,169,480
2010-12-15	$8.78	$7.25	31.7%	9.1%	28.3%	19.6%	31.9%	3.1%	3.8%	21.8M	-1.55B	-7.7M	0.44	4.74	N/A	N/A	927,900	403,780	4,228,140	6,194,680
2010-12-16	$8.90	$7.25	29.9%	8.6%	28.4%	14.3%	30.8%	2.7%	5.0%	35.6M	-1.77B	-7.6M	0.59	9.14	N/A	N/A	797,860	467,920	4,257,240	6,250,220
2010-12-17	$8.88	$7.25	28.6%	8.2%	26.2%	10.6%	29.8%	2.2%	5.9%	19.1M	-1.76B	-7.5M	0.79	4.90	N/A	N/A	599,500	475,460	4,351,240	6,317,640
2010-12-20	$9.16	$7.50	28.2%	8.1%	28.0%	9.4%	29.4%	2.5%	8.0%	27.2M	-1.81B	-7.4M	0.67	3.93	N/A	N/A	1,423,220	946,520	3,494,960	5,116,580
2010-12-21	$9.24	$7.50	28.0%	8.0%	26.0%	8.7%	29.0%	2.6%	8.4%	39.0M	-1.99B	-7.8M	1.05	3.54	N/A	N/A	523,580	549,140	3,851,920	5,421,800
2010-12-22	$9.24	$7.75	26.9%	7.7%	25.3%	5.4%	28.3%	2.9%	9.1%	49.8M	-1.98B	-7.9M	1.32	3.40	N/A	N/A	278,960	367,520	4,006,400	5,607,220
2010-12-23	$9.13	$7.75	26.2%	7.5%	18.6%	3.3%	27.2%	3.0%	9.4%	18.9M	-1.77B	-8.0M	0.87	3.02	N/A	N/A	540,940	469,660	4,019,420	5,729,520
2010-12-27	$9.11	$7.75	28.8%	8.3%	18.6%	11.1%	29.6%	3.4%	8.7%	18.6M	-1.74B	-8.0M	1.25	3.47	N/A	N/A	378,980	473,160	3,870,200	5,566,520
2010-12-28	$9.05	$7.75	27.9%	8.0%	18.3%	8.3%	28.2%	3.1%	9.2%	13.1M	-1.66B	-7.9M	0.90	3.28	N/A	N/A	251,040	225,480	3,957,880	5,713,020
2010-12-29	$9.17	$8.00	27.1%	7.8%	16.5%	6.1%	28.6%	3.3%	9.2%	25.2M	-1.84B	-7.9M	0.87	3.24	N/A	N/A	509,500	445,360	4,004,620	5,758,660
2010-12-30	$9.14	$8.00	23.8%	7.9%	16.5%	0.0%	28.9%	3.5%	9.2%	21.6M	-1.76B	-8.0M	1.16	2.83	N/A	N/A	314,960	364,600	4,049,900	5,881,760
2010-12-31	$9.00	$8.00	25.0%	8.1%	17.6%	3.4%	28.9%	2.7%	9.6%	-99.5M	-1.51B	-8.0M	1.41	3.05	N/A	N/A	491,180	691,240	4,099,480	5,986,200