AMZN Options History — March 2011

In March 2011, AMZN traded between $8.05 and $9.01. ATM implied volatility averaged 32.3%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 8.3% (HV 20d: 24.0%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2011-03-30: Highest Volume — 2,412,620 contracts
2011-03-03: Largest IV drop — 25.5% change
2011-03-02: Highest IV Rank — 49.9%
2011-03-16: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.44	$8.05	$9.01	$8.47	$9.01
Max Pain	$8.64	$8.50	$9.00	$9.00	$8.50
ATM IV	32.3%	27.3%	38.2%	36.7%	29.7%
Expected Move	9.0%	7.8%	10.7%	9.3%	8.0%
HV 20d	24.0%	21.0%	26.6%	26.2%	26.6%
HV 60d	29.1%	28.5%	30.5%	28.5%	30.5%
IV Rank	29.7%	12.3%	49.9%	45.0%	20.8%
IV Percentile	36.8%	7.1%	73.0%	69.0%	19.0%
Term Structure	3.6%	0.8%	7.0%	0.9%	7.0%
VWIV	31.7%	27.6%	37.8%	33.1%	29.3%
Skew 25d	4.3%	2.4%	7.2%	3.7%	3.3%
Skew 10d	8.3%	4.4%	14.8%	7.7%	6.0%
Call IV 25d	29.6%	26.0%	34.1%	31.5%	27.2%
Put IV 25d	33.9%	28.9%	41.3%	35.2%	30.5%
Bid-Ask Spread %	4.16	3.29	5.76	3.80	5.76
Gamma HHI	0.13	0.08	0.27	0.11	0.11
Net GEX	-16.0M	-57.1M	33.5M	-27.3M	27.9M
Net DEX	17.7M	-920.9M	693.6M	196.4M	-920.2M
Net VEX	-9.2M	-9.6M	-8.7M	-9.4M	-9.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.55	1.84	1.08	0.76
Total Volume	1,230,913.043	693,420	2,412,620	1,330,980	1,495,840
Total OI	8,300,896.522	7,135,260	8,948,920	8,141,720	8,695,020

Daily Data (23 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
2011-03-01	$8.47	$9.00	36.7%	9.3%	26.2%	45.0%	33.1%	3.7%	0.9%	-27.3M	196.4M	-9.4M	1.08	3.80	N/A	N/A	640,200	690,780	3,504,920	4,636,800
2011-03-02	$8.60	$9.00	38.2%	9.2%	26.2%	49.9%	31.9%	4.6%	1.1%	-14.3M	-29.5M	-9.6M	0.86	4.14	N/A	N/A	674,920	580,080	3,662,600	4,710,140
2011-03-03	$8.64	$9.00	28.4%	8.2%	26.1%	16.3%	30.0%	3.9%	2.4%	-10.3M	-110.8M	-9.6M	1.14	4.00	N/A	N/A	371,440	425,180	3,730,880	4,721,060
2011-03-04	$8.58	$8.75	30.0%	9.2%	26.2%	21.8%	32.1%	3.9%	2.6%	-21.4M	-16.0M	-9.5M	1.24	4.29	N/A	N/A	475,060	588,680	3,727,000	4,824,520
2011-03-07	$8.45	$8.75	33.7%	9.5%	26.2%	34.6%	33.8%	4.8%	1.9%	-28.6M	186.4M	-9.3M	1.03	4.00	N/A	N/A	586,420	601,820	3,568,080	4,654,740
2011-03-08	$8.34	$8.75	36.9%	9.7%	26.4%	45.6%	33.5%	4.9%	1.3%	-34.6M	322.6M	-9.2M	1.17	4.77	N/A	N/A	422,900	495,180	3,681,000	4,721,700
2011-03-09	$8.45	$8.75	31.9%	9.7%	22.8%	28.4%	34.7%	4.8%	1.4%	-27.4M	144.9M	-9.3M	0.84	4.01	N/A	N/A	777,160	655,620	3,730,320	4,766,720
2011-03-10	$8.31	$8.75	34.9%	10.0%	22.4%	38.6%	34.7%	4.8%	1.6%	-37.3M	338.3M	-9.4M	0.89	4.10	N/A	N/A	824,020	729,900	3,854,040	4,832,140
2011-03-11	$8.40	$8.75	33.5%	9.6%	22.9%	33.7%	34.4%	5.0%	2.3%	-26.2M	188.4M	-9.5M	0.94	4.22	N/A	N/A	569,420	535,480	4,008,420	4,929,380
2011-03-14	$8.34	$8.75	34.2%	9.8%	21.5%	36.2%	33.9%	4.5%	2.5%	-31.2M	254.5M	-9.3M	0.99	4.14	N/A	N/A	447,460	443,980	3,931,420	4,732,120
2011-03-15	$8.25	$8.50	34.4%	9.9%	21.0%	37.0%	34.4%	5.0%	2.2%	-38.3M	372.6M	-9.0M	0.93	3.71	N/A	N/A	466,580	435,160	3,969,640	4,757,380
2011-03-16	$8.23	$8.50	37.2%	10.7%	21.1%	46.4%	37.8%	7.2%	0.8%	-37.3M	344.1M	-9.2M	1.84	4.45	N/A	N/A	381,940	701,120	4,004,680	4,718,680
2011-03-17	$8.05	$8.50	35.7%	10.2%	21.8%	41.3%	35.2%	6.6%	1.7%	-57.1M	693.6M	-9.1M	1.06	3.58	N/A	N/A	637,260	672,480	4,044,400	4,904,520
2011-03-18	$8.09	$8.50	32.1%	9.2%	21.7%	29.0%	31.7%	6.1%	3.8%	-51.7M	605.0M	-8.8M	1.37	5.10	N/A	N/A	745,260	1,023,900	4,088,260	4,856,880
2011-03-21	$8.23	$8.50	29.2%	8.4%	23.3%	19.1%	30.2%	4.2%	5.4%	-8.9M	98.4M	-8.8M	0.91	3.66	N/A	N/A	623,920	567,600	3,134,480	4,000,780
2011-03-22	$8.13	$8.50	28.3%	8.1%	21.2%	15.8%	28.9%	3.4%	5.8%	-13.8M	199.9M	-8.7M	0.75	3.92	N/A	N/A	395,480	297,940	3,316,200	4,145,400
2011-03-23	$8.27	$8.50	27.9%	8.0%	21.7%	14.3%	28.3%	3.3%	6.2%	-4.7M	21.5M	-8.9M	0.65	4.11	N/A	N/A	574,960	373,040	3,366,740	4,230,500
2011-03-24	$8.55	$8.50	28.2%	8.1%	25.3%	15.5%	28.5%	3.2%	6.2%	14.7M	-402.2M	-9.2M	0.55	4.33	N/A	N/A	1,248,800	688,540	3,440,360	4,320,400
2011-03-25	$8.55	$8.50	27.3%	7.8%	25.3%	12.3%	27.6%	2.9%	6.6%	10.2M	-410.7M	-9.2M	0.87	3.29	N/A	N/A	542,540	472,620	3,620,520	4,437,020
2011-03-28	$8.47	$8.50	31.6%	8.1%	24.3%	27.3%	28.6%	2.8%	5.9%	-2.7M	-187.8M	-9.1M	1.14	4.22	N/A	N/A	360,360	409,680	3,479,440	4,259,000
2011-03-29	$8.73	$8.50	31.6%	8.0%	25.4%	27.4%	28.6%	2.4%	6.4%	19.3M	-561.9M	-9.2M	0.63	3.94	N/A	N/A	764,660	483,000	3,563,120	4,411,420
2011-03-30	$8.97	$8.50	31.2%	8.0%	26.6%	26.0%	28.8%	3.4%	6.9%	33.5M	-920.9M	-9.4M	0.75	4.19	N/A	N/A	1,380,420	1,032,200	3,686,380	4,541,400
2011-03-31	$9.01	$8.50	29.7%	8.0%	26.6%	20.8%	29.3%	3.3%	7.0%	27.9M	-920.2M	-9.5M	0.76	5.76	N/A	N/A	851,260	644,580	3,839,380	4,855,640