AMZN Options History — May 2011

In May 2011, AMZN traded between $9.61 and $10.30. ATM implied volatility averaged 28.3%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 5.7% (HV 20d: 34.0%). Max pain ranged from $9.25 to $10.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2011-05-16: Highest Volume — 3,382,640 contracts
2011-05-31: Largest IV spike — 19.4% change
2011-05-09: Highest IV Rank — 25.0%
2011-05-16: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.91	$9.61	$10.30	$10.06	$9.83
Max Pain	$9.81	$9.25	$10.00	$9.25	$10.00
ATM IV	28.3%	23.2%	31.0%	30.6%	27.6%
Expected Move	8.1%	7.2%	8.8%	8.4%	7.5%
HV 20d	34.0%	25.9%	39.1%	33.7%	25.9%
HV 60d	28.8%	28.1%	30.3%	28.8%	28.7%
IV Rank	16.9%	0.0%	25.0%	23.7%	18.2%
IV Percentile	15.8%	0.0%	30.2%	24.6%	12.7%
Term Structure	0.9%	-0.0%	1.9%	-0.0%	1.4%
VWIV	28.7%	25.9%	31.7%	29.8%	26.5%
Skew 25d	3.4%	1.1%	5.2%	2.9%	3.1%
Skew 10d	7.0%	2.8%	10.7%	5.7%	6.0%
Call IV 25d	27.0%	24.5%	29.5%	28.2%	24.8%
Put IV 25d	30.3%	27.3%	34.2%	31.2%	27.8%
Bid-Ask Spread %	4.48	3.05	10.30	3.67	5.10
Gamma HHI	0.11	0.07	0.26	0.10	0.08
Net GEX	19.7M	-23.9M	59.1M	46.5M	1.6M
Net DEX	-1.20B	-2.03B	-419.7M	-1.75B	-785.9M
Net VEX	-10.5M	-11.0M	-9.8M	-9.8M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.62	1.35	0.62	0.96
Total Volume	1,623,193.333	805,600	3,382,640	3,171,280	805,600
Total OI	9,489,790.476	7,703,140	10,804,020	8,633,020	8,358,660

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
2011-05-02	$10.06	$9.25	30.6%	8.4%	33.7%	23.7%	29.8%	2.9%	-0.0%	46.5M	-1.75B	-9.8M	0.62	3.67	N/A	N/A	1,954,080	1,217,200	3,823,940	4,809,080
2011-05-03	$9.92	$9.25	30.3%	8.2%	34.1%	22.6%	29.7%	1.1%	0.3%	32.6M	-1.45B	-10.2M	0.99	3.28	N/A	N/A	925,240	916,680	4,027,560	5,096,760
2011-05-04	$10.00	$9.25	30.9%	8.2%	34.0%	24.8%	29.6%	1.9%	0.7%	42.9M	-1.57B	-10.3M	0.93	3.38	N/A	N/A	968,380	898,200	4,154,120	5,327,920
2011-05-05	$9.86	$9.25	29.8%	8.3%	34.0%	20.9%	29.8%	2.3%	0.8%	20.6M	-1.26B	-10.5M	1.09	4.10	N/A	N/A	763,620	833,500	4,213,300	5,424,680
2011-05-06	$9.88	$9.75	26.6%	8.1%	33.9%	9.9%	28.9%	3.7%	0.8%	26.2M	-1.35B	-10.9M	1.05	3.05	N/A	N/A	691,860	728,680	4,406,380	5,551,900
2011-05-09	$10.04	$9.75	31.0%	8.5%	34.1%	25.0%	29.8%	3.2%	0.4%	34.1M	-1.58B	-10.8M	0.73	3.84	N/A	N/A	904,060	662,660	4,145,060	5,327,180
2011-05-10	$10.20	$9.75	28.2%	7.9%	34.2%	15.4%	28.4%	3.3%	0.9%	59.1M	-1.92B	-10.3M	0.80	3.50	N/A	N/A	1,224,840	974,020	4,275,800	5,475,460
2011-05-11	$10.22	$9.75	25.9%	7.9%	33.0%	7.6%	28.4%	3.5%	1.0%	51.8M	-1.92B	-10.8M	1.32	4.28	N/A	N/A	554,140	732,500	4,452,860	5,685,940
2011-05-12	$10.30	$10.00	28.7%	8.2%	33.0%	17.3%	29.4%	4.0%	0.4%	57.0M	-2.03B	-10.7M	1.30	10.30	N/A	N/A	698,700	907,420	4,485,640	5,830,600
2011-05-13	$10.13	$10.00	27.7%	7.9%	33.9%	13.7%	28.3%	3.0%	1.0%	34.9M	-1.67B	-10.9M	1.18	3.96	N/A	N/A	731,600	864,300	4,565,220	6,008,780
2011-05-16	$9.63	$10.00	30.8%	8.8%	39.1%	24.6%	31.7%	4.8%	0.3%	-23.9M	-565.1M	-10.9M	1.18	3.98	N/A	N/A	1,553,840	1,828,800	4,417,880	5,770,920
2011-05-17	$9.74	$10.00	30.0%	8.6%	38.9%	21.8%	30.8%	5.2%	0.3%	-7.4M	-862.8M	-11.0M	1.20	4.10	N/A	N/A	921,440	1,105,060	4,532,260	5,951,500
2011-05-18	$9.85	$10.00	28.8%	8.2%	39.0%	17.5%	28.5%	4.7%	1.1%	11.5M	-1.15B	-10.9M	1.00	4.78	N/A	N/A	678,040	676,600	4,601,640	6,045,720
2011-05-19	$9.94	$10.00	27.3%	7.8%	38.0%	12.5%	28.0%	4.0%	1.6%	48.0M	-1.40B	-10.6M	1.04	4.15	N/A	N/A	747,120	779,060	4,567,340	5,999,920
2011-05-20	$9.93	$10.00	26.8%	7.7%	38.0%	13.0%	27.8%	4.1%	1.7%	24.1M	-1.26B	-10.6M	1.09	5.21	N/A	N/A	637,980	696,040	4,665,560	6,138,460
2011-05-23	$9.81	$10.00	29.3%	8.4%	38.3%	23.3%	29.7%	4.4%	0.7%	-6.8M	-644.8M	-10.5M	1.35	5.12	N/A	N/A	640,520	864,880	3,367,800	4,335,340
2011-05-24	$9.66	$10.00	27.9%	8.0%	38.2%	17.5%	28.6%	3.2%	0.9%	-16.4M	-478.6M	-10.5M	1.24	4.05	N/A	N/A	382,020	475,020	3,539,840	4,590,500
2011-05-25	$9.61	$10.00	27.5%	7.9%	26.9%	15.9%	27.6%	2.8%	1.2%	-20.0M	-419.7M	-10.2M	1.01	4.65	N/A	N/A	471,760	474,540	3,599,080	4,676,800
2011-05-26	$9.75	$10.00	26.1%	7.5%	27.3%	9.8%	26.5%	3.0%	1.8%	3.6M	-673.6M	-10.4M	0.98	4.47	N/A	N/A	642,140	627,140	3,688,500	4,730,580
2011-05-27	$9.71	$10.00	23.2%	7.2%	27.3%	0.0%	25.9%	2.9%	1.9%	-5.4M	-543.1M	-10.2M	1.05	5.20	N/A	N/A	453,400	474,380	3,726,860	4,892,260
2011-05-31	$9.83	$10.00	27.6%	7.5%	25.9%	18.2%	26.5%	3.1%	1.4%	1.6M	-785.9M	-10.0M	0.96	5.10	N/A	N/A	410,960	394,640	3,619,420	4,739,240