AMZN Options History — June 2011 In June 2011, AMZN traded between $9.18 and $10.22. ATM implied volatility averaged 29.4%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.3% (HV 20d: 26.1%). Max pain ranged from $9.25 to $10.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.10.
Notable Days 2011-06-27 : Highest Volume — 2,374,020 contracts2011-06-27 : Largest IV spike — 22.6% change2011-06-27 : Highest IV Rank — 41.7%2011-06-16 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.58 $9.18 $10.22 $9.62 $10.22 Max Pain $9.50 $9.25 $10.00 $10.00 $9.50 ATM IV 29.4% 24.1% 33.4% 33.1% 24.1% Expected Move 8.2% 7.2% 9.2% 8.1% 7.2% HV 20d 26.1% 21.5% 30.2% 26.6% 28.7% HV 60d 29.2% 28.5% 29.8% 28.9% 29.6% IV Rank 25.3% 3.8% 41.7% 40.4% 3.8% IV Percentile 27.2% 1.6% 58.7% 48.0% 1.6% Term Structure 5.2% 0.5% 8.8% 0.5% 8.8% VWIV 29.1% 25.9% 32.8% 27.4% 25.9% Skew 25d 3.9% 2.9% 5.5% 3.6% 3.0% Skew 10d 8.0% 5.6% 12.2% 7.9% 5.7% Call IV 25d 27.1% 24.4% 30.6% 26.2% 24.4% Put IV 25d 31.0% 27.4% 35.1% 29.8% 27.4% Bid-Ask Spread % 3.95 2.76 4.76 4.68 2.76 Gamma HHI 0.13 0.08 0.28 0.09 0.16 Net GEX -9.0M -52.2M 43.3M -24.5M 40.7M Net DEX -483.2M -1.48B 193.3M -421.2M -1.48B Net VEX -9.4M -10.0M -9.1M -9.9M -9.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.61 2.40 1.08 0.89 Total Volume 1,324,361.818 821,600 2,374,020 1,200,400 1,189,300 Total OI 8,557,712.727 7,290,980 9,073,460 8,384,680 8,954,020
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 2011-06-01 $9.62 $10.00 33.1% 8.1% 26.6% 40.4% 27.4% 3.6% 0.5% -24.5M -421.2M -9.9M 1.08 4.68 N/A N/A 576,560 623,840 3,640,740 4,743,940 2011-06-02 $9.68 $10.00 27.6% 7.6% 26.5% 17.9% 27.0% 3.5% 1.6% -18.7M -536.3M -10.0M 1.46 4.22 N/A N/A 404,880 591,560 3,729,040 4,884,500 2011-06-03 $9.42 $9.25 28.5% 8.3% 27.8% 21.6% 29.4% 3.8% 4.1% -24.0M 10.6M -9.9M 1.42 4.02 N/A N/A 682,400 972,320 3,791,480 5,006,940 2011-06-06 $9.28 $9.25 33.1% 8.5% 28.0% 40.2% 29.9% 4.0% 3.7% -33.6M 24.7M -9.6M 1.50 4.09 N/A N/A 586,200 881,240 3,729,680 4,735,580 2011-06-07 $9.38 $9.25 29.1% 8.3% 27.5% 24.2% 29.9% 4.6% 4.2% -27.4M -131.3M -9.7M 0.93 4.76 N/A N/A 498,900 464,480 3,894,220 4,875,580 2011-06-08 $9.40 $9.50 27.8% 8.4% 26.7% 18.7% 29.9% 4.3% 4.0% -38.1M -121.2M -9.7M 1.08 3.56 N/A N/A 405,020 437,420 3,913,020 5,037,160 2011-06-09 $9.48 $9.50 28.5% 8.2% 27.0% 21.9% 29.2% 4.5% 4.3% -15.1M -325.0M -9.4M 0.97 4.33 N/A N/A 494,460 481,980 3,946,560 5,038,200 2011-06-10 $9.33 $9.50 29.5% 8.5% 27.0% 25.8% 29.6% 4.0% 4.3% -29.1M -16.9M -9.4M 1.18 3.86 N/A N/A 566,400 669,480 3,942,780 5,082,280 2011-06-13 $9.31 $9.50 29.0% 8.3% 26.7% 23.6% 29.0% 3.8% 4.9% -35.2M -11.7M -9.2M 0.76 3.68 N/A N/A 619,120 471,540 3,802,180 4,852,920 2011-06-14 $9.50 $9.50 28.0% 8.0% 21.5% 19.8% 28.3% 3.4% 4.9% -10.8M -343.9M -9.2M 1.02 4.05 N/A N/A 459,620 468,820 3,854,540 4,929,980 2011-06-15 $9.30 $9.50 30.5% 8.7% 22.2% 29.6% 30.4% 3.7% 3.7% -36.8M 974.3K -9.2M 1.00 3.38 N/A N/A 803,380 806,860 3,862,080 4,950,660 2011-06-16 $9.18 $9.50 32.1% 9.2% 21.8% 36.2% 32.8% 4.5% 3.5% -52.2M 193.3M -9.2M 1.24 3.33 N/A N/A 915,220 1,131,620 3,915,660 5,005,280 2011-06-17 $9.32 $9.50 30.9% 8.9% 22.3% 31.5% 31.7% 5.4% 4.6% -36.3M -133.8M -9.3M 2.40 3.68 N/A N/A 512,780 1,228,900 4,024,220 5,049,240 2011-06-20 $9.39 $9.50 28.4% 8.2% 22.6% 21.5% 29.0% 5.5% 7.1% -9.4M -368.7M -9.1M 1.42 3.72 N/A N/A 407,920 577,700 3,124,020 4,166,960 2011-06-21 $9.71 $9.25 27.2% 7.8% 25.8% 16.6% 28.5% 4.2% 7.2% 15.3M -822.3M -9.2M 1.14 2.95 N/A N/A 834,880 954,780 3,308,960 4,326,520 2011-06-22 $9.58 $9.50 27.1% 7.8% 25.7% 15.8% 27.4% 3.1% 7.5% 277.8K -615.3M -9.3M 0.61 4.19 N/A N/A 510,660 310,940 3,466,760 4,618,980 2011-06-23 $9.71 $9.50 27.2% 7.8% 26.1% 16.4% 28.3% 3.4% 7.1% 43.3M -856.7M -9.4M 0.97 4.39 N/A N/A 750,580 729,280 3,584,720 4,676,880 2011-06-24 $9.63 $9.50 27.3% 7.8% 25.7% 16.7% 27.9% 2.9% 7.3% 2.1M -713.7M -9.4M 1.05 4.02 N/A N/A 438,320 460,540 3,676,040 4,819,940 2011-06-27 $10.06 $9.50 33.4% 8.6% 30.2% 41.7% 30.7% 3.8% 6.2% 24.9M -1.23B -9.4M 0.70 4.21 N/A N/A 1,398,520 975,500 3,414,400 4,566,700 2011-06-28 $10.12 $9.50 33.4% 8.2% 29.9% 41.6% 29.5% 4.0% 6.7% 30.7M -1.30B -9.5M 0.80 4.43 N/A N/A 558,580 445,700 3,733,540 4,857,460 2011-06-29 $10.21 $9.50 31.0% 7.7% 28.7% 32.0% 27.8% 3.6% 7.8% 37.2M -1.44B -9.4M 0.67 4.51 N/A N/A 1,101,640 736,120 3,745,480 4,989,840 2011-06-30 $10.22 $9.50 24.1% 7.2% 28.7% 3.8% 25.9% 3.0% 8.8% 40.7M -1.48B -9.5M 0.89 2.76 N/A N/A 630,460 558,840 3,867,060 5,086,960
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