AMZN Options History — July 2011

In July 2011, AMZN traded between $10.47 and $11.20. ATM implied volatility averaged 33.1%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 6.5% (HV 20d: 26.6%). Max pain ranged from $9.50 to $10.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2011-07-27: Highest Volume — 3,455,080 contracts
2011-07-05: Largest IV spike — 40.2% change
2011-07-26: Highest IV Rank — 85.7%
2011-07-26: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.76	$10.47	$11.20	$10.47	$11.13
Max Pain	$10.41	$9.50	$10.75	$9.50	$10.75
ATM IV	33.1%	21.4%	44.0%	21.4%	35.7%
Expected Move	10.3%	6.7%	12.6%	6.7%	9.2%
HV 20d	26.6%	22.7%	28.1%	27.2%	26.2%
HV 60d	29.1%	26.4%	30.5%	29.8%	27.0%
IV Rank	44.4%	0.0%	85.7%	0.0%	54.2%
IV Percentile	54.6%	0.0%	96.8%	0.0%	77.8%
Term Structure	-1.7%	-6.5%	9.3%	9.3%	0.3%
VWIV	36.4%	25.9%	43.7%	25.9%	33.6%
Skew 25d	3.1%	1.8%	4.4%	3.0%	3.5%
Skew 10d	6.0%	3.2%	8.3%	8.3%	6.6%
Call IV 25d	34.5%	22.7%	41.9%	22.7%	31.2%
Put IV 25d	37.6%	25.7%	45.8%	25.7%	34.7%
Bid-Ask Spread %	10.22	4.38	26.24	4.38	18.63
Gamma HHI	0.11	0.06	0.36	0.36	0.07
Net GEX	32.2M	7.1M	97.0M	97.0M	21.9M
Net DEX	-1.64B	-2.21B	-1.05B	-1.86B	-1.71B
Net VEX	-9.6M	-10.5M	-9.1M	-9.4M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.71	1.40	0.83	0.88
Total Volume	1,360,923	689,660	3,455,080	1,765,400	1,697,440
Total OI	8,522,552	6,532,100	9,683,760	9,223,360	9,355,920

Daily Data (20 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
2011-07-01	$10.47	$9.50	21.4%	6.7%	27.2%	0.0%	25.9%	3.0%	9.3%	97.0M	-1.86B	-9.4M	0.83	4.38	N/A	N/A	964,220	801,180	3,994,880	5,228,480
2011-07-05	$10.66	$10.00	30.0%	9.9%	26.5%	32.7%	35.3%	3.1%	-1.9%	45.1M	-1.99B	-9.1M	0.97	7.79	N/A	N/A	647,320	625,680	3,781,780	5,019,120
2011-07-06	$10.71	$10.25	26.8%	9.9%	26.5%	20.3%	35.6%	3.1%	-1.9%	40.2M	-1.98B	-9.3M	0.81	8.01	N/A	N/A	572,060	464,260	3,886,760	5,226,880
2011-07-07	$10.84	$10.25	25.9%	9.9%	26.5%	16.8%	34.9%	2.8%	-1.5%	49.5M	-2.16B	-9.3M	1.02	7.25	N/A	N/A	459,760	470,380	3,965,020	5,343,340
2011-07-08	$10.91	$10.25	24.5%	9.9%	26.5%	11.6%	35.3%	2.8%	-1.6%	40.4M	-2.21B	-9.2M	1.23	11.78	N/A	N/A	539,500	661,780	3,978,020	5,411,980
2011-07-11	$10.63	$10.50	29.6%	10.3%	27.9%	31.2%	36.5%	3.6%	-2.2%	32.6M	-1.75B	-9.4M	1.40	10.12	N/A	N/A	555,680	779,300	3,901,520	5,325,600
2011-07-12	$10.56	$10.50	29.6%	10.5%	28.1%	31.1%	36.7%	3.2%	-2.1%	26.5M	-1.64B	-9.5M	0.91	7.80	N/A	N/A	425,560	386,520	3,975,900	5,410,860
2011-07-13	$10.68	$10.50	26.6%	10.5%	27.8%	19.8%	36.8%	3.0%	-2.4%	29.0M	-1.80B	-9.4M	0.81	7.49	N/A	N/A	654,520	533,100	3,984,900	5,453,000
2011-07-14	$10.52	$10.50	36.6%	10.5%	27.0%	57.4%	36.7%	3.1%	-1.7%	12.0M	-1.55B	-9.6M	0.88	7.74	N/A	N/A	573,020	506,340	4,066,900	5,535,760
2011-07-15	$10.64	$10.50	36.3%	10.4%	26.1%	56.2%	37.1%	3.5%	-1.8%	22.7M	-1.73B	-9.5M	1.10	5.20	N/A	N/A	516,260	570,360	4,092,580	5,591,180
2011-07-18	$10.58	$10.50	38.0%	10.9%	26.4%	62.7%	38.0%	2.9%	-2.1%	10.5M	-1.05B	-9.4M	0.78	5.65	N/A	N/A	386,520	303,140	2,887,520	3,644,580
2011-07-19	$10.90	$10.50	36.6%	10.5%	27.8%	57.5%	37.0%	3.2%	-2.0%	23.8M	-1.38B	-9.5M	0.71	7.61	N/A	N/A	549,580	392,100	3,008,780	3,770,040
2011-07-20	$10.78	$10.50	38.1%	10.9%	26.7%	63.1%	37.8%	2.5%	-2.8%	18.3M	-1.26B	-9.5M	0.94	9.87	N/A	N/A	414,180	391,300	3,124,140	3,885,760
2011-07-21	$10.66	$10.50	38.3%	11.0%	26.4%	64.1%	38.5%	2.9%	-3.7%	7.1M	-1.11B	-9.4M	0.83	7.50	N/A	N/A	620,900	518,160	3,187,060	3,979,020
2011-07-22	$10.83	$10.50	39.6%	11.4%	26.5%	69.0%	39.8%	3.3%	-4.3%	17.8M	-1.34B	-9.6M	0.75	16.98	N/A	N/A	723,980	541,900	3,299,600	4,098,220
2011-07-25	$10.67	$10.50	42.6%	12.2%	27.0%	80.4%	42.9%	1.8%	-5.9%	15.5M	-1.18B	-9.8M	0.85	26.24	N/A	N/A	498,820	424,420	3,243,520	3,979,300
2011-07-26	$10.71	$10.50	44.0%	12.6%	22.7%	85.7%	43.7%	4.4%	-6.5%	17.5M	-1.23B	-9.9M	0.77	10.89	N/A	N/A	1,926,420	1,483,720	3,408,500	4,145,580
2011-07-27	$11.13	$10.50	31.1%	8.9%	25.9%	36.7%	33.6%	3.9%	1.1%	62.5M	-1.96B	-10.2M	1.20	12.99	N/A	N/A	1,570,120	1,884,960	4,171,320	4,773,880
2011-07-28	$11.20	$10.75	31.2%	9.0%	25.9%	37.1%	32.6%	2.8%	0.6%	54.9M	-1.91B	-10.4M	1.12	10.48	N/A	N/A	558,820	625,180	4,229,260	5,084,580
2011-07-29	$11.13	$10.75	35.7%	9.2%	26.2%	54.2%	33.6%	3.5%	0.3%	21.9M	-1.71B	-10.5M	0.88	18.63	N/A	N/A	902,640	794,800	4,160,860	5,195,060