AMZN Options History — August 2011 In August 2011, AMZN traded between $8.88 and $11.07. ATM implied volatility averaged 47.8%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.2% (HV 20d: 46.7%). Max pain ranged from $10.00 to $10.75. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.09.
Notable Days 2011-08-05 : Highest Volume — 3,259,260 contracts2011-08-08 : Largest IV spike — 76.4% change2011-08-04 : Highest IV Rank — 100.0%2011-08-22 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $9.97 $8.88 $11.07 $11.07 $10.76 Max Pain $10.33 $10.00 $10.75 $10.75 $10.00 ATM IV 47.8% 38.3% 75.1% 38.3% 47.0% Expected Move 12.5% 9.4% 15.1% 9.4% 11.1% HV 20d 46.7% 25.3% 62.2% 25.3% 61.2% HV 60d 35.1% 26.8% 41.7% 26.8% 41.7% IV Rank 58.4% 32.9% 100.0% 63.8% 47.6% IV Percentile 95.4% 86.1% 100.0% 88.5% 95.2% Term Structure -1.3% -4.0% 1.3% -0.3% 1.3% VWIV 44.6% 33.3% 54.9% 33.3% 41.3% Skew 25d 9.7% 3.5% 15.8% 3.9% 6.8% Skew 10d 20.8% 7.1% 33.9% 7.8% 13.8% Call IV 25d 39.7% 31.1% 47.1% 31.1% 36.9% Put IV 25d 49.4% 35.0% 62.9% 35.0% 43.7% Bid-Ask Spread % 24.66 9.88 29.36 19.20 9.88 Gamma HHI 0.07 0.04 0.24 0.08 0.08 Net GEX -4.0M -31.0M 38.4M 25.1M 38.4M Net DEX -309.0M -1.61B 1.01B -1.49B -1.61B Net VEX -10.3M -11.0M -9.3M -10.2M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.67 1.54 0.91 1.05 Total Volume 1,551,913.043 863,520 3,259,260 1,490,900 1,406,160 Total OI 8,768,751.304 7,254,000 9,611,220 8,322,640 8,829,140
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 2011-08-01 $11.07 $10.75 38.3% 9.4% 25.3% 63.8% 33.3% 3.9% -0.3% 25.1M -1.49B -10.2M 0.91 19.20 N/A N/A 782,440 708,460 3,716,980 4,605,660 2011-08-02 $10.59 $10.75 44.3% 10.3% 29.7% 86.9% 35.6% 3.5% -1.1% -7.6M -747.0M -10.4M 0.76 19.51 N/A N/A 945,160 720,500 3,860,620 4,781,160 2011-08-03 $10.50 $10.75 45.6% 10.1% 29.7% 91.5% 35.2% 3.9% -0.5% -11.4M -606.4M -10.6M 0.89 27.58 N/A N/A 888,460 788,860 4,070,040 4,933,320 2011-08-04 $10.07 $10.75 48.4% 12.6% 32.5% 100.0% 43.2% 6.9% -2.9% -28.7M 18.8M -10.9M 1.15 25.93 N/A N/A 955,040 1,101,220 4,161,600 5,034,060 2011-08-05 $10.13 $10.75 42.6% 11.7% 32.5% 78.6% 42.0% 9.9% -0.9% -9.5M -69.6M -11.0M 0.97 23.62 N/A N/A 1,656,320 1,602,940 4,314,060 5,177,440 2011-08-08 $9.69 $10.50 75.1% 14.6% 34.8% 100.0% 50.9% 14.2% -4.0% -14.7M 246.7M -11.0M 1.54 22.68 N/A N/A 745,900 1,145,660 4,115,340 4,893,360 2011-08-09 $10.25 $10.50 56.3% 11.9% 41.1% 64.9% 42.0% 10.9% -0.1% 3.7M -487.5M -10.9M 0.80 24.18 N/A N/A 1,040,280 827,700 4,254,200 4,908,100 2011-08-10 $9.71 $10.50 57.1% 14.7% 45.0% 66.5% 52.5% 13.3% -3.8% -12.6M 165.2M -10.9M 1.13 29.36 N/A N/A 718,580 814,500 4,371,440 4,874,920 2011-08-11 $9.92 $10.50 47.2% 13.5% 45.8% 48.1% 48.4% 11.7% -2.9% -10.4M -44.4M -10.9M 0.97 24.31 N/A N/A 608,440 587,860 4,416,280 5,074,220 2011-08-12 $10.12 $10.25 43.9% 12.6% 46.2% 41.8% 43.5% 10.4% -1.4% -7.1M -330.0M -10.8M 0.88 26.19 N/A N/A 562,700 495,880 4,450,180 5,142,500 2011-08-15 $10.15 $10.25 40.1% 11.5% 46.2% 34.8% 42.1% 8.3% -0.5% -9.2M -332.2M -10.2M 0.94 26.50 N/A N/A 444,420 419,100 4,230,820 4,796,100 2011-08-16 $9.88 $10.25 39.5% 11.3% 45.3% 33.7% 40.4% 7.2% 0.5% -21.6M 47.3M -9.9M 1.17 26.41 N/A N/A 591,160 692,500 4,287,180 4,857,740 2011-08-17 $9.80 $10.25 39.1% 11.2% 45.2% 32.9% 40.2% 7.0% 0.5% -30.0M 178.9M -9.6M 0.98 26.94 N/A N/A 441,880 434,560 4,365,980 5,038,320 2011-08-18 $9.13 $10.25 48.5% 13.9% 51.0% 50.4% 49.5% 11.4% -2.4% -31.0M 898.5M -9.6M 1.14 27.96 N/A N/A 867,540 988,320 4,411,900 5,056,580 2011-08-19 $8.95 $10.25 51.9% 14.9% 50.4% 56.8% 53.4% 14.2% -2.8% -26.5M 1.01B -9.4M 1.49 27.42 N/A N/A 818,580 1,221,100 4,518,540 5,092,680 2011-08-22 $8.88 $10.25 52.7% 15.1% 50.3% 58.2% 54.9% 15.8% -3.6% -11.5M 325.9M -9.3M 1.32 27.04 N/A N/A 566,860 747,960 3,228,460 4,025,540 2011-08-23 $9.68 $10.00 45.6% 13.1% 60.7% 44.9% 48.9% 12.3% -1.3% 5.9M -422.2M -10.1M 1.20 26.88 N/A N/A 741,260 886,340 3,396,020 4,148,140 2011-08-24 $9.69 $10.00 45.7% 13.1% 58.5% 45.2% 49.7% 13.0% -1.7% 7.8M -439.8M -10.0M 1.19 26.65 N/A N/A 498,660 592,160 3,493,720 4,320,320 2011-08-25 $9.60 $10.00 50.4% 14.5% 58.3% 54.0% 50.6% 14.0% -3.4% 4.7M -319.4M -10.3M 1.41 26.68 N/A N/A 391,400 551,700 3,536,520 4,367,920 2011-08-26 $9.96 $10.00 44.3% 12.1% 60.5% 42.5% 45.6% 11.9% -0.0% 5.5M -694.7M -10.5M 1.48 27.18 N/A N/A 889,820 1,319,280 3,578,840 4,486,340 2011-08-29 $10.33 $10.00 48.7% 11.9% 62.2% 50.8% 42.0% 6.9% -0.3% 17.3M -1.05B -10.0M 0.67 23.34 N/A N/A 780,940 525,380 3,527,680 4,413,480 2011-08-30 $10.55 $10.00 47.7% 11.4% 60.8% 48.9% 40.6% 5.3% 0.8% 31.3M -1.37B -10.1M 1.06 21.70 N/A N/A 573,820 606,200 3,795,520 4,722,320 2011-08-31 $10.76 $10.00 47.0% 11.1% 61.2% 47.6% 41.3% 6.8% 1.3% 38.4M -1.61B -10.4M 1.05 9.88 N/A N/A 685,220 720,940 3,873,660 4,955,480
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