AMZN Options History — September 2011

In September 2011, AMZN traded between $10.50 and $12.08. ATM implied volatility averaged 45.1%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 1.6% (HV 20d: 46.7%). Max pain ranged from $9.75 to $10.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.02.

Notable Days

2011-09-16: Highest Volume — 3,193,480 contracts
2011-09-06: Largest IV spike — 30.2% change
2011-09-30: Highest IV Rank — 66.0%
2011-09-30: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.16	$10.50	$12.08	$10.63	$10.81
Max Pain	$10.12	$9.75	$10.50	$10.00	$10.50
ATM IV	45.1%	31.7%	56.9%	37.1%	56.9%
Expected Move	13.2%	10.6%	15.9%	10.6%	15.9%
HV 20d	46.7%	36.2%	59.5%	59.3%	41.5%
HV 60d	43.2%	41.8%	45.2%	41.8%	45.2%
IV Rank	44.0%	19.1%	66.0%	29.2%	66.0%
IV Percentile	88.2%	47.6%	99.2%	77.8%	99.2%
Term Structure	1.0%	-2.2%	3.2%	2.6%	1.7%
VWIV	46.9%	37.8%	55.0%	37.8%	55.0%
Skew 25d	8.7%	6.6%	12.1%	6.6%	12.1%
Skew 10d	18.1%	13.8%	24.7%	13.8%	24.7%
Call IV 25d	42.2%	35.6%	49.5%	35.6%	49.5%
Put IV 25d	50.9%	42.2%	61.7%	42.2%	61.7%
Bid-Ask Spread %	7.77	5.22	12.46	5.28	5.93
Gamma HHI	0.10	0.05	0.43	0.08	0.16
Net GEX	25.0M	-15.9M	80.3M	30.6M	-15.9M
Net DEX	-1.64B	-3.08B	-799.5M	-1.41B	-799.5M
Net VEX	-10.9M	-11.9M	-9.8M	-11.0M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.77	1.55	1.19	1.55
Total Volume	1,553,311.429	780,480	3,193,480	1,510,080	1,610,840
Total OI	9,015,161.905	7,819,740	9,703,960	9,091,900	9,703,960

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
2011-09-01	$10.63	$10.00	37.1%	10.6%	59.3%	29.2%	37.8%	6.6%	2.6%	30.6M	-1.41B	-11.0M	1.19	5.28	N/A	N/A	688,560	821,520	4,035,440	5,056,460
2011-09-02	$10.50	$10.00	37.5%	11.1%	59.5%	29.9%	41.2%	8.0%	2.7%	-10.5M	-1.24B	-10.6M	1.05	5.78	N/A	N/A	728,740	768,400	4,132,640	5,293,900
2011-09-06	$10.81	$9.75	48.8%	12.6%	57.6%	50.9%	45.3%	8.7%	-1.6%	31.9M	-1.59B	-10.5M	0.97	10.55	N/A	N/A	686,580	663,580	3,910,820	4,978,260
2011-09-07	$10.99	$9.75	39.9%	12.0%	54.5%	34.4%	42.8%	8.0%	-1.0%	45.5M	-1.88B	-10.4M	0.77	9.50	N/A	N/A	628,360	485,260	4,064,740	5,134,880
2011-09-08	$10.86	$10.00	40.0%	12.5%	50.3%	34.5%	43.1%	7.4%	-1.7%	41.1M	-1.64B	-10.8M	0.91	10.21	N/A	N/A	509,680	464,680	4,084,300	5,254,780
2011-09-09	$10.57	$10.00	44.5%	13.3%	51.3%	42.9%	46.9%	9.1%	-2.1%	19.8M	-1.20B	-10.9M	1.32	6.09	N/A	N/A	584,720	769,220	4,095,180	5,319,000
2011-09-12	$10.83	$10.00	42.4%	13.5%	51.5%	39.1%	46.9%	9.0%	-2.2%	32.7M	-1.55B	-10.7M	1.09	10.46	N/A	N/A	522,880	571,440	3,916,300	5,094,600
2011-09-13	$10.98	$10.00	36.7%	12.5%	51.6%	28.5%	45.2%	8.9%	-0.5%	38.2M	-1.71B	-10.6M	0.96	8.35	N/A	N/A	398,260	382,220	3,978,220	5,191,480
2011-09-14	$11.13	$10.00	31.7%	11.9%	50.4%	19.1%	43.2%	8.4%	0.7%	51.6M	-1.96B	-10.3M	0.82	7.64	N/A	N/A	697,980	575,820	4,002,640	5,275,700
2011-09-15	$11.34	$10.00	40.6%	11.6%	50.3%	35.7%	40.5%	8.4%	1.3%	60.9M	-2.24B	-10.2M	0.86	12.46	N/A	N/A	587,960	506,440	4,053,940	5,386,220
2011-09-16	$11.96	$10.00	40.4%	11.6%	43.6%	35.3%	42.1%	8.2%	0.5%	80.3M	-3.08B	-9.8M	0.79	9.44	N/A	N/A	1,783,540	1,409,940	4,081,320	5,514,100
2011-09-19	$12.08	$10.00	45.0%	12.9%	41.8%	43.8%	46.2%	7.3%	2.3%	27.2M	-2.27B	-10.3M	1.05	5.37	N/A	N/A	791,360	834,100	3,362,440	4,457,300
2011-09-20	$11.66	$10.25	43.9%	12.6%	44.9%	41.9%	44.8%	7.2%	3.1%	17.0M	-1.83B	-10.6M	0.97	5.22	N/A	N/A	726,360	702,160	3,511,540	4,725,720
2011-09-21	$11.59	$10.25	46.9%	13.4%	36.2%	47.4%	46.2%	8.1%	3.2%	11.5M	-1.74B	-11.1M	1.06	6.52	N/A	N/A	650,160	690,160	3,616,080	4,852,620
2011-09-22	$11.16	$10.25	52.3%	15.0%	39.8%	57.4%	53.2%	9.4%	2.3%	-8.2M	-1.16B	-11.6M	1.16	8.84	N/A	N/A	963,960	1,114,020	3,687,960	4,983,420
2011-09-23	$11.18	$10.25	52.6%	15.1%	39.4%	58.1%	53.3%	10.2%	1.9%	15.1M	-1.23B	-11.6M	1.12	5.69	N/A	N/A	736,180	821,820	3,822,960	5,072,400
2011-09-26	$11.49	$10.25	52.4%	15.0%	38.6%	57.6%	53.3%	9.4%	1.3%	20.6M	-1.72B	-11.3M	0.92	6.65	N/A	N/A	643,740	589,000	3,623,300	4,748,500
2011-09-27	$11.21	$10.25	52.2%	15.0%	38.6%	57.2%	52.9%	9.9%	1.3%	14.9M	-1.41B	-11.5M	0.80	6.29	N/A	N/A	774,700	616,500	3,770,460	4,941,700
2011-09-28	$11.49	$10.50	51.7%	14.8%	38.8%	56.4%	51.9%	7.8%	2.1%	22.9M	-1.72B	-11.7M	1.07	6.32	N/A	N/A	1,384,260	1,475,320	3,902,940	5,124,160
2011-09-29	$11.12	$10.50	53.0%	15.2%	40.4%	58.8%	52.2%	10.8%	2.2%	-1.4M	-1.14B	-11.9M	0.93	10.55	N/A	N/A	1,171,540	1,087,580	4,102,220	5,453,800
2011-09-30	$10.81	$10.50	56.9%	15.9%	41.5%	66.0%	55.0%	12.1%	1.7%	-15.9M	-799.5M	-11.8M	1.55	5.93	N/A	N/A	631,760	979,080	4,223,840	5,480,120