AMZN Options History — October 2011

In October 2011, AMZN traded between $9.92 and $12.34. ATM implied volatility averaged 49.7%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 4.8% (HV 20d: 44.9%). Max pain ranged from $10.50 to $11.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2011-10-26: Highest Volume — 5,469,740 contracts
2011-10-26: Largest IV drop — 27.4% change
2011-10-03: Highest IV Rank — 92.2%
2011-10-03: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.34	$9.92	$12.34	$10.60	$10.68
Max Pain	$11.14	$10.50	$11.50	$10.50	$11.00
ATM IV	49.7%	38.6%	70.9%	70.9%	45.3%
Expected Move	14.0%	10.7%	17.5%	17.5%	11.0%
HV 20d	44.9%	37.1%	65.8%	41.9%	65.8%
HV 60d	47.9%	45.1%	55.7%	45.4%	55.7%
IV Rank	52.7%	32.1%	92.2%	92.2%	44.4%
IV Percentile	89.4%	72.2%	99.6%	99.6%	84.5%
Term Structure	-3.2%	-8.6%	4.6%	-0.1%	0.4%
VWIV	49.8%	38.1%	61.3%	61.3%	40.2%
Skew 25d	8.4%	4.3%	11.3%	11.3%	4.3%
Skew 10d	16.5%	9.2%	23.4%	21.8%	9.7%
Call IV 25d	44.9%	35.2%	55.5%	55.5%	37.2%
Put IV 25d	53.3%	39.7%	66.8%	66.8%	41.5%
Bid-Ask Spread %	8.37	3.93	14.60	13.24	5.25
Gamma HHI	0.11	0.04	0.61	0.04	0.05
Net GEX	27.0M	-37.5M	124.2M	1.5M	11.7M
Net DEX	-1.53B	-3.03B	624.6M	-733.4M	-822.7M
Net VEX	-10.5M	-11.7M	-9.3M	-11.7M	-10.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.69	1.28	1.12	1.00
Total Volume	1,770,359.048	824,920	5,469,740	1,433,960	1,482,780
Total OI	9,468,307.619	7,346,600	10,432,660	9,063,280	8,967,340

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
2011-10-03	$10.60	$10.50	70.9%	17.5%	41.9%	92.2%	61.3%	11.3%	-0.1%	1.5M	-733.4M	-11.7M	1.12	13.24	N/A	N/A	676,840	757,120	3,901,760	5,161,520
2011-10-04	$10.63	$10.50	66.5%	16.2%	40.6%	83.9%	57.8%	11.1%	1.6%	181.2K	-739.0M	-11.5M	1.27	11.29	N/A	N/A	726,000	920,260	4,018,940	5,266,460
2011-10-05	$10.97	$10.50	58.3%	14.7%	41.8%	68.6%	52.7%	9.9%	3.4%	16.1M	-1.21B	-11.5M	0.80	8.33	N/A	N/A	740,180	590,180	4,093,360	5,294,540
2011-10-06	$11.08	$10.50	50.2%	14.2%	41.7%	53.5%	50.7%	9.8%	4.6%	22.0M	-1.34B	-11.2M	0.95	7.70	N/A	N/A	589,000	558,560	4,159,260	5,360,600
2011-10-07	$11.24	$11.00	44.1%	14.6%	40.5%	42.2%	52.6%	10.4%	-4.9%	78.1M	-1.61B	-11.0M	0.77	7.92	N/A	N/A	942,260	727,280	4,239,040	5,452,180
2011-10-10	$11.57	$11.00	48.3%	14.3%	40.9%	50.1%	51.0%	10.7%	-5.3%	32.6M	-1.92B	-10.8M	0.87	9.55	N/A	N/A	592,700	517,120	4,138,380	5,282,680
2011-10-11	$11.77	$11.25	47.1%	14.4%	41.1%	47.9%	51.7%	9.5%	-6.0%	36.7M	-2.17B	-10.5M	0.82	6.95	N/A	N/A	522,700	429,920	4,145,680	5,373,940
2011-10-12	$11.84	$11.25	43.0%	14.2%	40.9%	40.3%	50.4%	8.5%	-5.9%	42.7M	-2.28B	-10.4M	1.28	7.59	N/A	N/A	649,880	828,960	4,224,800	5,443,840
2011-10-13	$11.81	$11.25	48.9%	14.0%	40.5%	51.2%	49.2%	9.4%	-5.5%	35.2M	-2.15B	-10.5M	0.97	5.05	N/A	N/A	562,880	543,700	4,313,180	5,599,460
2011-10-14	$12.34	$11.50	47.9%	13.7%	39.0%	49.2%	48.7%	8.5%	-6.1%	45.1M	-3.03B	-10.2M	0.73	8.72	N/A	N/A	1,031,180	753,520	4,373,680	5,688,900
2011-10-17	$12.12	$11.50	50.9%	14.6%	39.4%	54.8%	50.9%	9.0%	-7.5%	39.3M	-2.49B	-10.2M	1.05	8.94	N/A	N/A	403,020	421,900	4,197,140	5,428,060
2011-10-18	$12.19	$11.50	48.0%	13.8%	37.1%	49.4%	49.2%	7.7%	-6.3%	41.3M	-2.60B	-9.8M	0.89	13.07	N/A	N/A	571,800	509,460	4,241,200	5,498,200
2011-10-19	$11.58	$11.50	50.2%	14.4%	41.8%	53.6%	50.3%	8.0%	-6.3%	20.0M	-1.74B	-10.3M	0.83	8.82	N/A	N/A	844,120	700,280	4,311,960	5,545,840
2011-10-20	$11.68	$11.50	49.6%	14.2%	39.4%	52.4%	51.5%	8.8%	-5.8%	27.3M	-1.90B	-10.4M	1.16	8.98	N/A	N/A	501,340	581,360	4,415,860	5,648,260
2011-10-21	$11.74	$11.50	47.9%	13.7%	39.4%	49.2%	49.0%	8.6%	-5.3%	124.2M	-1.95B	-10.2M	0.86	6.77	N/A	N/A	676,020	580,980	4,414,160	5,754,260
2011-10-24	$11.88	$11.50	47.7%	13.7%	38.4%	49.0%	48.1%	6.3%	-4.5%	15.4M	-1.55B	-9.9M	0.69	10.18	N/A	N/A	639,980	443,620	3,174,120	4,172,480
2011-10-25	$11.36	$11.50	59.2%	17.0%	40.9%	70.3%	58.2%	8.2%	-8.6%	8.9M	-1.12B	-10.3M	1.11	14.60	N/A	N/A	1,711,460	1,891,740	3,439,420	4,342,380
2011-10-26	$9.92	$11.25	43.0%	12.3%	62.3%	40.1%	43.7%	6.5%	0.1%	-37.5M	624.6M	-9.3M	1.07	4.01	N/A	N/A	2,640,540	2,829,200	4,012,500	5,104,860
2011-10-27	$10.34	$11.00	38.6%	11.1%	63.9%	32.1%	39.3%	6.2%	0.1%	-8.7M	-137.7M	-10.2M	1.16	3.93	N/A	N/A	1,317,200	1,521,980	4,789,980	5,411,580
2011-10-28	$10.87	$11.00	38.9%	10.7%	65.8%	32.6%	38.1%	4.5%	0.8%	15.5M	-1.18B	-10.7M	1.04	4.97	N/A	N/A	1,590,620	1,657,900	4,942,100	5,490,560
2011-10-31	$10.68	$11.00	45.3%	11.0%	65.8%	44.4%	40.2%	4.3%	0.4%	11.7M	-822.7M	-10.5M	1.00	5.25	N/A	N/A	742,940	739,840	4,147,720	4,819,620