AMZN Options History — November 2011

In November 2011, AMZN traded between $9.12 and $10.95. ATM implied volatility averaged 43.2%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 15.0% (HV 20d: 58.2%). Max pain ranged from $10.00 to $10.75. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2011-11-17: Highest Volume — 4,278,360 contracts
2011-11-09: Largest IV spike — 25.3% change
2011-11-01: Highest IV Rank — 62.5%
2011-11-25: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.27	$9.12	$10.95	$10.61	$9.61
Max Pain	$10.54	$10.00	$10.75	$10.75	$10.00
ATM IV	43.2%	33.0%	55.0%	55.0%	50.1%
Expected Move	11.8%	10.1%	14.0%	12.5%	12.3%
HV 20d	58.2%	39.0%	65.8%	65.8%	43.3%
HV 60d	50.6%	47.5%	54.9%	54.9%	50.4%
IV Rank	40.5%	21.5%	62.5%	62.5%	53.5%
IV Percentile	77.3%	51.6%	96.8%	96.8%	90.5%
Term Structure	0.3%	-1.8%	2.9%	-0.3%	-0.7%
VWIV	42.2%	37.1%	47.8%	45.0%	43.3%
Skew 25d	6.9%	5.3%	8.9%	6.6%	7.3%
Skew 10d	13.8%	10.3%	17.4%	12.9%	14.4%
Call IV 25d	38.5%	33.3%	44.8%	40.9%	39.8%
Put IV 25d	45.5%	39.4%	53.7%	47.5%	47.1%
Bid-Ask Spread %	9.91	4.45	26.88	5.51	4.50
Gamma HHI	0.07	0.05	0.11	0.06	0.06
Net GEX	1.7M	-36.6M	27.0M	566.7K	-2.3M
Net DEX	-454.8M	-1.22B	614.3M	-654.4M	-10.8M
Net VEX	-10.0M	-11.3M	-9.1M	-11.0M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.53	1.31	1.31	0.75
Total Volume	1,648,658.095	860,680	4,278,360	2,205,420	1,448,880
Total OI	9,959,034.286	8,871,580	11,168,440	9,687,180	9,844,900

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
2011-11-01	$10.61	$10.75	55.0%	12.5%	65.8%	62.5%	45.0%	6.6%	-0.3%	566.7K	-654.4M	-11.0M	1.31	5.51	N/A	N/A	955,780	1,249,640	4,406,800	5,280,380
2011-11-02	$10.78	$10.75	47.2%	11.5%	65.0%	48.0%	41.1%	6.9%	0.9%	8.6M	-915.5M	-11.3M	1.28	4.60	N/A	N/A	640,340	820,340	4,557,540	5,474,800
2011-11-03	$10.91	$10.75	36.0%	10.1%	65.1%	27.1%	37.8%	5.5%	2.9%	23.5M	-1.16B	-10.7M	1.11	15.52	N/A	N/A	752,060	831,400	4,611,000	5,493,760
2011-11-04	$10.82	$10.75	34.8%	10.9%	64.9%	24.9%	39.3%	6.3%	0.5%	9.9M	-1.03B	-10.7M	0.99	7.08	N/A	N/A	796,360	784,720	4,687,760	5,626,880
2011-11-07	$10.85	$10.75	40.9%	11.0%	63.9%	36.3%	38.9%	5.8%	0.3%	15.5M	-1.02B	-10.5M	0.77	5.72	N/A	N/A	494,600	379,440	4,453,740	5,218,980
2011-11-08	$10.90	$10.75	33.0%	10.3%	63.5%	21.5%	37.1%	5.3%	0.8%	21.7M	-1.10B	-10.3M	0.80	8.17	N/A	N/A	476,980	383,700	4,544,560	5,316,740
2011-11-09	$10.56	$10.75	41.3%	12.1%	64.1%	37.0%	44.5%	8.0%	-0.6%	-508.2K	-596.9M	-10.6M	1.29	18.82	N/A	N/A	628,700	812,800	4,647,140	5,387,040
2011-11-10	$10.54	$10.75	39.4%	11.3%	64.1%	33.4%	40.2%	8.1%	0.6%	-9.8M	-538.5M	-10.4M	1.21	11.38	N/A	N/A	608,820	735,580	4,729,400	5,582,660
2011-11-11	$10.87	$10.50	36.6%	10.5%	62.9%	28.2%	37.9%	7.1%	1.4%	22.2M	-1.14B	-10.2M	0.91	5.66	N/A	N/A	862,020	781,720	4,764,420	5,665,620
2011-11-14	$10.95	$10.75	37.3%	10.7%	62.9%	29.5%	38.9%	6.0%	1.2%	27.0M	-1.22B	-10.1M	0.95	16.81	N/A	N/A	722,820	687,860	4,602,580	5,407,100
2011-11-15	$10.89	$10.75	36.7%	10.5%	62.8%	28.4%	38.0%	6.1%	1.4%	22.0M	-1.09B	-9.9M	0.75	5.14	N/A	N/A	708,120	530,980	4,669,580	5,533,580
2011-11-16	$10.60	$10.75	39.6%	11.3%	61.0%	33.8%	39.8%	6.2%	1.1%	-1.7M	-643.5M	-10.0M	0.73	4.78	N/A	N/A	666,280	489,020	4,748,700	5,606,460
2011-11-17	$10.23	$10.75	43.4%	12.4%	61.7%	40.9%	44.0%	7.8%	-0.1%	-36.6M	-56.3M	-9.8M	0.53	11.03	N/A	N/A	2,804,700	1,473,660	4,842,340	5,655,720
2011-11-18	$9.86	$10.50	44.5%	12.8%	62.5%	42.9%	44.0%	7.4%	0.6%	-11.8M	434.6M	-9.9M	1.13	26.88	N/A	N/A	1,212,960	1,373,020	5,397,500	5,770,940
2011-11-21	$9.46	$10.50	45.0%	12.9%	63.0%	43.9%	46.0%	7.8%	0.0%	-14.9M	288.2M	-9.4M	0.82	15.86	N/A	N/A	1,091,880	893,060	4,086,940	4,784,640
2011-11-22	$9.62	$10.25	43.8%	12.6%	62.4%	41.7%	44.5%	6.7%	-0.2%	-6.3M	52.2M	-9.7M	0.74	20.65	N/A	N/A	1,100,980	812,080	4,331,500	4,981,440
2011-11-23	$9.45	$10.25	45.3%	13.0%	40.8%	44.4%	46.3%	7.9%	-0.4%	-9.9M	181.4M	-9.5M	0.90	5.38	N/A	N/A	778,680	701,040	4,541,640	5,105,380
2011-11-25	$9.12	$10.25	54.2%	14.0%	39.0%	61.0%	47.8%	8.9%	-1.8%	-12.2M	614.3M	-9.1M	1.06	5.59	N/A	N/A	699,120	743,060	4,668,220	5,215,980
2011-11-28	$9.71	$10.00	51.3%	12.7%	41.6%	55.6%	46.0%	6.5%	-0.7%	474.1K	-160.1M	-9.5M	0.65	4.45	N/A	N/A	815,060	532,340	4,297,380	5,001,140
2011-11-29	$9.42	$10.00	51.9%	12.8%	42.3%	56.7%	45.9%	7.5%	-1.7%	-9.2M	212.7M	-9.2M	0.98	4.59	N/A	N/A	675,820	665,400	4,459,980	5,136,860
2011-11-30	$9.61	$10.00	50.1%	12.3%	43.3%	53.5%	43.3%	7.3%	-0.7%	-2.3M	-10.8M	-9.3M	0.75	4.50	N/A	N/A	828,040	620,840	4,574,660	5,270,240