AMZN Options History — December 2011

In December 2011, AMZN traded between $8.65 and $9.86. ATM implied volatility averaged 39.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 2.4% (HV 20d: 41.6%). Max pain ranged from $9.25 to $10.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2011-12-14: Highest Volume — 2,721,200 contracts
2011-12-05: Largest IV spike — 19.1% change
2011-12-06: Highest IV Rank — 50.8%
2011-12-14: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.20	$8.65	$9.86	$9.86	$8.65
Max Pain	$9.39	$9.25	$10.00	$10.00	$9.25
ATM IV	39.2%	32.3%	48.7%	42.6%	32.3%
Expected Move	10.9%	9.6%	12.0%	11.7%	10.2%
HV 20d	41.6%	30.6%	45.0%	44.0%	30.6%
HV 60d	49.3%	47.9%	50.6%	50.6%	47.9%
IV Rank	33.1%	20.2%	50.8%	39.5%	20.2%
IV Percentile	63.7%	41.3%	88.9%	74.6%	41.3%
Term Structure	4.5%	-0.2%	8.6%	-0.2%	8.6%
VWIV	38.8%	34.4%	42.8%	42.0%	36.7%
Skew 25d	5.8%	3.9%	7.8%	6.9%	4.3%
Skew 10d	11.4%	7.5%	15.5%	15.1%	7.6%
Call IV 25d	35.8%	32.2%	38.3%	37.9%	34.8%
Put IV 25d	41.6%	36.7%	46.1%	44.8%	39.1%
Bid-Ask Spread %	5.37	3.75	11.60	4.28	3.75
Gamma HHI	0.09	0.06	0.24	0.08	0.07
Net GEX	-13.8M	-35.3M	20.0M	20.0M	-11.9M
Net DEX	368.8M	-385.7M	849.7M	-385.7M	711.1M
Net VEX	-8.0M	-9.5M	-7.0M	-9.5M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.79	1.55	1.00	0.99
Total Volume	1,535,681.905	841,360	2,721,200	1,998,840	1,182,280
Total OI	10,088,579.048	8,835,180	11,116,120	10,042,260	10,529,160

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
2011-12-01	$9.86	$10.00	42.6%	11.7%	44.0%	39.5%	42.0%	6.9%	-0.2%	20.0M	-385.7M	-9.5M	1.00	4.28	N/A	N/A	998,040	1,000,800	4,670,500	5,371,760
2011-12-02	$9.80	$10.00	39.8%	11.2%	43.5%	34.3%	39.7%	6.4%	0.0%	343.3K	-282.2M	-9.3M	0.97	4.45	N/A	N/A	789,740	764,160	4,733,240	5,592,220
2011-12-05	$9.81	$9.50	47.4%	11.4%	43.6%	48.4%	39.8%	6.3%	2.7%	-3.2M	-192.1M	-9.1M	1.05	6.09	N/A	N/A	681,760	713,880	4,462,660	5,263,920
2011-12-06	$9.60	$9.50	48.7%	11.4%	43.9%	50.8%	39.5%	6.5%	2.6%	-14.1M	138.1M	-8.7M	1.00	5.76	N/A	N/A	585,680	584,500	4,609,280	5,471,660
2011-12-07	$9.77	$9.50	41.6%	11.6%	44.5%	37.5%	41.7%	7.7%	2.2%	-4.8M	-107.5M	-9.1M	1.12	5.54	N/A	N/A	634,060	711,560	4,679,640	5,545,900
2011-12-08	$9.52	$9.50	42.6%	11.7%	44.1%	39.4%	41.3%	6.7%	2.6%	-25.5M	258.5M	-8.6M	0.95	4.76	N/A	N/A	578,500	552,160	4,780,660	5,697,740
2011-12-09	$9.65	$9.50	34.5%	10.7%	44.6%	24.3%	38.9%	6.3%	4.1%	-12.2M	72.7M	-8.6M	1.19	6.58	N/A	N/A	633,280	755,580	4,839,440	5,741,580
2011-12-12	$9.48	$9.50	38.1%	11.2%	42.8%	31.0%	38.9%	6.7%	3.5%	-20.7M	275.5M	-8.2M	0.93	4.91	N/A	N/A	581,680	542,840	4,582,880	5,505,600
2011-12-13	$9.03	$9.25	43.1%	11.8%	44.9%	40.4%	41.8%	7.6%	2.2%	-35.3M	849.7M	-7.5M	1.24	4.32	N/A	N/A	1,175,720	1,452,480	4,680,700	5,556,660
2011-12-14	$9.01	$9.25	46.4%	12.0%	45.0%	46.6%	42.8%	7.7%	1.9%	-32.8M	817.5M	-7.9M	1.01	5.89	N/A	N/A	1,354,660	1,366,540	4,870,220	5,774,360
2011-12-15	$9.06	$9.25	41.3%	11.8%	44.8%	36.9%	41.4%	7.8%	2.3%	-21.3M	657.9M	-8.0M	1.24	5.59	N/A	N/A	798,940	991,620	5,047,740	5,849,440
2011-12-16	$9.06	$9.25	38.6%	11.1%	43.6%	31.9%	37.8%	6.7%	3.8%	-25.8M	647.9M	-7.8M	1.45	5.04	N/A	N/A	596,500	865,700	5,132,900	5,983,220
2011-12-19	$8.97	$9.25	38.0%	10.9%	42.1%	30.8%	39.7%	5.5%	6.4%	-9.3M	410.8M	-7.6M	1.55	11.60	N/A	N/A	537,140	834,620	3,961,920	4,873,260
2011-12-20	$9.13	$9.25	35.0%	10.0%	40.5%	25.2%	36.2%	4.8%	7.3%	-6.0M	271.7M	-7.8M	1.10	4.63	N/A	N/A	470,120	514,840	4,150,020	5,133,340
2011-12-21	$8.72	$9.25	36.3%	10.4%	42.8%	27.7%	37.1%	4.0%	6.8%	-22.5M	718.1M	-7.2M	0.96	6.33	N/A	N/A	1,050,480	1,012,940	4,214,200	5,164,120
2011-12-22	$8.95	$9.25	33.5%	9.6%	43.9%	22.5%	34.7%	4.5%	7.5%	-2.6M	410.2M	-7.5M	0.89	5.49	N/A	N/A	690,300	612,340	4,493,060	5,367,140
2011-12-23	$8.86	$9.25	34.7%	9.9%	42.3%	24.7%	34.4%	4.4%	7.5%	-9.7M	523.8M	-7.3M	1.04	3.83	N/A	N/A	555,440	579,440	4,563,880	5,458,080
2011-12-27	$8.81	$9.25	36.0%	10.3%	34.9%	27.2%	36.0%	3.9%	7.1%	-13.0M	554.4M	-7.1M	0.79	4.97	N/A	N/A	470,500	370,860	4,328,060	5,255,800
2011-12-28	$8.69	$9.25	36.1%	10.4%	33.8%	27.3%	36.6%	3.9%	8.5%	-19.8M	699.9M	-7.0M	0.85	4.76	N/A	N/A	662,020	564,460	4,479,780	5,368,980
2011-12-29	$8.69	$9.25	36.5%	10.5%	32.6%	28.1%	37.4%	4.2%	7.9%	-20.3M	695.3M	-7.0M	1.18	4.11	N/A	N/A	1,114,180	1,316,980	4,603,760	5,471,680
2011-12-30	$8.65	$9.25	32.3%	10.2%	30.6%	20.2%	36.7%	4.3%	8.6%	-11.9M	711.1M	-7.0M	0.99	3.75	N/A	N/A	594,620	587,660	4,816,640	5,712,520