AMZN Options History — January 2012

In January 2012, AMZN traded between $8.80 and $9.77. ATM implied volatility averaged 50.0%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 17.7% (HV 20d: 32.2%). Max pain ranged from $9.00 to $9.25. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2012-01-31: Highest Volume — 5,443,920 contracts
2012-01-27: Largest IV spike — 58.8% change
2012-01-30: Highest IV Rank — 100.0%
2012-01-31: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.25	$8.80	$9.77	$8.95	$9.72
Max Pain	$9.13	$9.00	$9.25	$9.25	$9.25
ATM IV	50.0%	31.2%	137.9%	36.9%	137.9%
Expected Move	12.7%	9.3%	18.6%	10.2%	18.6%
HV 20d	32.2%	29.0%	34.8%	33.8%	31.5%
HV 60d	44.4%	36.3%	48.5%	48.5%	36.3%
IV Rank	44.2%	18.1%	100.0%	28.8%	100.0%
IV Percentile	69.5%	34.5%	100.0%	57.1%	100.0%
Term Structure	-5.0%	-18.3%	11.1%	8.2%	-18.3%
VWIV	44.6%	33.4%	63.8%	37.2%	63.8%
Skew 25d	2.8%	1.1%	4.9%	3.2%	4.9%
Skew 10d	5.5%	2.4%	9.0%	6.0%	7.8%
Call IV 25d	43.1%	32.5%	60.7%	35.2%	60.7%
Put IV 25d	45.9%	34.3%	65.6%	38.4%	65.6%
Bid-Ask Spread %	4.57	2.86	11.40	3.51	11.40
Gamma HHI	0.11	0.06	0.48	0.07	0.06
Net GEX	11.8M	-15.7M	93.0M	-1.3M	21.9M
Net DEX	-2.5M	-854.8M	617.6M	324.7M	-477.2M
Net VEX	-6.8M	-8.1M	-6.3M	-7.2M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.50	1.07	0.83	0.77
Total Volume	1,723,373	793,160	5,443,920	1,065,080	5,443,920
Total OI	8,981,112	5,048,260	11,196,840	10,037,680	7,038,460

Daily Data (20 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
2012-01-03	$8.95	$9.25	36.9%	10.2%	33.8%	28.8%	37.2%	3.2%	8.2%	-1.3M	324.7M	-7.2M	0.83	3.51	N/A	N/A	581,500	483,580	4,606,280	5,431,400
2012-01-04	$8.88	$9.25	35.7%	9.8%	33.8%	26.5%	35.2%	2.3%	10.1%	-2.8M	430.2M	-6.9M	0.96	3.84	N/A	N/A	576,680	554,520	4,766,500	5,547,940
2012-01-05	$8.88	$9.25	32.1%	9.3%	33.2%	20.0%	33.4%	1.8%	11.1%	-716.0K	420.9M	-6.8M	0.61	4.05	N/A	N/A	662,860	404,980	4,864,400	5,611,540
2012-01-06	$9.13	$9.00	31.8%	12.4%	34.3%	19.2%	43.8%	4.2%	-5.0%	8.2M	-20.5M	-7.1M	0.50	3.45	N/A	N/A	1,647,800	828,140	4,998,800	5,643,860
2012-01-09	$8.93	$9.00	37.9%	12.6%	34.1%	30.6%	44.5%	4.6%	-5.7%	-1.8M	401.7M	-6.7M	0.92	4.84	N/A	N/A	719,900	659,180	4,890,000	5,496,980
2012-01-10	$8.97	$9.00	37.1%	12.5%	33.6%	29.2%	44.2%	4.2%	-6.2%	-3.9M	386.1M	-6.6M	0.81	6.91	N/A	N/A	538,700	437,640	4,960,520	5,641,480
2012-01-11	$8.95	$9.00	31.2%	12.6%	33.2%	18.1%	44.4%	3.3%	-6.1%	-2.4M	383.6M	-6.6M	0.75	3.54	N/A	N/A	491,180	366,920	5,038,620	5,660,180
2012-01-12	$8.80	$9.00	44.3%	12.7%	29.0%	42.6%	44.6%	2.8%	-5.9%	-15.7M	617.6M	-6.3M	1.07	6.56	N/A	N/A	734,980	785,440	5,111,940	5,721,960
2012-01-13	$8.92	$9.00	45.0%	12.9%	29.5%	43.9%	45.3%	2.7%	-6.5%	-1.1M	385.0M	-6.6M	0.99	3.33	N/A	N/A	757,600	747,380	5,240,580	5,867,180
2012-01-17	$9.08	$9.00	45.9%	13.2%	30.2%	45.6%	46.2%	2.7%	-7.6%	5.7M	161.2M	-6.5M	0.79	2.86	N/A	N/A	779,160	615,680	5,007,480	5,666,980
2012-01-18	$9.47	$9.00	45.0%	12.9%	33.6%	43.8%	45.6%	2.7%	-7.6%	25.8M	-491.7M	-6.9M	0.62	5.07	N/A	N/A	1,190,500	740,980	5,103,300	5,783,940
2012-01-19	$9.72	$9.00	43.6%	12.5%	34.3%	41.3%	44.0%	2.9%	-7.1%	30.8M	-854.8M	-6.9M	0.60	5.34	N/A	N/A	1,264,460	753,880	5,154,440	5,877,560
2012-01-20	$9.55	$9.00	42.0%	12.0%	34.8%	38.2%	42.2%	2.7%	-6.3%	17.7M	-607.4M	-6.7M	0.64	3.67	N/A	N/A	1,147,620	733,520	5,232,020	5,964,820
2012-01-23	$9.30	$9.25	42.4%	12.2%	31.7%	39.1%	42.7%	1.8%	-5.1%	5.5M	27.5M	-6.4M	0.88	3.81	N/A	N/A	702,460	616,060	2,567,980	2,480,280
2012-01-24	$9.35	$9.25	43.0%	12.3%	30.5%	40.2%	43.1%	2.1%	-5.6%	6.2M	8.8M	-6.6M	0.75	3.90	N/A	N/A	534,380	401,780	2,698,080	2,645,700
2012-01-25	$9.39	$9.25	42.7%	12.2%	30.1%	39.5%	43.4%	2.2%	-6.4%	10.1M	-46.0M	-6.5M	0.87	3.68	N/A	N/A	423,740	369,420	2,777,580	2,700,540
2012-01-26	$9.67	$9.25	45.0%	12.9%	31.3%	43.9%	45.1%	1.1%	-7.8%	28.4M	-348.8M	-6.8M	0.66	4.27	N/A	N/A	1,112,260	739,200	2,839,520	2,806,840
2012-01-27	$9.77	$9.25	71.5%	13.4%	30.6%	93.1%	47.0%	1.1%	-8.0%	93.0M	-501.0M	-7.1M	0.59	3.79	N/A	N/A	1,310,240	771,800	3,050,660	3,011,660
2012-01-30	$9.61	$9.25	108.3%	16.4%	31.6%	100.0%	56.7%	2.7%	-13.7%	12.6M	-249.8M	-7.4M	0.56	3.51	N/A	N/A	1,822,180	1,015,240	3,111,220	3,003,020
2012-01-31	$9.72	$9.25	137.9%	18.6%	31.5%	100.0%	63.8%	4.9%	-18.3%	21.9M	-477.2M	-8.1M	0.77	11.40	N/A	N/A	3,070,940	2,372,980	3,749,140	3,289,320