AMZN Options History — March 2012

In March 2012, AMZN traded between $8.96 and $10.27. ATM implied volatility averaged 27.6%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.7% (HV 20d: 24.9%). Max pain ranged from $9.25 to $9.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2012-03-20: Highest Volume — 3,662,580 contracts
2012-03-07: Largest IV drop — 27.4% change
2012-03-06: Highest IV Rank — 15.4%
2012-03-06: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.48	$8.96	$10.27	$9.00	$10.13
Max Pain	$9.43	$9.25	$9.50	$9.25	$9.50
ATM IV	27.6%	22.1%	39.3%	27.5%	31.1%
Expected Move	8.0%	7.1%	9.2%	8.1%	8.2%
HV 20d	24.9%	19.8%	29.6%	29.6%	25.0%
HV 60d	33.5%	32.1%	35.2%	35.2%	32.8%
IV Rank	5.3%	0.6%	15.4%	5.2%	8.3%
IV Percentile	15.9%	0.4%	61.5%	10.3%	35.3%
Term Structure	6.0%	2.4%	8.0%	2.4%	7.5%
VWIV	28.9%	25.7%	32.7%	28.9%	29.5%
Skew 25d	3.3%	1.3%	5.7%	3.5%	2.5%
Skew 10d	7.0%	3.1%	11.5%	6.7%	5.4%
Call IV 25d	27.2%	23.9%	30.8%	27.7%	28.7%
Put IV 25d	30.4%	27.2%	35.5%	31.1%	31.2%
Bid-Ask Spread %	5.08	3.73	6.45	4.76	4.03
Gamma HHI	0.17	0.06	0.81	0.09	0.07
Net GEX	47.6M	-16.1M	471.7M	-4.7M	31.7M
Net DEX	-364.4M	-1.36B	338.3M	202.0M	-1.07B
Net VEX	-9.1M	-10.0M	-8.4M	-9.1M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.41	1.33	1.21	0.65
Total Volume	1,784,963.636	962,960	3,662,580	1,428,540	1,717,360
Total OI	8,425,808.182	6,941,980	9,092,340	8,361,180	9,032,720

Daily Data (22 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
2012-03-01	$9.00	$9.25	27.5%	8.1%	29.6%	5.2%	28.9%	3.5%	2.4%	-4.7M	202.0M	-9.1M	1.21	4.76	N/A	N/A	647,180	781,360	4,055,140	4,306,040
2012-03-02	$8.96	$9.25	26.3%	7.9%	29.3%	4.2%	28.2%	3.5%	2.6%	-12.3M	338.3M	-9.1M	1.05	4.85	N/A	N/A	583,560	612,580	4,149,000	4,473,680
2012-03-05	$9.01	$9.50	32.1%	8.8%	26.7%	9.2%	31.0%	5.7%	4.3%	-9.6M	238.2M	-9.0M	0.98	6.45	N/A	N/A	651,640	637,900	3,990,660	4,327,500
2012-03-06	$9.05	$9.50	39.3%	9.2%	25.5%	15.4%	32.7%	5.5%	3.6%	-7.3M	168.0M	-9.2M	0.84	6.16	N/A	N/A	993,380	835,760	4,103,520	4,530,120
2012-03-07	$9.19	$9.50	28.5%	8.6%	25.9%	6.1%	31.1%	5.2%	4.5%	8.3M	-30.9M	-9.3M	0.71	6.10	N/A	N/A	895,200	635,120	4,198,540	4,611,740
2012-03-08	$9.38	$9.50	27.7%	8.3%	26.9%	5.4%	30.6%	4.8%	4.9%	37.1M	-394.3M	-9.2M	0.69	5.66	N/A	N/A	935,280	644,520	4,223,840	4,703,740
2012-03-09	$9.22	$9.50	24.4%	8.1%	27.7%	2.5%	29.3%	4.2%	5.1%	4.9M	-32.9M	-9.0M	0.91	5.61	N/A	N/A	847,400	773,760	4,321,580	4,770,760
2012-03-12	$9.17	$9.50	24.2%	7.6%	27.7%	2.4%	27.7%	3.8%	6.1%	-5.7M	70.7M	-8.7M	1.33	5.73	N/A	N/A	413,260	549,700	4,105,880	4,461,680
2012-03-13	$9.23	$9.50	22.1%	7.3%	25.0%	0.6%	26.5%	4.3%	6.2%	2.3M	-49.1M	-8.5M	0.92	4.46	N/A	N/A	739,720	679,480	4,143,520	4,517,120
2012-03-14	$9.11	$9.50	23.0%	7.5%	25.3%	1.3%	27.3%	3.9%	6.5%	-16.1M	140.0M	-8.6M	1.30	5.24	N/A	N/A	468,360	606,920	4,186,160	4,584,240
2012-03-15	$9.22	$9.50	26.0%	7.5%	22.4%	3.9%	27.3%	3.8%	5.9%	10.7M	-91.7M	-8.6M	1.02	6.11	N/A	N/A	757,740	771,840	4,220,400	4,612,080
2012-03-16	$9.25	$9.25	24.8%	7.1%	20.4%	2.9%	25.7%	3.6%	6.5%	275.8M	-188.1M	-8.5M	0.79	4.41	N/A	N/A	907,500	717,860	4,254,320	4,756,160
2012-03-19	$9.28	$9.25	24.7%	7.1%	19.8%	2.8%	25.9%	3.3%	8.0%	8.7M	-89.8M	-8.4M	0.71	5.64	N/A	N/A	652,560	464,480	3,278,080	3,663,900
2012-03-20	$9.62	$9.25	26.8%	7.7%	23.4%	4.6%	27.9%	1.7%	7.7%	22.9M	-557.2M	-9.0M	0.51	4.80	N/A	N/A	2,420,400	1,242,180	3,475,420	3,808,280
2012-03-21	$9.59	$9.25	26.3%	7.5%	23.1%	4.2%	27.5%	1.9%	7.7%	34.0M	-560.5M	-9.2M	0.54	5.55	N/A	N/A	1,151,520	621,780	3,862,640	4,023,080
2012-03-22	$9.62	$9.50	27.6%	7.9%	22.6%	5.3%	28.4%	1.7%	7.4%	39.1M	-603.2M	-9.4M	0.61	4.85	N/A	N/A	952,200	583,700	3,961,280	4,098,160
2012-03-23	$9.75	$9.50	27.2%	7.8%	22.9%	4.9%	28.4%	1.5%	7.9%	471.7M	-861.7M	-9.2M	0.41	4.67	N/A	N/A	1,418,040	584,900	4,016,860	4,204,060
2012-03-26	$10.14	$9.50	27.7%	8.0%	25.8%	5.4%	28.9%	1.5%	7.3%	43.9M	-1.20B	-9.1M	0.48	3.73	N/A	N/A	1,777,220	852,420	3,805,660	3,988,500
2012-03-27	$10.27	$9.50	29.4%	8.4%	24.5%	6.9%	30.1%	1.3%	7.1%	47.3M	-1.36B	-9.4M	0.61	3.85	N/A	N/A	2,092,360	1,270,740	3,959,280	4,222,520
2012-03-28	$10.06	$9.50	30.1%	8.6%	24.3%	7.5%	30.7%	2.1%	7.0%	21.6M	-873.6M	-10.0M	0.73	4.76	N/A	N/A	1,287,320	941,380	4,114,820	4,418,920
2012-03-29	$10.23	$9.50	31.2%	9.0%	24.6%	8.4%	31.9%	2.7%	6.7%	43.7M	-1.21B	-10.0M	0.49	4.41	N/A	N/A	1,448,800	702,820	4,254,720	4,571,460
2012-03-30	$10.13	$9.50	31.1%	8.2%	25.0%	8.3%	29.5%	2.5%	7.5%	31.7M	-1.07B	-9.6M	0.65	4.03	N/A	N/A	1,043,300	674,060	4,373,400	4,659,320