AMZN Options History — May 2012

In May 2012, AMZN traded between $10.46 and $11.51. ATM implied volatility averaged 33.5%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 16.4% (HV 20d: 49.9%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2012-05-04: Highest Volume — 2,444,040 contracts
2012-05-29: Largest IV spike — 21.7% change
2012-05-30: Highest IV Rank — 17.7%
2012-05-18: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.04	$10.46	$11.51	$11.50	$10.65
Max Pain	$10.88	$10.00	$11.00	$10.00	$11.00
ATM IV	33.5%	28.4%	42.0%	34.3%	35.9%
Expected Move	9.3%	8.3%	10.4%	8.6%	9.7%
HV 20d	49.9%	20.7%	57.3%	56.8%	23.4%
HV 60d	38.7%	38.0%	39.3%	39.3%	38.9%
IV Rank	10.4%	6.0%	17.7%	11.0%	12.5%
IV Percentile	37.2%	16.7%	65.9%	41.7%	43.7%
Term Structure	0.6%	-0.2%	2.0%	0.5%	1.0%
VWIV	33.3%	30.2%	37.5%	30.6%	36.0%
Skew 25d	5.6%	2.9%	8.2%	2.9%	6.2%
Skew 10d	12.3%	5.6%	20.9%	5.6%	12.3%
Call IV 25d	30.4%	28.0%	33.7%	29.1%	32.0%
Put IV 25d	36.1%	31.9%	41.9%	32.0%	38.2%
Bid-Ask Spread %	5.44	3.91	11.55	5.00	6.06
Gamma HHI	0.07	0.04	0.10	0.10	0.05
Net GEX	8.9M	-16.4M	41.0M	41.0M	-88.9K
Net DEX	-1.20B	-2.42B	-15.0M	-2.42B	-277.2M
Net VEX	-9.8M	-10.3M	-9.3M	-9.8M	-9.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.95	1.50	0.95	1.25
Total Volume	1,692,752.727	942,920	2,444,040	2,027,520	1,546,820
Total OI	8,972,170	6,920,880	10,331,480	9,625,480	7,706,160

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
2012-05-01	$11.50	$10.00	34.3%	8.6%	56.8%	11.0%	30.6%	2.9%	0.5%	41.0M	-2.42B	-9.8M	0.95	5.00	N/A	N/A	1,038,780	988,740	4,444,200	5,181,280
2012-05-02	$11.51	$10.00	34.4%	8.5%	56.9%	11.1%	30.4%	4.0%	0.7%	29.2M	-2.32B	-10.0M	1.30	4.04	N/A	N/A	788,800	1,028,560	4,471,680	5,424,520
2012-05-03	$11.47	$10.25	29.9%	8.3%	55.5%	7.3%	30.2%	3.9%	0.8%	22.7M	-2.22B	-9.7M	1.11	4.53	N/A	N/A	893,060	991,960	4,528,120	5,549,160
2012-05-04	$11.20	$11.00	28.4%	8.5%	56.6%	6.0%	30.3%	4.7%	0.8%	23.0M	-1.55B	-9.9M	1.35	5.17	N/A	N/A	1,041,020	1,403,020	4,638,360	5,691,320
2012-05-07	$11.26	$11.00	34.0%	8.7%	56.1%	10.8%	31.1%	5.5%	0.5%	19.9M	-1.75B	-9.9M	1.31	4.71	N/A	N/A	692,180	903,880	4,246,720	5,079,240
2012-05-08	$11.20	$11.00	34.0%	8.8%	55.0%	10.8%	32.1%	6.0%	0.4%	12.6M	-1.61B	-10.0M	1.39	5.04	N/A	N/A	929,420	1,294,340	4,291,680	5,248,700
2012-05-09	$11.15	$11.00	31.6%	9.1%	55.2%	8.8%	32.8%	6.3%	0.4%	7.4M	-1.49B	-10.3M	1.26	5.99	N/A	N/A	747,960	939,240	4,332,140	5,381,980
2012-05-10	$11.33	$11.00	31.1%	8.9%	55.2%	8.3%	31.5%	5.6%	0.4%	27.1M	-1.93B	-9.7M	1.07	4.60	N/A	N/A	852,840	915,240	4,411,020	5,424,500
2012-05-11	$11.38	$11.00	30.0%	8.6%	54.7%	7.4%	30.9%	5.5%	0.8%	19.2M	-1.95B	-9.7M	1.02	4.36	N/A	N/A	897,320	915,400	4,428,120	5,573,380
2012-05-14	$11.15	$11.00	32.0%	9.2%	55.0%	9.1%	32.9%	5.5%	0.0%	9.6M	-1.50B	-9.6M	1.50	3.91	N/A	N/A	508,780	761,600	4,262,640	5,336,840
2012-05-15	$11.22	$11.00	32.4%	9.3%	55.0%	9.4%	32.8%	4.6%	-0.0%	16.8M	-1.70B	-9.6M	1.05	4.57	N/A	N/A	1,082,140	1,139,700	4,285,200	5,346,920
2012-05-16	$11.20	$11.00	32.7%	9.4%	55.1%	9.7%	33.9%	6.2%	0.3%	15.3M	-1.67B	-9.8M	0.97	11.55	N/A	N/A	774,180	753,220	4,380,980	5,439,120
2012-05-17	$10.92	$11.00	35.3%	10.1%	56.3%	11.9%	36.6%	6.8%	-0.2%	-16.4M	-1.06B	-9.9M	1.29	4.89	N/A	N/A	837,920	1,078,880	4,427,420	5,724,960
2012-05-18	$10.69	$11.00	36.4%	10.4%	57.0%	12.8%	37.5%	8.2%	0.5%	-11.2M	-591.2M	-10.0M	1.50	4.91	N/A	N/A	970,860	1,452,060	4,512,800	5,818,680
2012-05-21	$10.91	$11.00	33.4%	9.6%	56.9%	10.3%	35.4%	4.9%	0.1%	4.1M	-571.5M	-9.6M	1.23	5.24	N/A	N/A	638,560	786,520	3,018,160	3,902,720
2012-05-22	$10.77	$11.00	34.9%	10.0%	57.3%	11.6%	35.4%	5.8%	0.1%	-2.7M	-414.4M	-9.7M	1.11	6.94	N/A	N/A	826,380	919,880	3,118,980	4,078,400
2012-05-23	$10.86	$11.00	34.2%	9.8%	57.1%	10.9%	34.5%	7.2%	0.6%	271.4K	-458.4M	-10.0M	1.32	6.72	N/A	N/A	606,340	802,160	3,239,160	4,234,660
2012-05-24	$10.76	$11.00	34.4%	9.9%	57.3%	11.2%	35.2%	6.8%	1.3%	-7.0M	-329.6M	-10.1M	1.21	4.73	N/A	N/A	577,060	695,980	3,298,840	4,327,540
2012-05-25	$10.64	$11.00	29.5%	9.1%	22.3%	7.0%	32.9%	6.3%	2.0%	-2.8M	-190.5M	-9.6M	1.32	4.51	N/A	N/A	438,060	578,100	3,355,620	4,411,080
2012-05-29	$10.74	$11.00	36.0%	9.4%	20.7%	12.5%	33.7%	5.7%	1.1%	988.2K	-361.8M	-9.3M	1.10	6.38	N/A	N/A	449,520	493,400	3,169,600	4,119,160
2012-05-30	$10.46	$11.00	42.0%	10.1%	22.1%	17.7%	36.0%	5.6%	0.5%	-14.2M	-15.0M	-9.3M	1.17	5.88	N/A	N/A	581,860	678,820	3,266,860	4,259,120
2012-05-31	$10.65	$11.00	35.9%	9.7%	23.4%	12.5%	36.0%	6.2%	1.0%	-88.9K	-277.2M	-9.4M	1.25	6.06	N/A	N/A	686,120	860,700	3,349,840	4,356,320