AMZN Options History — June 2012

In June 2012, AMZN traded between $10.41 and $11.42. ATM implied volatility averaged 28.9%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.1% (HV 20d: 24.8%). Max pain ranged from $9.75 to $11.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2012-06-26: Highest Volume — 1,522,680 contracts
2012-06-06: Largest IV drop — 23.9% change
2012-06-04: Highest IV Rank — 18.3%
2012-06-01: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.96	$10.41	$11.42	$10.41	$11.42
Max Pain	$10.07	$9.75	$11.00	$11.00	$10.25
ATM IV	28.9%	21.3%	42.8%	39.5%	21.3%
Expected Move	8.4%	7.0%	10.7%	10.7%	7.0%
HV 20d	24.8%	22.2%	27.4%	24.3%	23.4%
HV 60d	38.7%	37.7%	39.4%	39.1%	37.9%
IV Rank	6.5%	0.0%	18.3%	15.6%	0.0%
IV Percentile	17.0%	0.0%	68.7%	57.5%	0.0%
Term Structure	7.5%	0.0%	11.1%	0.0%	11.1%
VWIV	30.3%	25.6%	38.3%	38.3%	26.2%
Skew 25d	5.2%	3.5%	7.8%	6.9%	4.4%
Skew 10d	10.4%	6.5%	15.9%	13.7%	8.7%
Call IV 25d	27.5%	23.4%	35.1%	35.1%	23.6%
Put IV 25d	32.7%	27.3%	41.9%	41.9%	28.0%
Bid-Ask Spread %	7.14	4.74	15.38	6.80	5.62
Gamma HHI	0.08	0.05	0.12	0.05	0.08
Net GEX	16.0M	-7.3M	34.0M	-7.3M	32.8M
Net DEX	-698.4M	-1.32B	63.1M	63.1M	-1.32B
Net VEX	-8.5M	-9.6M	-7.9M	-9.6M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.77	1.48	1.10	1.01
Total Volume	989,430.476	620,980	1,522,680	1,464,400	1,257,700
Total OI	7,545,675.238	6,377,700	8,297,380	7,948,060	7,638,620

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
2012-06-01	$10.41	$11.00	39.5%	10.7%	24.3%	15.6%	38.3%	6.9%	0.0%	-7.3M	63.1M	-9.6M	1.10	6.80	N/A	N/A	697,740	766,660	3,450,080	4,497,980
2012-06-04	$10.73	$9.75	42.8%	10.6%	26.2%	18.3%	37.8%	7.8%	3.3%	8.7M	-459.1M	-9.6M	1.48	6.57	N/A	N/A	467,180	692,860	3,462,040	4,313,080
2012-06-05	$10.66	$9.75	38.8%	10.1%	26.1%	14.9%	37.9%	7.2%	4.3%	1.8M	-353.2M	-9.4M	1.11	6.64	N/A	N/A	424,960	470,300	3,518,260	4,475,680
2012-06-06	$10.88	$9.75	29.5%	9.3%	27.3%	6.9%	34.1%	7.1%	5.1%	19.5M	-673.8M	-9.2M	1.26	7.17	N/A	N/A	369,400	465,820	3,548,200	4,535,920
2012-06-07	$10.94	$9.75	28.5%	9.0%	27.4%	6.1%	31.8%	6.6%	5.7%	24.4M	-737.4M	-9.0M	1.06	11.42	N/A	N/A	527,020	560,000	3,560,260	4,604,480
2012-06-08	$10.92	$10.00	26.4%	8.7%	26.6%	4.3%	31.7%	5.7%	6.1%	12.9M	-681.1M	-8.7M	1.12	7.29	N/A	N/A	416,840	465,120	3,619,220	4,678,160
2012-06-11	$10.82	$10.00	32.2%	9.3%	26.6%	9.3%	32.3%	5.9%	5.3%	8.0M	-515.7M	-8.6M	1.03	10.24	N/A	N/A	533,080	547,480	3,419,040	4,367,920
2012-06-12	$10.82	$10.00	27.3%	9.0%	25.7%	5.0%	31.3%	6.0%	6.1%	11.0M	-502.2M	-8.5M	1.10	7.98	N/A	N/A	420,260	461,680	3,505,000	4,423,100
2012-06-13	$10.74	$10.00	26.7%	9.1%	25.6%	4.5%	32.1%	6.1%	6.6%	2.1M	-377.9M	-8.6M	1.26	5.85	N/A	N/A	274,780	346,200	3,520,680	4,474,840
2012-06-14	$10.72	$10.00	30.9%	8.8%	25.6%	8.1%	31.9%	5.7%	6.8%	-1.9M	-372.6M	-8.5M	1.24	6.62	N/A	N/A	355,380	440,920	3,513,760	4,506,980
2012-06-15	$10.92	$10.00	29.3%	8.4%	25.0%	6.7%	29.8%	5.5%	7.1%	21.3M	-675.1M	-8.3M	0.77	8.84	N/A	N/A	607,680	465,900	3,575,720	4,568,580
2012-06-18	$11.13	$10.00	26.7%	7.6%	24.6%	4.5%	28.0%	3.5%	8.9%	30.4M	-959.0M	-8.1M	1.03	15.38	N/A	N/A	616,580	634,840	2,871,920	3,505,780
2012-06-19	$11.20	$10.00	25.3%	7.2%	23.8%	3.3%	26.2%	3.6%	9.1%	34.0M	-1.02B	-8.1M	1.11	5.23	N/A	N/A	338,600	376,700	3,022,080	3,727,320
2012-06-20	$11.15	$10.00	24.9%	7.1%	23.3%	2.9%	26.1%	4.0%	10.0%	31.8M	-916.8M	-8.2M	1.01	6.19	N/A	N/A	392,860	395,980	3,048,540	3,832,580
2012-06-21	$11.03	$10.00	26.6%	7.6%	23.5%	4.4%	27.0%	4.1%	10.0%	25.4M	-783.6M	-8.2M	0.92	6.45	N/A	N/A	609,500	560,120	3,109,780	3,906,140
2012-06-22	$11.11	$10.25	25.3%	7.2%	23.3%	3.3%	25.6%	3.9%	10.7%	14.3M	-848.2M	-8.2M	1.04	5.37	N/A	N/A	409,180	426,260	3,160,900	3,954,600
2012-06-25	$11.00	$10.25	26.0%	7.5%	23.2%	4.0%	26.7%	4.0%	10.6%	13.9M	-735.8M	-7.9M	1.09	4.75	N/A	N/A	319,840	347,940	2,997,320	3,762,300
2012-06-26	$11.28	$10.25	26.6%	7.6%	24.5%	4.5%	27.1%	3.8%	10.5%	28.5M	-1.04B	-8.2M	0.87	5.19	N/A	N/A	812,920	709,760	3,076,420	3,886,360
2012-06-27	$11.28	$10.25	26.4%	7.6%	22.2%	4.3%	27.0%	3.8%	10.4%	20.3M	-1.04B	-8.3M	1.27	4.74	N/A	N/A	316,240	401,720	3,268,120	4,104,260
2012-06-28	$11.07	$10.25	27.0%	7.7%	23.0%	4.8%	27.2%	4.3%	10.3%	3.8M	-719.5M	-8.1M	1.01	5.52	N/A	N/A	535,440	538,600	3,284,400	4,162,760
2012-06-29	$11.42	$10.25	21.3%	7.0%	23.4%	0.0%	26.2%	4.4%	11.1%	32.8M	-1.32B	-8.1M	1.01	5.62	N/A	N/A	625,080	632,620	3,397,800	4,240,820