AMZN Options History — July 2012 In July 2012, AMZN traded between $10.77 and $11.87. ATM implied volatility averaged 36.2%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 10.8% (HV 20d: 25.4%). Max pain ranged from $10.25 to $11.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2012-07-27 : Highest Volume — 5,418,560 contracts2012-07-12 : Largest IV spike — 48.8% change2012-07-26 : Highest IV Rank — 28.7%2012-07-26 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.20 $10.77 $11.87 $11.47 $11.66 Max Pain $10.79 $10.25 $11.00 $10.25 $11.00 ATM IV 36.2% 21.2% 54.6% 22.9% 35.9% Expected Move 10.9% 6.9% 15.7% 7.2% 8.5% HV 20d 25.4% 20.7% 37.7% 21.3% 36.6% HV 60d 34.5% 23.9% 38.3% 37.9% 28.5% IV Rank 12.9% 0.0% 28.7% 1.4% 12.6% IV Percentile 43.9% 0.0% 95.2% 1.2% 40.9% Term Structure -4.4% -14.3% 11.2% 10.8% 0.4% VWIV 38.1% 25.5% 54.1% 26.0% 30.3% Skew 25d 4.9% 3.0% 8.8% 3.9% 4.7% Skew 10d 9.8% 6.1% 16.1% 8.5% 9.4% Call IV 25d 35.6% 22.9% 49.4% 23.9% 28.3% Put IV 25d 40.5% 26.9% 58.2% 27.8% 32.9% Bid-Ask Spread % 6.92 4.08 12.78 5.53 4.40 Gamma HHI 0.09 0.06 0.34 0.10 0.10 Net GEX 22.8M -42.0M 68.7M 37.0M 47.5M Net DEX -914.2M -1.90B -345.0M -1.31B -1.14B Net VEX -7.8M -8.8M -7.1M -8.1M -8.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.63 1.38 0.91 0.83 Total Volume 1,444,662.857 495,260 5,418,560 755,260 997,840 Total OI 7,554,489.524 5,527,220 8,565,460 7,385,360 6,889,500
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 2012-07-02 $11.47 $10.25 22.9% 7.2% 21.3% 1.4% 26.0% 3.9% 10.8% 37.0M -1.31B -8.1M 0.91 5.53 N/A N/A 396,060 359,200 3,303,100 4,082,260 2012-07-03 $11.48 $10.25 21.2% 6.9% 21.1% 0.0% 25.5% 3.9% 10.6% 37.8M -1.33B -8.0M 1.38 4.58 N/A N/A 207,680 287,580 3,380,140 4,188,620 2012-07-05 $11.35 $10.50 24.6% 7.3% 20.7% 2.9% 25.8% 3.0% 11.2% 25.2M -1.13B -8.0M 0.63 4.94 N/A N/A 630,100 397,860 3,410,700 4,283,560 2012-07-06 $11.25 $10.75 23.2% 10.4% 21.0% 1.8% 35.8% 4.6% -4.4% -42.0M -1.02B -7.9M 0.76 8.91 N/A N/A 701,800 535,160 3,555,000 4,351,660 2012-07-09 $11.25 $10.75 26.9% 10.7% 21.0% 5.0% 36.2% 4.9% -5.2% 32.0M -1.08B -7.8M 0.65 10.11 N/A N/A 391,320 253,320 3,527,700 4,190,480 2012-07-10 $10.97 $10.75 29.3% 11.2% 22.7% 7.0% 40.9% 5.5% -6.2% 11.4M -695.2M -7.7M 0.94 12.78 N/A N/A 639,340 598,780 3,654,340 4,266,620 2012-07-11 $10.92 $10.75 26.6% 11.2% 22.8% 4.7% 39.9% 4.7% -6.4% 2.8M -569.0M -7.7M 0.97 9.33 N/A N/A 492,540 478,700 3,697,940 4,399,200 2012-07-12 $10.77 $11.00 39.6% 11.4% 23.2% 15.8% 39.8% 5.0% -6.6% -9.6M -365.5M -7.5M 0.96 8.52 N/A N/A 548,120 525,960 3,743,800 4,455,700 2012-07-13 $10.92 $10.75 38.5% 11.0% 23.7% 14.9% 38.4% 4.5% -7.0% 12.8M -615.8M -7.4M 0.78 8.51 N/A N/A 691,740 539,480 3,824,240 4,458,740 2012-07-16 $10.80 $10.75 39.5% 11.3% 23.1% 15.7% 38.8% 4.0% -7.6% 8.7M -553.6M -7.2M 0.85 6.84 N/A N/A 448,640 381,240 3,707,440 4,319,920 2012-07-17 $10.85 $10.75 38.7% 11.1% 22.0% 15.1% 39.3% 4.6% -7.3% 8.5M -580.0M -7.1M 1.10 5.92 N/A N/A 314,240 345,500 3,741,600 4,374,360 2012-07-18 $10.87 $10.75 39.1% 11.2% 21.9% 15.4% 38.4% 4.5% -7.6% 13.1M -621.5M -7.1M 0.81 7.63 N/A N/A 341,800 276,320 3,775,420 4,407,700 2012-07-19 $11.31 $10.75 41.6% 11.9% 26.2% 17.5% 41.7% 3.1% -9.4% 56.4M -1.35B -7.5M 0.66 8.68 N/A N/A 1,400,480 929,220 3,816,400 4,381,720 2012-07-20 $11.41 $10.75 43.7% 12.5% 25.9% 19.3% 44.9% 5.2% -11.4% 33.7M -1.43B -7.9M 0.73 8.76 N/A N/A 961,160 702,500 3,945,060 4,620,400 2012-07-23 $11.30 $11.00 46.2% 13.2% 26.2% 21.4% 46.5% 5.5% -10.2% 22.0M -703.2M -7.8M 0.77 4.88 N/A N/A 556,140 428,800 2,806,120 2,721,100 2012-07-24 $11.15 $11.00 47.1% 13.5% 26.4% 22.2% 46.9% 6.2% -10.3% 20.1M -605.8M -7.9M 0.93 5.49 N/A N/A 406,960 377,280 2,964,060 2,873,020 2012-07-25 $10.85 $11.00 50.0% 14.3% 26.6% 24.7% 49.6% 6.0% -11.5% 12.0M -345.0M -7.8M 1.05 5.09 N/A N/A 705,320 738,400 3,059,000 2,982,700 2012-07-26 $11.00 $11.00 54.6% 15.7% 27.1% 28.7% 54.1% 8.8% -14.3% 17.1M -463.8M -8.3M 0.98 5.83 N/A N/A 2,319,780 2,268,020 3,321,580 3,278,520 2012-07-27 $11.87 $11.00 34.5% 9.0% 37.7% 11.4% 32.0% 5.5% -0.0% 63.7M -1.90B -8.5M 0.75 4.08 N/A N/A 3,089,640 2,328,920 4,270,700 4,266,640 2012-07-30 $11.80 $11.00 36.1% 8.5% 36.3% 12.8% 29.6% 4.8% 0.7% 68.7M -1.40B -8.8M 0.87 4.57 N/A N/A 719,400 625,580 3,722,780 3,624,740 2012-07-31 $11.66 $11.00 35.9% 8.5% 36.6% 12.6% 30.3% 4.7% 0.4% 47.5M -1.14B -8.2M 0.83 4.40 N/A N/A 543,920 453,920 3,410,740 3,478,760
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