AMZN Options History — August 2012 In August 2012, AMZN traded between $11.54 and $12.41. ATM implied volatility averaged 25.5%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 4.1% (HV 20d: 29.6%). Max pain ranged from $11.25 to $12.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.89.
Notable Days 2012-08-24 : Highest Volume — 2,019,760 contracts2012-08-02 : Largest IV drop — 21.0% change2012-08-01 : Highest IV Rank — 13.8%2012-08-01 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.95 $11.54 $12.41 $11.60 $12.41 Max Pain $11.60 $11.25 $12.00 $11.25 $12.00 ATM IV 25.5% 19.7% 37.2% 37.2% 25.5% Expected Move 7.4% 6.6% 8.3% 8.3% 7.3% HV 20d 29.6% 14.7% 36.8% 36.7% 14.7% HV 60d 27.3% 25.4% 28.7% 28.5% 25.5% IV Rank 4.6% 0.0% 13.8% 13.8% 5.0% IV Percentile 10.2% 0.0% 47.6% 47.6% 9.9% Term Structure 1.8% 0.6% 3.3% 0.6% 2.6% VWIV 26.4% 23.8% 29.7% 29.7% 26.7% Skew 25d 3.4% 2.1% 4.0% 3.5% 3.5% Skew 10d 7.0% 4.2% 8.2% 7.5% 6.7% Call IV 25d 24.5% 22.1% 27.6% 27.6% 24.6% Put IV 25d 28.0% 25.3% 31.2% 31.2% 28.0% Bid-Ask Spread % 6.35 4.45 9.31 4.45 5.96 Gamma HHI 0.14 0.08 0.43 0.09 0.09 Net GEX 55.1M 24.8M 181.2M 46.0M 41.7M Net DEX -1.16B -1.67B -876.4M -1.01B -1.35B Net VEX -8.2M -8.8M -7.5M -8.8M -8.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.55 1.36 1.03 0.90 Total Volume 1,048,571.304 597,500 2,019,760 758,200 1,286,700 Total OI 7,108,636.522 5,650,380 7,975,900 7,610,940 7,077,280
Daily Data (23 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 2012-08-01 $11.60 $11.25 37.2% 8.3% 36.7% 13.8% 29.7% 3.5% 0.6% 46.0M -1.01B -8.8M 1.03 4.45 N/A N/A 373,100 385,100 3,810,280 3,800,660 2012-08-02 $11.54 $11.25 29.4% 7.9% 36.5% 7.1% 28.3% 3.3% 1.5% 38.2M -919.7M -8.5M 1.00 4.98 N/A N/A 523,440 523,740 3,809,440 3,865,540 2012-08-03 $11.75 $11.25 24.4% 7.1% 36.8% 2.8% 25.0% 2.1% 3.3% 181.2M -1.31B -8.3M 0.81 4.67 N/A N/A 787,940 636,260 3,867,240 3,926,960 2012-08-06 $11.70 $11.50 27.4% 7.9% 36.8% 5.4% 28.9% 3.6% 1.0% 57.3M -1.12B -8.4M 0.99 7.05 N/A N/A 305,920 302,740 3,627,620 3,600,420 2012-08-07 $11.83 $11.50 27.8% 7.8% 35.5% 5.7% 27.6% 3.6% 1.1% 69.7M -1.32B -8.1M 0.55 7.42 N/A N/A 662,740 362,720 3,714,560 3,690,180 2012-08-08 $11.72 $11.50 24.1% 7.7% 35.7% 2.5% 27.3% 3.7% 1.4% 55.1M -1.09B -8.1M 0.93 6.76 N/A N/A 377,020 349,800 3,818,120 3,821,020 2012-08-09 $11.70 $11.50 23.1% 7.4% 35.2% 1.7% 26.4% 3.7% 1.4% 55.3M -1.05B -8.2M 0.94 9.31 N/A N/A 308,460 289,040 3,812,060 3,860,780 2012-08-10 $11.64 $11.50 19.7% 6.8% 35.1% 0.0% 24.8% 3.3% 2.0% 42.5M -935.5M -7.7M 0.97 7.86 N/A N/A 401,780 390,580 3,854,000 3,900,200 2012-08-13 $11.62 $11.50 23.4% 7.1% 34.8% 3.1% 24.7% 3.8% 1.8% 44.6M -934.2M -7.7M 0.75 7.70 N/A N/A 422,200 314,940 3,665,860 3,761,560 2012-08-14 $11.66 $11.50 21.4% 7.0% 34.8% 1.5% 24.8% 3.5% 1.9% 50.6M -1.02B -7.5M 0.76 8.03 N/A N/A 534,240 408,660 3,670,400 3,833,880 2012-08-15 $11.87 $11.50 21.3% 7.1% 35.1% 1.4% 25.2% 3.3% 1.9% 84.8M -1.38B -7.6M 0.84 6.47 N/A N/A 534,500 449,580 3,726,260 3,910,300 2012-08-16 $12.08 $11.50 25.7% 7.4% 33.1% 5.1% 26.3% 4.0% 1.6% 99.1M -1.67B -7.8M 0.71 6.87 N/A N/A 1,138,480 808,860 3,684,800 3,974,420 2012-08-17 $12.06 $11.50 23.4% 6.7% 33.0% 3.1% 23.8% 3.2% 2.4% 72.8M -1.63B -7.8M 0.83 6.90 N/A N/A 623,180 517,220 3,786,900 4,189,000 2012-08-20 $12.02 $11.75 23.2% 6.6% 32.8% 3.0% 23.9% 2.9% 2.6% 27.9M -927.1M -7.5M 1.36 5.80 N/A N/A 392,100 534,160 2,653,960 2,996,420 2012-08-21 $11.97 $11.75 24.8% 7.1% 32.3% 4.4% 25.5% 3.2% 1.8% 24.8M -876.4M -7.8M 1.12 5.43 N/A N/A 522,400 585,760 2,769,360 3,180,880 2012-08-22 $12.15 $11.75 25.9% 7.4% 30.4% 5.3% 26.7% 3.7% 1.9% 37.9M -1.09B -8.0M 0.85 6.35 N/A N/A 615,700 523,540 2,837,460 3,298,960 2012-08-23 $12.06 $11.75 27.0% 7.7% 30.6% 6.2% 27.2% 2.9% 1.3% 25.0M -936.6M -8.5M 0.72 6.77 N/A N/A 751,620 540,740 2,951,000 3,463,680 2012-08-24 $12.29 $11.75 26.4% 7.6% 16.4% 5.7% 26.8% 3.5% 1.9% 49.0M -1.33B -8.7M 0.65 5.16 N/A N/A 1,223,280 796,480 3,078,620 3,542,140 2012-08-27 $12.20 $11.75 26.1% 7.5% 16.6% 5.5% 26.8% 3.8% 1.6% 36.5M -1.06B -8.4M 0.97 5.33 N/A N/A 373,400 362,420 2,990,940 3,434,320 2012-08-28 $12.31 $11.75 26.1% 7.5% 16.0% 5.4% 27.0% 4.0% 1.9% 42.6M -1.21B -8.6M 0.97 5.27 N/A N/A 437,740 424,340 3,039,020 3,521,040 2012-08-29 $12.36 $11.75 25.8% 7.4% 15.7% 5.2% 26.1% 3.6% 2.0% 49.3M -1.27B -8.8M 0.97 5.68 N/A N/A 304,680 296,140 3,112,540 3,679,140 2012-08-30 $12.31 $12.00 26.8% 7.7% 15.6% 6.1% 27.0% 3.6% 2.0% 36.5M -1.17B -8.7M 0.75 5.78 N/A N/A 809,220 604,480 3,116,500 3,772,920 2012-08-31 $12.41 $12.00 25.5% 7.3% 14.7% 5.0% 26.7% 3.5% 2.6% 41.7M -1.35B -8.6M 0.90 5.96 N/A N/A 678,380 608,320 3,230,420 3,846,860
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