AMZN Options History — October 2012 In October 2012, AMZN traded between $11.25 and $13.02. ATM implied volatility averaged 35.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 11.8% (HV 20d: 23.9%). Max pain ranged from $12.00 to $12.75. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.03.
Notable Days 2012-10-26 : Highest Volume — 5,405,940 contracts2012-10-11 : Largest IV spike — 47.3% change2012-10-25 : Highest IV Rank — 31.5%2012-10-25 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $12.22 $11.25 $13.02 $12.60 $11.64 Max Pain $12.42 $12.00 $12.75 $12.00 $12.00 ATM IV 35.7% 20.7% 56.9% 26.5% 34.0% Expected Move 10.7% 6.7% 16.3% 7.2% 8.6% HV 20d 23.9% 19.6% 33.3% 21.6% 33.3% HV 60d 24.6% 20.5% 26.7% 25.6% 24.5% IV Rank 13.6% 0.9% 31.5% 5.8% 12.1% IV Percentile 53.4% 0.4% 98.8% 21.0% 53.6% Term Structure -4.3% -16.0% 12.0% 10.8% -0.4% VWIV 37.9% 24.1% 54.1% 25.0% 31.3% Skew 25d 5.2% 2.4% 9.2% 2.7% 3.9% Skew 10d 10.6% 5.2% 16.2% 5.5% 8.5% Call IV 25d 35.2% 22.4% 50.9% 24.0% 29.0% Put IV 25d 40.4% 25.0% 60.1% 26.6% 32.9% Bid-Ask Spread % 7.27 3.97 11.91 3.97 6.15 Gamma HHI 0.10 0.05 0.69 0.07 0.07 Net GEX -5.0M -193.5M 59.8M 13.6M -7.9M Net DEX -572.5M -1.65B 149.3M -940.4M -69.2M Net VEX -7.5M -7.9M -7.2M -7.5M -7.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.61 1.47 0.92 1.25 Total Volume 1,568,630.476 651,080 5,405,940 784,860 1,509,320 Total OI 7,145,078.095 5,508,380 8,399,780 6,610,720 7,498,340
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 2012-10-01 $12.60 $12.00 26.5% 7.2% 21.6% 5.8% 25.0% 2.7% 10.8% 13.6M -940.4M -7.5M 0.92 3.97 N/A N/A 408,620 376,240 2,884,920 3,725,800 2012-10-02 $12.53 $12.25 24.1% 6.8% 21.7% 3.8% 24.1% 2.8% 11.5% 5.3M -838.1M -7.6M 1.00 4.47 N/A N/A 392,660 391,000 3,009,780 3,828,380 2012-10-03 $12.80 $12.00 25.4% 6.9% 22.7% 4.8% 24.8% 2.4% 11.5% 32.0M -1.25B -7.7M 0.89 5.34 N/A N/A 522,280 463,100 3,011,200 3,836,140 2012-10-04 $13.02 $12.25 23.6% 6.7% 22.4% 3.3% 24.2% 2.6% 12.0% 59.8M -1.65B -7.6M 1.00 4.59 N/A N/A 644,700 645,200 3,116,360 3,925,100 2012-10-05 $12.93 $12.75 20.7% 10.0% 19.8% 0.9% 35.1% 4.3% -4.7% 32.8M -1.45B -7.7M 1.04 11.08 N/A N/A 611,140 634,220 3,230,260 4,117,620 2012-10-08 $12.95 $12.75 25.7% 10.3% 19.6% 5.1% 36.2% 4.3% -5.4% 32.3M -1.39B -7.6M 0.92 11.91 N/A N/A 338,240 312,840 3,065,300 3,953,400 2012-10-09 $12.55 $12.75 29.2% 11.1% 22.7% 8.0% 39.0% 5.2% -6.7% -4.5M -776.9M -7.7M 1.09 7.79 N/A N/A 740,300 807,100 3,106,740 4,025,480 2012-10-10 $12.25 $12.75 26.0% 11.1% 24.1% 5.4% 38.7% 5.6% -6.7% -25.8M -320.3M -7.7M 1.18 7.59 N/A N/A 808,920 953,620 3,289,120 4,185,540 2012-10-11 $12.21 $12.75 38.4% 11.0% 22.9% 15.8% 39.6% 6.0% -6.8% -26.2M -261.1M -7.9M 1.09 6.32 N/A N/A 606,980 659,440 3,414,480 4,311,140 2012-10-12 $12.12 $12.75 39.1% 11.2% 22.8% 16.4% 39.3% 5.6% -7.3% -19.3M -125.8M -7.5M 1.17 7.12 N/A N/A 605,960 709,540 3,477,780 4,366,420 2012-10-15 $12.21 $12.75 38.6% 11.1% 22.9% 16.1% 39.8% 5.8% -7.9% -5.2M -501.1M -7.2M 1.02 7.03 N/A N/A 558,480 570,880 3,262,900 4,066,860 2012-10-16 $12.20 $12.50 38.4% 11.0% 22.8% 15.8% 39.1% 5.7% -7.9% -6.1M -494.7M -7.2M 0.64 7.13 N/A N/A 552,460 352,300 3,303,440 4,148,140 2012-10-17 $12.37 $12.50 39.1% 11.2% 23.1% 16.4% 39.0% 5.7% -8.2% 10.5M -789.0M -7.3M 0.61 8.44 N/A N/A 593,240 361,080 3,382,440 4,174,420 2012-10-18 $12.24 $12.50 41.6% 11.9% 23.3% 18.6% 41.7% 5.3% -9.9% -8.9M -569.3M -7.4M 0.92 6.93 N/A N/A 1,077,460 996,540 3,344,140 4,137,400 2012-10-19 $12.00 $12.50 43.5% 12.5% 23.8% 20.2% 43.4% 5.4% -11.0% -193.5M -234.8M -7.3M 1.47 8.52 N/A N/A 746,220 1,093,280 3,551,120 4,295,460 2012-10-22 $11.69 $12.50 47.2% 13.5% 25.0% 23.3% 47.8% 6.4% -10.6% -2.1M -56.0M -7.2M 1.24 7.15 N/A N/A 630,060 782,620 2,560,280 2,948,100 2012-10-23 $11.72 $12.25 49.6% 14.2% 25.1% 25.3% 50.3% 7.8% -11.9% -532.7K -90.5M -7.5M 1.02 8.01 N/A N/A 519,500 528,020 2,773,120 3,230,500 2012-10-24 $11.42 $12.25 50.1% 14.4% 26.1% 25.8% 49.8% 8.0% -12.4% -6.8M 148.2M -7.3M 1.02 8.26 N/A N/A 678,820 692,760 2,929,820 3,348,580 2012-10-25 $11.25 $12.00 56.9% 16.3% 23.5% 31.5% 54.1% 9.2% -16.0% -5.7M 149.3M -7.6M 0.79 10.26 N/A N/A 2,039,640 1,620,520 3,205,660 3,605,180 2012-10-26 $11.91 $12.00 32.3% 8.6% 32.7% 10.7% 32.7% 5.5% -1.4% 20.1M -511.3M -7.6M 1.27 4.62 N/A N/A 2,386,620 3,019,320 4,186,380 4,213,400 2012-10-31 $11.64 $12.00 34.0% 8.6% 33.3% 12.1% 31.3% 3.9% -0.4% -7.9M -69.2M -7.2M 1.25 6.15 N/A N/A 671,800 837,520 3,608,420 3,889,920
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