AMZN Options History — November 2012

In November 2012, AMZN traded between $11.03 and $12.60. ATM implied volatility averaged 28.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.8% (HV 20d: 30.4%). Max pain ranged from $11.25 to $12.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2012-11-26: Highest Volume — 1,656,060 contracts
2012-11-05: Largest IV spike — 15.1% change
2012-11-05: Highest IV Rank — 12.8%
2012-11-08: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.72	$11.03	$12.60	$11.61	$12.60
Max Pain	$11.54	$11.25	$12.00	$12.00	$11.75
ATM IV	28.6%	25.2%	34.8%	29.0%	25.2%
Expected Move	8.1%	7.3%	8.8%	8.1%	7.3%
HV 20d	30.4%	21.7%	33.3%	33.3%	21.7%
HV 60d	25.3%	24.3%	26.2%	24.4%	26.2%
IV Rank	7.5%	4.7%	12.8%	7.9%	4.7%
IV Percentile	32.9%	13.9%	59.1%	33.7%	13.9%
Term Structure	0.2%	-0.6%	0.7%	0.2%	0.7%
VWIV	28.8%	26.2%	30.5%	29.2%	26.7%
Skew 25d	4.5%	3.2%	5.4%	3.3%	3.8%
Skew 10d	9.1%	6.2%	10.6%	6.6%	7.4%
Call IV 25d	26.3%	24.1%	28.2%	27.1%	24.1%
Put IV 25d	30.9%	27.9%	33.1%	30.4%	27.9%
Bid-Ask Spread %	7.04	5.39	11.04	5.61	5.39
Gamma HHI	0.13	0.06	0.48	0.07	0.11
Net GEX	6.8M	-51.0M	138.1M	-12.7M	48.6M
Net DEX	-230.4M	-1.35B	631.1M	33.0M	-1.35B
Net VEX	-6.7M	-7.1M	-5.9M	-7.1M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.56	1.54	1.21	0.70
Total Volume	1,021,869.524	524,240	1,656,060	885,900	1,168,000
Total OI	6,827,752.381	5,290,020	7,641,820	7,565,520	6,951,200

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
2012-11-01	$11.61	$12.00	29.0%	8.1%	33.3%	7.9%	29.2%	3.3%	0.2%	-12.7M	33.0M	-7.1M	1.21	5.61	N/A	N/A	401,020	484,880	3,609,460	3,956,060
2012-11-02	$11.62	$12.00	30.2%	8.5%	32.1%	8.9%	29.6%	3.2%	-0.6%	-8.5M	-1.5M	-7.1M	1.06	6.41	N/A	N/A	544,260	578,880	3,640,680	4,001,140
2012-11-05	$11.72	$11.50	34.8%	8.3%	31.4%	12.8%	30.4%	4.8%	0.1%	-1.3M	-105.4M	-7.1M	1.01	7.24	N/A	N/A	328,920	333,700	3,273,020	3,726,600
2012-11-06	$11.88	$11.50	34.7%	8.0%	32.1%	12.7%	29.4%	4.9%	0.2%	12.0M	-320.7M	-7.1M	1.37	11.04	N/A	N/A	221,480	302,760	3,336,820	3,813,180
2012-11-07	$11.60	$11.50	31.0%	8.6%	32.7%	9.6%	30.4%	4.7%	-0.1%	-18.3M	100.5M	-6.9M	1.47	6.92	N/A	N/A	451,460	663,920	3,327,440	3,898,900
2012-11-08	$11.37	$11.50	30.1%	8.8%	31.7%	8.9%	30.5%	5.1%	-0.2%	-45.0M	419.3M	-6.7M	1.31	6.48	N/A	N/A	469,320	616,580	3,404,820	3,972,620
2012-11-09	$11.32	$11.50	29.0%	8.6%	30.9%	7.9%	30.5%	4.8%	-0.0%	-51.0M	483.3M	-6.7M	1.11	5.54	N/A	N/A	556,060	619,040	3,506,980	4,036,640
2012-11-12	$11.32	$11.50	29.2%	8.4%	30.9%	8.1%	29.4%	4.7%	0.1%	-28.5M	327.2M	-6.2M	0.89	10.21	N/A	N/A	352,160	313,480	3,327,880	3,767,580
2012-11-13	$11.33	$11.50	28.1%	8.3%	30.9%	7.1%	28.8%	4.5%	-0.1%	-31.1M	330.3M	-6.2M	1.17	8.40	N/A	N/A	307,000	359,660	3,362,880	3,799,000
2012-11-14	$11.15	$11.50	27.2%	8.3%	31.0%	6.3%	29.3%	4.7%	-0.2%	-42.3M	543.0M	-6.1M	1.39	6.95	N/A	N/A	277,580	386,340	3,438,120	3,804,800
2012-11-15	$11.03	$11.50	29.6%	8.5%	31.0%	8.4%	29.6%	4.4%	0.3%	-47.9M	631.1M	-5.9M	1.54	6.51	N/A	N/A	454,300	699,520	3,412,660	3,781,380
2012-11-16	$11.26	$11.50	28.7%	8.2%	31.6%	7.7%	29.6%	4.8%	0.5%	-47.5M	246.2M	-6.2M	1.03	7.57	N/A	N/A	790,300	817,400	3,516,420	3,847,740
2012-11-19	$11.49	$11.25	26.8%	7.7%	32.7%	6.0%	26.8%	4.9%	0.6%	6.7M	-170.1M	-6.2M	0.56	6.40	N/A	N/A	654,340	367,780	2,355,740	2,934,280
2012-11-20	$11.69	$11.25	25.9%	7.4%	32.8%	5.3%	26.2%	4.4%	0.7%	28.1M	-422.6M	-6.4M	0.66	6.61	N/A	N/A	496,660	327,440	2,628,520	3,060,620
2012-11-21	$11.90	$11.25	26.4%	7.6%	32.1%	5.7%	28.0%	4.2%	0.1%	40.1M	-688.6M	-6.6M	0.91	6.88	N/A	N/A	635,380	575,600	2,741,280	3,148,540
2012-11-23	$11.99	$11.50	28.2%	8.1%	32.2%	7.2%	29.1%	5.4%	-0.5%	138.1M	-800.3M	-7.0M	0.66	6.82	N/A	N/A	503,900	333,420	2,894,840	3,350,340
2012-11-26	$12.18	$11.50	27.2%	7.8%	31.0%	6.4%	28.6%	5.0%	0.6%	39.5M	-859.2M	-6.8M	0.83	7.47	N/A	N/A	902,500	753,560	2,770,040	3,232,080
2012-11-27	$12.17	$11.50	26.5%	7.6%	30.3%	5.8%	28.6%	4.9%	0.5%	42.3M	-841.2M	-7.0M	1.06	6.48	N/A	N/A	438,600	466,380	2,974,100	3,500,540
2012-11-28	$12.36	$11.50	26.6%	7.6%	23.2%	5.8%	27.7%	4.5%	0.4%	54.7M	-1.05B	-6.9M	1.22	6.47	N/A	N/A	401,700	489,760	2,971,800	3,594,080
2012-11-29	$12.56	$11.75	25.8%	7.4%	21.9%	5.2%	26.6%	4.0%	0.6%	66.4M	-1.34B	-6.9M	0.82	6.37	N/A	N/A	887,840	726,380	3,004,740	3,707,240
2012-11-30	$12.60	$11.75	25.2%	7.3%	21.7%	4.7%	26.7%	3.8%	0.7%	48.6M	-1.35B	-7.0M	0.70	5.39	N/A	N/A	686,360	481,640	3,100,900	3,850,300