AMZN Options History — January 2013

In January 2013, AMZN traded between $12.87 and $14.20. ATM implied volatility averaged 42.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 14.4% (HV 20d: 27.6%). Max pain ranged from $12.00 to $13.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2013-01-30: Highest Volume — 5,285,720 contracts
2013-01-25: Largest IV spike — 74.5% change
2013-01-29: Highest IV Rank — 89.9%
2013-01-29: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.43	$12.87	$14.20	$12.87	$13.28
Max Pain	$13.04	$12.00	$13.50	$12.00	$13.50
ATM IV	42.0%	20.7%	126.0%	27.9%	30.4%
Expected Move	10.5%	6.5%	16.7%	6.8%	8.0%
HV 20d	27.6%	23.9%	31.9%	26.5%	31.9%
HV 60d	26.5%	24.5%	28.0%	27.3%	26.7%
IV Rank	18.9%	0.8%	89.9%	7.0%	9.1%
IV Percentile	62.8%	0.4%	99.6%	39.7%	57.1%
Term Structure	-5.1%	-16.7%	14.0%	13.4%	-0.7%
VWIV	37.4%	24.1%	57.3%	24.2%	29.1%
Skew 25d	4.2%	2.8%	5.6%	3.3%	3.2%
Skew 10d	8.5%	5.2%	10.9%	6.6%	7.6%
Call IV 25d	34.9%	22.2%	54.5%	22.2%	27.1%
Put IV 25d	39.2%	25.1%	60.2%	25.5%	30.3%
Bid-Ask Spread %	9.06	5.72	15.90	6.87	5.93
Gamma HHI	0.12	0.04	0.21	0.12	0.09
Net GEX	34.6M	-50.4M	64.4M	38.0M	-50.4M
Net DEX	-1.12B	-1.84B	131.9M	-990.8M	131.9M
Net VEX	-7.2M	-9.0M	-6.1M	-6.1M	-9.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.62	1.51	1.51	1.34
Total Volume	1,741,250.476	745,960	5,285,720	1,315,600	2,480,540
Total OI	6,524,528.571	3,829,820	7,915,860	6,219,000	7,915,860

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
2013-01-02	$12.87	$12.00	27.9%	6.8%	26.5%	7.0%	24.2%	3.3%	13.4%	38.0M	-990.8M	-6.1M	1.51	6.87	N/A	N/A	524,920	790,680	2,624,960	3,594,040
2013-01-03	$12.92	$12.00	23.5%	6.5%	26.4%	3.2%	24.1%	2.8%	14.0%	43.4M	-1.06B	-6.2M	1.46	6.40	N/A	N/A	539,640	789,120	2,718,240	3,814,200
2013-01-04	$12.96	$12.75	20.7%	10.2%	26.3%	0.8%	36.3%	5.1%	-5.7%	55.0M	-1.07B	-6.4M	0.98	11.85	N/A	N/A	586,340	577,540	2,878,220	3,988,940
2013-01-07	$13.42	$12.75	26.7%	10.4%	28.9%	5.9%	37.1%	4.9%	-6.2%	60.2M	-1.61B	-6.5M	0.82	10.16	N/A	N/A	1,310,920	1,074,440	2,803,580	3,825,480
2013-01-08	$13.32	$13.00	24.6%	10.5%	29.2%	4.2%	37.8%	4.5%	-6.2%	55.8M	-1.38B	-7.0M	1.06	10.69	N/A	N/A	519,160	549,120	3,085,740	4,131,900
2013-01-09	$13.32	$13.00	22.3%	10.6%	27.7%	2.3%	37.5%	4.8%	-6.1%	57.5M	-1.41B	-7.0M	0.97	7.33	N/A	N/A	424,820	410,860	3,147,960	4,239,800
2013-01-10	$13.27	$13.00	36.6%	10.5%	27.7%	14.3%	37.4%	4.5%	-6.2%	29.5M	-1.22B	-7.0M	1.10	8.50	N/A	N/A	445,460	489,560	3,209,540	4,352,020
2013-01-11	$13.40	$13.00	36.7%	10.5%	27.8%	14.4%	38.2%	3.8%	-6.5%	49.8M	-1.50B	-7.0M	0.94	8.42	N/A	N/A	647,200	607,120	3,240,700	4,429,140
2013-01-14	$13.64	$13.00	36.9%	10.6%	28.2%	14.6%	37.7%	4.0%	-6.8%	64.4M	-1.84B	-6.9M	0.80	7.52	N/A	N/A	878,920	701,000	3,084,060	4,138,280
2013-01-15	$13.60	$13.00	36.6%	10.5%	27.9%	14.3%	36.6%	3.9%	-6.5%	54.8M	-1.70B	-7.1M	0.62	11.21	N/A	N/A	513,720	318,120	3,192,280	4,322,860
2013-01-16	$13.45	$13.00	35.7%	10.2%	27.9%	13.6%	36.6%	3.5%	-5.9%	42.1M	-1.47B	-7.1M	0.89	11.04	N/A	N/A	445,980	395,860	3,251,820	4,351,260
2013-01-17	$13.52	$13.25	37.0%	10.6%	26.7%	14.7%	37.5%	4.3%	-6.7%	60.6M	-1.59B	-7.0M	0.87	11.69	N/A	N/A	458,380	400,500	3,186,640	4,306,640
2013-01-18	$13.61	$13.25	35.3%	10.1%	26.4%	13.2%	35.4%	4.2%	-5.6%	27.6M	-1.68B	-6.9M	0.76	9.48	N/A	N/A	697,560	531,840	3,189,580	4,409,200
2013-01-22	$13.51	$13.25	37.0%	10.6%	26.2%	14.7%	37.0%	3.9%	-6.3%	8.0M	-576.5M	-6.8M	1.29	9.93	N/A	N/A	360,700	463,980	1,771,620	2,058,200
2013-01-23	$13.41	$13.25	38.7%	11.1%	25.5%	16.1%	38.9%	4.3%	-7.6%	-9.8M	-478.0M	-7.2M	1.05	7.54	N/A	N/A	363,500	382,460	1,931,060	2,305,580
2013-01-24	$13.68	$13.25	41.4%	11.9%	26.3%	18.4%	41.7%	4.8%	-9.4%	32.1M	-795.5M	-7.3M	0.79	5.72	N/A	N/A	1,080,120	855,560	2,032,200	2,385,620
2013-01-25	$14.20	$13.25	72.2%	12.6%	23.9%	44.4%	45.4%	5.0%	-10.5%	53.3M	-1.37B	-7.8M	0.67	11.23	N/A	N/A	1,423,120	956,180	2,306,680	2,629,100
2013-01-28	$13.80	$13.25	99.2%	14.3%	26.9%	67.3%	50.1%	5.1%	-13.4%	21.7M	-842.4M	-8.1M	1.09	6.48	N/A	N/A	973,000	1,059,980	2,369,640	2,564,840
2013-01-29	$13.27	$13.50	126.0%	16.7%	30.7%	89.9%	57.3%	5.6%	-16.7%	4.7M	-395.9M	-8.6M	1.11	15.90	N/A	N/A	2,495,140	2,757,480	2,654,700	2,983,780
2013-01-30	$13.64	$13.50	37.2%	7.9%	31.1%	14.8%	29.4%	3.7%	-0.6%	27.7M	-702.7M	-8.7M	1.05	6.45	N/A	N/A	2,577,600	2,708,120	3,553,960	4,035,180
2013-01-31	$13.28	$13.50	30.4%	8.0%	31.9%	9.1%	29.1%	3.2%	-0.7%	-50.4M	131.9M	-9.0M	1.34	5.93	N/A	N/A	1,061,920	1,418,620	3,656,020	4,259,840