AMZN Options History — April 2013

In April 2013, AMZN traded between $12.49 and $13.73. ATM implied volatility averaged 37.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.7% (HV 20d: 25.3%). Max pain ranged from $12.75 to $13.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2013-04-26: Highest Volume — 5,115,500 contracts
2013-04-26: Largest IV drop — 31.1% change
2013-04-18: Highest IV Rank — 21.0%
2013-04-18: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.15	$12.49	$13.73	$13.08	$12.69
Max Pain	$13.12	$12.75	$13.50	$13.00	$12.75
ATM IV	37.0%	26.5%	41.3%	37.1%	26.8%
Expected Move	10.6%	7.6%	11.9%	10.4%	7.7%
HV 20d	25.3%	21.4%	37.5%	24.1%	37.5%
HV 60d	27.2%	25.4%	29.2%	27.0%	29.2%
IV Rank	16.9%	7.0%	21.0%	17.0%	7.4%
IV Percentile	78.8%	34.1%	90.5%	81.7%	40.1%
Term Structure	-3.8%	-7.3%	-0.2%	-3.3%	-0.2%
VWIV	37.2%	27.2%	41.8%	36.0%	27.7%
Skew 25d	4.1%	1.6%	6.2%	4.4%	2.2%
Skew 10d	8.2%	3.1%	13.0%	9.0%	4.3%
Call IV 25d	35.3%	26.4%	39.2%	34.6%	26.4%
Put IV 25d	39.4%	28.1%	43.9%	39.0%	28.5%
Bid-Ask Spread %	12.30	5.39	23.27	10.84	15.44
Gamma HHI	0.10	0.06	0.37	0.06	0.09
Net GEX	-5.7M	-124.0M	53.1M	-5.4M	-25.5M
Net DEX	-313.4M	-1.13B	613.8M	-257.5M	301.0M
Net VEX	-8.1M	-8.5M	-7.6M	-8.1M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.57	1.37	1.21	1.12
Total Volume	1,303,120.909	586,960	5,115,500	595,500	1,259,760
Total OI	6,404,226.364	4,853,460	7,643,380	5,961,100	6,557,560

Daily Data (22 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
2013-04-01	$13.08	$13.00	37.1%	10.4%	24.1%	17.0%	36.0%	4.4%	-3.3%	-5.4M	-257.5M	-8.1M	1.21	10.84	N/A	N/A	269,140	326,360	2,762,580	3,198,520
2013-04-02	$13.17	$13.50	36.6%	10.4%	21.9%	16.5%	36.6%	4.5%	-3.5%	-988.8K	-358.7M	-8.2M	1.11	12.95	N/A	N/A	306,240	339,820	2,821,120	3,280,560
2013-04-03	$12.95	$13.25	36.5%	10.5%	22.0%	16.4%	36.1%	4.7%	-3.7%	-27.4M	-58.3M	-8.0M	1.36	11.84	N/A	N/A	292,400	398,340	2,890,180	3,364,440
2013-04-04	$12.95	$13.25	37.1%	10.6%	22.0%	17.0%	37.8%	4.6%	-3.9%	-24.3M	-90.1M	-8.1M	1.28	14.62	N/A	N/A	257,740	329,220	2,933,920	3,397,840
2013-04-05	$12.77	$13.25	37.7%	10.8%	22.4%	17.6%	37.5%	4.6%	-4.0%	-65.9M	138.8M	-8.0M	1.27	12.65	N/A	N/A	427,280	543,420	2,963,500	3,427,500
2013-04-08	$12.95	$13.00	38.9%	11.2%	23.1%	18.7%	38.6%	4.4%	-4.9%	-11.7M	-125.1M	-8.0M	0.89	14.29	N/A	N/A	421,720	375,740	2,874,380	3,360,340
2013-04-09	$13.06	$13.00	39.2%	11.2%	23.2%	19.0%	38.7%	4.2%	-5.1%	3.8M	-318.2M	-8.0M	0.92	11.61	N/A	N/A	331,520	306,500	2,986,560	3,447,760
2013-04-10	$13.24	$13.00	39.7%	11.4%	23.5%	19.4%	40.3%	3.7%	-5.1%	27.2M	-592.5M	-8.1M	1.37	12.12	N/A	N/A	340,220	464,420	3,073,520	3,515,460
2013-04-11	$13.49	$0.00	37.0%	10.7%	24.6%	16.9%	36.4%	4.3%	-2.6%	48.0M	-922.5M	-8.2M	0.83	23.27	N/A	N/A	602,720	499,640	3,111,720	3,605,380
2013-04-12	$13.64	$13.50	37.3%	10.9%	21.4%	17.1%	41.7%	3.9%	-2.8%	35.1M	-1.13B	-8.4M	1.14	9.50	N/A	N/A	620,180	707,720	3,163,400	3,683,440
2013-04-15	$13.39	$13.00	38.9%	10.8%	21.9%	18.6%	38.2%	3.6%	-5.8%	6.1M	-624.1M	-8.1M	1.11	8.40	N/A	N/A	520,000	575,300	3,028,240	3,593,120
2013-04-16	$13.62	$13.00	37.6%	10.5%	21.7%	17.4%	37.0%	3.9%	-5.4%	34.3M	-960.8M	-8.1M	1.05	6.45	N/A	N/A	345,040	364,020	3,141,580	3,657,560
2013-04-17	$13.37	$13.00	39.2%	11.1%	22.8%	19.0%	39.5%	4.3%	-6.4%	855.2K	-576.1M	-8.3M	1.29	6.36	N/A	N/A	447,160	577,560	3,173,520	3,723,140
2013-04-18	$12.97	$13.00	41.3%	11.9%	25.5%	21.0%	41.8%	4.8%	-1.7%	-39.1M	48.6M	-7.9M	0.81	8.29	N/A	N/A	921,780	745,760	3,154,020	3,710,280
2013-04-19	$13.02	$13.00	39.4%	11.4%	24.8%	19.2%	40.7%	4.7%	-1.7%	-25.5M	-184.1M	-7.8M	1.24	5.39	N/A	N/A	510,880	635,180	3,508,340	3,711,100
2013-04-22	$13.18	$13.00	40.2%	11.3%	24.5%	19.9%	39.0%	6.2%	-6.6%	7.1M	-230.9M	-8.0M	1.12	10.46	N/A	N/A	470,600	528,380	2,432,840	2,420,620
2013-04-23	$13.45	$13.00	40.0%	11.4%	25.2%	19.7%	39.9%	5.6%	-7.0%	19.1M	-512.8M	-8.3M	0.57	13.42	N/A	N/A	630,960	361,260	2,656,200	2,683,660
2013-04-24	$13.44	$13.25	40.2%	11.5%	24.7%	19.9%	40.2%	4.6%	-7.3%	28.4M	-593.6M	-8.5M	0.71	12.63	N/A	N/A	584,880	416,640	2,965,460	2,833,400
2013-04-25	$13.73	$13.50	38.4%	11.1%	24.9%	18.2%	39.4%	3.5%	-2.6%	53.1M	-1.03B	-8.5M	0.76	17.38	N/A	N/A	2,052,780	1,562,740	3,266,380	3,019,800
2013-04-26	$12.74	$13.25	26.5%	7.6%	36.9%	7.0%	27.2%	1.6%	-0.3%	-124.0M	613.8M	-7.6M	0.92	10.65	N/A	N/A	2,670,120	2,445,380	4,045,980	3,597,400
2013-04-29	$12.49	$13.00	28.2%	8.0%	37.0%	8.7%	28.4%	1.7%	-0.5%	-38.0M	563.8M	-7.8M	1.00	22.07	N/A	N/A	942,420	939,720	3,113,900	3,036,760
2013-04-30	$12.69	$12.75	26.8%	7.7%	37.5%	7.4%	27.7%	2.2%	-0.2%	-25.5M	301.0M	-8.0M	1.12	15.44	N/A	N/A	595,060	664,700	3,311,020	3,246,540