AMZN Options History — May 2013

In May 2013, AMZN traded between $12.41 and $13.49. ATM implied volatility averaged 24.8%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 8.6% (HV 20d: 33.4%). Max pain ranged from $12.50 to $13.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2013-05-03: Highest Volume — 1,580,880 contracts
2013-05-15: Largest IV spike — 6.6% change
2013-05-01: Highest IV Rank — 8.1%
2013-05-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.14	$12.41	$13.49	$12.41	$13.46
Max Pain	$13.04	$12.50	$13.50	$12.75	$13.25
ATM IV	24.8%	23.1%	27.6%	27.6%	25.1%
Expected Move	7.1%	6.6%	7.9%	7.9%	7.2%
HV 20d	33.4%	18.7%	39.0%	37.8%	18.7%
HV 60d	28.2%	27.5%	29.3%	29.3%	27.6%
IV Rank	5.5%	3.9%	8.1%	8.1%	5.7%
IV Percentile	20.4%	7.5%	46.8%	46.8%	26.2%
Term Structure	0.1%	-0.6%	0.8%	-0.2%	-0.4%
VWIV	25.3%	23.4%	28.1%	28.1%	25.9%
Skew 25d	2.3%	1.7%	2.8%	2.4%	2.8%
Skew 10d	4.9%	3.5%	7.1%	4.5%	7.1%
Call IV 25d	24.1%	22.9%	27.1%	27.1%	24.4%
Put IV 25d	26.4%	24.6%	29.4%	29.4%	27.2%
Bid-Ask Spread %	16.51	9.23	23.34	12.49	18.55
Gamma HHI	0.10	0.06	0.34	0.12	0.06
Net GEX	5.1M	-56.3M	81.9M	-56.3M	19.1M
Net DEX	-246.7M	-808.4M	703.7M	703.7M	-482.3M
Net VEX	-7.8M	-8.2M	-7.5M	-7.8M	-8.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.76	1.39	1.27	1.08
Total Volume	1,032,631.818	546,040	1,580,880	1,517,420	1,496,900
Total OI	5,942,472.727	4,512,660	7,100,360	6,712,820	5,673,420

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
2013-05-01	$12.41	$12.75	27.6%	7.9%	37.8%	8.1%	28.1%	2.4%	-0.2%	-56.3M	703.7M	-7.8M	1.27	12.49	N/A	N/A	668,280	849,140	3,346,160	3,366,660
2013-05-02	$12.63	$12.50	26.7%	7.7%	38.5%	7.3%	27.3%	2.5%	0.2%	-33.4M	371.8M	-8.2M	1.09	14.24	N/A	N/A	734,200	800,600	3,448,860	3,502,180
2013-05-03	$12.90	$12.50	25.1%	7.2%	39.0%	5.8%	25.9%	2.6%	0.4%	-573.6K	-117.5M	-8.1M	0.96	16.79	N/A	N/A	806,720	774,160	3,508,920	3,591,440
2013-05-06	$12.79	$12.75	26.3%	7.6%	38.8%	6.9%	26.9%	2.8%	-0.2%	-15.3M	98.8M	-7.9M	1.19	19.99	N/A	N/A	398,380	472,200	2,906,400	3,209,940
2013-05-07	$12.89	$12.75	25.0%	7.2%	38.8%	5.6%	25.2%	2.6%	0.1%	-4.6M	-38.0M	-8.0M	1.16	18.17	N/A	N/A	553,480	642,560	2,991,780	3,298,480
2013-05-08	$12.93	$12.75	24.6%	7.1%	38.4%	5.3%	24.5%	2.7%	-0.0%	-278.4K	-118.6M	-7.9M	1.06	19.08	N/A	N/A	399,880	422,220	3,081,800	3,390,980
2013-05-09	$13.01	$13.00	24.0%	6.9%	37.8%	4.7%	24.0%	2.2%	0.2%	3.4M	-170.8M	-7.9M	1.14	16.55	N/A	N/A	615,140	698,980	3,112,160	3,452,520
2013-05-10	$13.18	$13.00	23.6%	6.8%	37.9%	4.4%	23.8%	1.8%	0.2%	19.2M	-472.2M	-7.9M	0.86	21.20	N/A	N/A	680,880	587,660	3,191,060	3,515,060
2013-05-13	$13.23	$13.00	23.9%	6.9%	37.4%	4.7%	24.9%	1.7%	0.2%	25.5M	-456.5M	-7.7M	0.76	18.03	N/A	N/A	499,480	381,780	2,929,280	3,232,040
2013-05-14	$13.42	$13.00	23.1%	6.6%	37.2%	3.9%	23.4%	1.8%	-0.1%	47.6M	-713.2M	-7.7M	0.81	23.34	N/A	N/A	521,180	421,940	2,998,440	3,323,780
2013-05-15	$13.33	$13.25	24.6%	7.1%	36.7%	5.3%	25.5%	2.6%	-0.0%	30.5M	-546.8M	-7.7M	1.20	19.68	N/A	N/A	385,340	462,240	3,010,940	3,377,480
2013-05-16	$13.21	$0.00	24.6%	7.1%	35.1%	5.3%	25.5%	2.7%	-0.2%	5.9M	-351.0M	-7.6M	0.90	15.93	N/A	N/A	370,360	332,840	2,929,800	3,369,260
2013-05-17	$13.49	$13.50	24.0%	6.9%	35.9%	4.8%	24.7%	2.1%	-0.6%	81.9M	-808.4M	-7.5M	0.81	22.18	N/A	N/A	554,220	447,960	2,970,700	3,441,100
2013-05-20	$13.38	$13.00	24.4%	7.0%	35.8%	5.1%	25.4%	2.1%	0.8%	14.5M	-451.2M	-7.5M	0.97	10.58	N/A	N/A	457,340	444,020	2,122,280	2,390,380
2013-05-21	$13.44	$13.25	24.3%	6.9%	35.2%	5.0%	25.0%	2.1%	0.8%	17.7M	-493.0M	-7.7M	0.80	13.59	N/A	N/A	350,200	281,780	2,229,460	2,574,420
2013-05-22	$13.15	$13.25	23.9%	6.8%	36.0%	4.7%	24.6%	2.1%	0.6%	-14.0M	-141.6M	-7.6M	1.01	10.91	N/A	N/A	554,360	558,840	2,303,900	2,662,320
2013-05-23	$13.09	$13.25	24.3%	7.0%	35.0%	5.0%	24.8%	2.3%	0.7%	-20.6M	-80.7M	-7.6M	1.39	9.23	N/A	N/A	332,700	461,680	2,384,360	2,753,300
2013-05-24	$13.09	$13.25	23.8%	6.8%	22.1%	4.6%	24.2%	2.0%	0.8%	-8.8M	-102.6M	-7.6M	1.34	9.47	N/A	N/A	311,840	419,360	2,437,460	2,848,500
2013-05-28	$13.36	$13.25	25.3%	7.3%	21.6%	5.9%	25.3%	2.3%	-0.3%	14.1M	-431.7M	-7.6M	0.96	14.34	N/A	N/A	729,300	701,580	2,209,740	2,640,820
2013-05-29	$13.28	$13.25	25.6%	7.3%	21.3%	6.3%	25.6%	2.4%	-0.1%	-8.0M	-259.8M	-7.9M	1.21	17.88	N/A	N/A	266,840	323,300	2,508,380	2,930,980
2013-05-30	$13.34	$13.25	24.9%	7.1%	19.2%	5.6%	25.1%	2.3%	-0.2%	-4.7M	-365.2M	-7.9M	1.10	21.08	N/A	N/A	260,620	285,420	2,589,380	2,978,080
2013-05-31	$13.46	$13.25	25.1%	7.2%	18.7%	5.7%	25.9%	2.8%	-0.4%	19.1M	-482.3M	-8.1M	1.08	18.55	N/A	N/A	719,880	777,020	2,633,600	3,039,820