AMZN Options History — January 2007

In January 2007, AMZN traded between $1.82 and $1.95. ATM implied volatility averaged 44.9%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 21.0% (HV 20d: 23.9%). Max pain ranged from $1.88 to $2.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2007-01-29: Highest Volume — 1,319,340 contracts
  • 2007-01-11: Largest IV spike — 48.6% change
  • 2007-01-31: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.88$1.82$1.95$1.94$1.88
Max Pain$1.94$1.88$2.00$1.88$1.88
ATM IV44.9%31.5%55.4%36.2%55.4%
Expected Move13.8%9.8%15.9%10.4%15.9%
HV 20d23.9%23.5%24.5%24.5%23.9%
Term Structure-8.5%-13.3%11.9%11.9%-13.3%
VWIV47.7%33.9%55.4%33.9%55.4%
Skew 25d5.8%3.4%9.0%4.2%9.0%
Skew 10d11.0%7.6%17.6%7.6%17.6%
Call IV 25d45.2%33.1%50.9%33.1%50.2%
Put IV 25d51.1%37.3%59.2%37.3%59.2%
Bid-Ask Spread %10.105.4616.646.157.97
Gamma HHI0.180.130.260.140.14
Net GEX-3.2M-6.4M-350.8K-350.8K-2.8M
Net DEX-99.1M-310.1M29.1M-285.4M-39.7M
Net VEX-3.9M-4.1M-3.6M-4.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.835.140.831.27
Total Volume705,526275,6201,319,340772,3801,023,580
Total OI14,591,7809,185,74018,238,68016,402,76011,541,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$1.94$1.8836.2%10.4%0.0%0.0%33.9%4.2%11.9%-350.8K-285.4M-4.0M0.836.15N/AN/A421,220351,1607,780,4808,622,280
2007-01-04$1.95$1.8834.1%9.8%0.0%0.0%34.7%3.4%11.5%-860.2K-310.1M-4.0M1.985.46N/AN/A284,360562,2607,661,5408,701,460
2007-01-05$1.92$2.0034.0%13.9%0.0%0.0%48.1%5.1%-9.0%-1.6M-224.2M-4.0M1.9416.64N/AN/A278,040539,5207,817,0208,970,380
2007-01-08$1.88$2.0032.2%14.1%0.0%0.0%48.9%6.0%-10.7%-1.5M-127.9M-3.9M1.4310.84N/AN/A511,780730,9007,901,7209,006,560
2007-01-09$1.89$2.0032.1%13.9%0.0%0.0%46.7%5.8%-10.7%-2.5M-157.5M-4.0M2.6914.98N/AN/A212,540571,1608,255,6609,264,780
2007-01-10$1.86$2.0031.5%13.6%0.0%0.0%47.2%4.7%-9.8%-3.2M-62.8M-3.9M2.2910.38N/AN/A161,980371,1808,236,0009,417,840
2007-01-11$1.87$2.0046.8%13.4%0.0%0.0%47.4%5.3%-9.9%-3.6M-102.1M-3.8M2.5214.23N/AN/A104,240262,8208,301,2809,356,340
2007-01-12$1.91$2.0046.7%13.4%0.0%0.0%45.5%5.1%-10.0%-2.2M-222.3M-3.9M0.868.98N/AN/A261,960224,1608,319,3809,375,080
2007-01-16$1.93$2.0047.5%13.6%0.0%0.0%45.6%5.7%-9.8%-1.7M-276.1M-3.7M1.0511.28N/AN/A149,880158,0208,412,2609,442,960
2007-01-17$1.89$2.0047.7%13.7%0.0%0.0%46.9%5.3%-10.7%-5.4M-157.2M-3.7M1.4112.39N/AN/A114,520161,1008,421,5609,475,240
2007-01-18$1.85$2.0049.8%14.3%0.0%0.0%50.0%5.9%-12.1%-6.4M-33.9M-3.6M1.1714.52N/AN/A602,060703,2608,421,2209,466,680
2007-01-19$1.85$1.8849.1%14.1%0.0%0.0%49.1%5.8%-11.5%-4.3M-25.7M-3.7M1.2812.00N/AN/A413,960531,5208,608,4409,630,240
2007-01-22$1.85$1.8850.6%14.5%0.0%0.0%50.7%7.0%-10.1%-3.0M-13.2M-3.7M1.138.98N/AN/A248,440281,0204,216,5604,969,180
2007-01-23$1.82$1.8850.2%14.4%0.0%0.0%50.5%6.2%-9.5%-3.5M27.7M-3.7M5.147.84N/AN/A113,400582,4204,373,6005,137,640
2007-01-24$1.86$1.8849.6%14.2%0.0%0.0%49.4%7.4%-10.1%-4.2M-11.0M-3.8M1.167.27N/AN/A214,640249,5204,414,7405,516,220
2007-01-25$1.85$1.8849.4%14.2%24.5%0.0%49.6%6.1%-10.2%-4.5M3.7M-3.9M0.916.70N/AN/A256,060234,0604,589,1605,678,280
2007-01-26$1.84$1.8849.4%14.1%23.7%0.0%50.2%5.6%-10.6%-4.7M23.2M-3.9M2.049.16N/AN/A91,080186,0604,737,7205,752,460
2007-01-29$1.87$1.8852.0%14.9%24.0%0.0%50.6%7.5%-11.9%-4.1M-16.2M-3.9M0.887.95N/AN/A700,020619,3204,750,7005,835,500
2007-01-30$1.85$2.0053.9%15.5%23.5%0.0%53.5%5.8%-13.0%-4.4M29.1M-4.0M1.588.33N/AN/A243,300384,0005,229,0006,227,260
2007-01-31$1.88$1.8855.4%15.9%23.9%0.0%55.4%9.0%-13.3%-2.8M-39.7M-4.1M1.277.97N/AN/A450,380573,2005,336,7006,204,480