AMZN Options History — February 2007

In February 2007, AMZN traded between $1.86 and $2.08. ATM implied volatility averaged 27.9%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.3% (HV 20d: 27.6%). Max pain ranged from $1.88 to $2.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.59.

Notable Days

  • 2007-02-01: Highest Volume — 3,861,180 contracts
  • 2007-02-02: Largest IV drop — 54.4% change
  • 2007-02-01: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.97$1.86$2.08$1.94$1.96
Max Pain$1.98$1.88$2.00$1.88$2.00
ATM IV27.9%24.4%56.0%56.0%29.4%
Expected Move8.1%7.0%16.1%16.1%8.4%
HV 20d27.6%25.3%32.2%25.3%31.9%
Term Structure0.3%-14.1%2.6%-14.1%-0.4%
VWIV28.6%25.5%54.4%54.4%30.8%
Skew 25d4.3%2.6%7.0%7.0%6.0%
Skew 10d10.1%3.7%18.4%10.8%13.3%
Call IV 25d26.3%21.9%50.2%50.2%27.3%
Put IV 25d30.6%27.5%57.2%57.2%33.3%
Bid-Ask Spread %8.165.0510.8910.678.34
Gamma HHI0.170.130.280.140.19
Net GEX-1.2M-11.0M12.2M-789.1K-5.7M
Net DEX-236.8M-501.9M93.1M-143.9M-158.2M
Net VEX-4.3M-4.5M-3.9M-4.1M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.805.261.661.38
Total Volume913,251.579145,6403,861,1803,861,180443,840
Total OI13,120,937.89511,285,52014,552,20011,855,90012,258,660

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$1.94$1.8856.0%16.1%25.3%0.0%54.4%7.0%-14.1%-789.1K-143.9M-4.1M1.6610.67N/AN/A1,451,1002,410,0805,519,4406,336,460
2007-02-02$1.87$2.0025.6%7.9%28.0%0.0%27.8%3.2%0.1%-11.0M89.4M-4.1M1.329.61N/AN/A1,055,5201,391,2206,151,6407,523,100
2007-02-05$1.86$1.8825.5%7.6%27.7%0.0%25.7%3.1%0.5%-11.0M93.1M-3.9M1.517.67N/AN/A380,360575,6606,143,9207,310,080
2007-02-06$1.91$2.0026.9%7.7%28.6%0.0%27.0%2.8%0.9%-3.5M-90.4M-4.2M1.228.25N/AN/A369,800450,8006,222,9607,194,580
2007-02-07$1.95$1.8824.8%7.6%29.2%0.0%27.0%3.4%0.4%-668.4K-185.4M-4.2M1.246.23N/AN/A330,960410,7606,226,0607,223,540
2007-02-08$1.96$2.0026.1%7.5%28.4%0.0%27.5%3.1%1.5%-264.6K-238.1M-4.3M1.647.95N/AN/A189,120310,3806,267,1207,425,580
2007-02-09$1.94$2.0026.7%7.7%28.6%0.0%27.1%2.8%2.6%-3.3M-160.9M-4.3M1.689.86N/AN/A248,680417,1206,340,2807,581,620
2007-02-12$1.94$2.0024.9%7.1%27.7%0.0%25.6%3.1%2.6%-2.1M-178.7M-4.3M1.578.47N/AN/A127,880200,7406,492,8807,709,600
2007-02-13$1.97$2.0025.6%7.3%27.7%0.0%26.8%3.6%1.9%905.7K-259.8M-4.3M1.2010.89N/AN/A310,440371,5206,522,2207,718,760
2007-02-14$2.01$2.0026.3%7.5%27.4%0.0%26.9%4.9%1.7%4.7M-416.1M-4.4M1.207.83N/AN/A404,720487,1606,526,9407,887,000
2007-02-15$2.00$2.0026.4%7.6%25.6%0.0%26.7%3.5%2.2%-93.2K-378.5M-4.3M1.058.06N/AN/A617,220647,9406,487,5208,064,680
2007-02-16$2.02$2.0025.8%7.4%25.6%0.0%26.2%2.6%2.5%12.2M-501.9M-4.3M0.805.77N/AN/A329,520263,3406,633,4407,914,620
2007-02-20$2.08$2.0026.3%7.5%26.9%0.0%29.6%5.7%0.5%2.9M-405.1M-4.3M1.019.88N/AN/A597,480606,4005,162,3206,123,200
2007-02-21$2.06$2.0024.4%7.0%26.2%0.0%27.4%6.5%1.1%1.2M-387.5M-4.4M1.015.05N/AN/A112,720114,2805,386,5806,461,640
2007-02-22$2.05$2.0026.5%7.6%25.8%0.0%25.5%6.2%0.8%742.5K-365.7M-4.4M1.758.19N/AN/A184,600322,4805,385,5406,484,700
2007-02-23$2.04$2.0025.6%7.3%25.9%0.0%25.5%4.7%1.5%21.9K-341.4M-4.4M5.266.44N/AN/A60,400317,6405,475,9606,602,200
2007-02-26$2.04$2.0028.2%8.1%25.6%0.0%27.5%5.4%-0.8%-850.4K-337.7M-4.4M1.506.19N/AN/A58,30087,3405,498,5206,774,040
2007-02-27$1.94$2.0029.0%8.3%32.2%0.0%28.9%5.0%0.1%-6.6M-132.1M-4.4M2.179.76N/AN/A219,140475,1205,502,3606,758,060
2007-02-28$1.96$2.0029.4%8.4%31.9%0.0%30.8%6.0%-0.4%-5.7M-158.2M-4.5M1.388.34N/AN/A186,280257,5605,541,8806,716,780