AMZN Options History — March 2007

In March 2007, AMZN traded between $1.85 and $1.99. ATM implied volatility averaged 28.5%. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.7% (HV 20d: 31.2%). Max pain ranged from $1.88 to $2.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.66.

Notable Days

  • 2007-03-06: Highest Volume — 1,024,120 contracts
  • 2007-03-09: Largest IV drop — 15.3% change
  • 2007-03-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.93$1.85$1.99$1.94$1.99
Max Pain$1.92$1.88$2.00$2.00$2.00
ATM IV28.5%26.0%32.8%28.1%26.1%
Expected Move8.2%7.4%9.2%8.1%7.5%
HV 20d31.2%25.0%33.4%31.7%25.0%
HV 60d28.4%27.3%29.3%29.3%27.3%
Term Structure5.4%-1.1%10.3%0.4%10.3%
VWIV28.5%26.2%31.3%29.6%27.9%
Skew 25d4.2%3.2%9.4%9.4%4.2%
Skew 10d9.9%4.7%20.5%20.5%12.0%
Call IV 25d26.6%24.2%30.1%24.2%24.5%
Put IV 25d30.8%28.5%33.8%33.6%28.7%
Bid-Ask Spread %7.125.069.778.765.54
Gamma HHI0.250.170.460.200.17
Net GEX-7.3M-17.0M-1.2M-6.6M-1.2M
Net DEX-115.3M-256.6M67.8M-121.7M-254.9M
Net VEX-4.2M-4.5M-4.0M-4.4M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.661.038.604.842.32
Total Volume378,599.091117,6201,024,120379,540351,480
Total OI12,062,847.27310,602,82013,096,28012,259,28011,540,700

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$1.94$2.0028.1%8.1%31.7%0.0%29.6%9.4%0.4%-6.6M-121.7M-4.4M4.848.76N/AN/A65,020314,5205,564,4806,694,800
2007-03-02$1.88$2.0032.1%9.2%32.1%0.0%31.3%3.6%-1.1%-9.9M3.7M-4.3M1.877.63N/AN/A178,140333,5205,580,9006,726,920
2007-03-05$1.85$1.8832.8%9.0%30.2%0.0%30.8%4.0%1.8%-11.4M67.8M-4.2M1.277.08N/AN/A253,620321,7605,644,1206,683,280
2007-03-06$1.93$1.8831.0%8.9%33.4%0.0%30.6%4.8%2.2%-7.8M-103.0M-4.4M2.349.75N/AN/A306,240717,8805,704,6406,760,460
2007-03-07$1.92$1.8831.4%9.0%31.9%0.0%28.4%4.0%2.0%-10.3M-56.1M-4.4M2.355.06N/AN/A132,900312,0205,785,7407,149,740
2007-03-08$1.91$1.8831.5%8.8%31.2%0.0%28.9%4.1%2.5%-10.9M-22.3M-4.5M4.535.94N/AN/A42,720193,7005,808,0007,187,120
2007-03-09$1.94$1.8826.7%8.3%32.0%0.0%30.4%5.1%3.0%-8.7M-115.3M-4.4M2.105.93N/AN/A85,320178,9605,794,0207,146,620
2007-03-12$1.94$1.8827.6%8.1%31.8%0.0%29.5%4.5%3.8%-8.2M-125.5M-4.2M2.469.66N/AN/A75,620185,6605,829,7607,145,300
2007-03-13$1.89$1.8831.0%9.1%33.1%0.0%29.5%4.2%2.0%-13.1M8.9M-4.2M4.407.49N/AN/A116,280511,4205,851,3407,194,940
2007-03-14$1.90$1.8827.3%8.5%32.9%0.0%29.3%3.9%3.4%-13.0M-37.5M-4.2M3.127.62N/AN/A148,580463,5005,897,8807,198,400
2007-03-15$1.89$1.8829.5%8.5%31.9%0.0%28.6%3.6%3.2%-17.0M-15.4M-4.1M2.237.04N/AN/A36,44081,1805,937,3807,096,620
2007-03-16$1.89$1.8828.5%8.2%31.9%0.0%28.4%3.2%5.0%-13.9M-60.3M-4.0M2.666.11N/AN/A152,200405,3605,924,3607,027,020
2007-03-19$1.92$1.8828.2%8.1%32.4%0.0%26.4%3.9%8.0%-4.5M-123.1M-4.1M2.317.22N/AN/A157,720364,9405,064,6605,538,160
2007-03-20$1.93$1.8827.6%7.9%30.4%0.0%26.2%3.9%8.3%-4.8M-126.8M-4.1M8.605.79N/AN/A23,440201,6805,165,5405,777,580
2007-03-21$1.99$2.0026.9%7.7%32.7%0.0%26.9%3.9%6.8%-2.1M-238.2M-4.2M1.036.44N/AN/A120,420124,2605,166,5605,837,520
2007-03-22$1.97$2.0026.4%7.6%32.8%0.0%27.4%3.5%8.2%-2.7M-213.4M-4.2M1.416.90N/AN/A82,600116,7805,208,6605,877,400
2007-03-23$1.95$2.0027.2%7.8%33.0%0.0%27.6%3.6%9.0%-3.9M-166.0M-4.2M1.065.87N/AN/A168,080178,2805,242,3005,924,040
2007-03-26$1.95$2.0026.2%7.5%33.0%0.0%27.6%3.6%9.9%-4.0M-166.7M-4.2M1.109.77N/AN/A92,740101,7005,353,7606,012,180
2007-03-27$1.97$1.8826.0%7.4%27.6%0.0%26.2%3.2%10.0%-2.7M-204.5M-4.1M2.966.13N/AN/A40,600120,2805,402,8005,993,900
2007-03-28$1.97$1.8826.8%7.7%27.4%0.0%27.1%3.2%9.6%-2.7M-209.5M-4.1M1.989.67N/AN/A60,000118,9405,427,5006,032,640
2007-03-29$1.99$2.0027.7%7.9%27.6%0.0%28.2%4.3%9.4%-1.5M-256.6M-4.1M1.675.32N/AN/A109,720182,9605,445,5406,037,360
2007-03-30$1.99$2.0026.1%7.5%25.0%0.0%27.9%4.2%10.3%-1.2M-254.9M-4.1M2.325.54N/AN/A105,820245,6605,493,9806,046,720