AMZN Options History — April 2007

In April 2007, AMZN traded between $2.02 and $3.14. ATM implied volatility averaged 36.1%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.6% (HV 20d: 35.5%). Max pain ranged from $2.00 to $2.75. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-04-26: Highest Volume — 8,082,360 contracts
  • 2007-04-12: Largest IV spike — 35.0% change
  • 2007-04-26: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.33$2.02$3.14$2.02$3.07
Max Pain$2.14$2.00$2.75$2.00$2.75
ATM IV36.1%25.5%44.0%28.2%41.0%
Expected Move10.8%7.3%12.6%8.1%11.8%
HV 20d35.5%16.1%91.5%24.2%91.5%
HV 60d33.7%26.2%59.0%27.5%59.0%
Term Structure-3.1%-9.1%11.7%9.4%-1.7%
VWIV39.4%27.6%48.8%29.4%41.8%
Skew 25d5.3%2.3%8.1%3.3%4.3%
Skew 10d9.7%5.7%14.9%9.2%8.7%
Call IV 25d35.6%25.1%43.0%26.8%39.0%
Put IV 25d40.9%27.9%50.2%30.1%43.2%
Bid-Ask Spread %7.853.3713.063.516.73
Gamma HHI0.230.150.780.170.20
Net GEX5.0M-5.3M51.8M495.2K-5.3M
Net DEX-697.4M-1.52B-327.1M-327.1M-1.43B
Net VEX-4.0M-5.8M-2.9M-4.1M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.556.536.531.37
Total Volume1,780,049334,6208,082,3601,005,8603,307,360
Total OI12,987,3029,026,48019,673,20011,703,60019,673,200

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$2.02$2.0028.2%8.1%24.2%0.0%29.4%3.3%9.4%495.2K-327.1M-4.1M6.533.51N/AN/A133,580872,2805,535,7806,167,820
2007-04-03$2.06$2.0027.6%7.9%20.9%0.0%27.6%2.3%10.5%2.5M-394.3M-4.0M0.965.46N/AN/A265,000253,2805,546,4806,078,660
2007-04-04$2.08$2.0025.9%7.4%20.7%0.0%29.8%4.1%11.4%2.7M-426.5M-4.1M1.755.53N/AN/A133,720234,4405,682,2806,104,540
2007-04-05$2.08$2.0025.5%7.3%20.3%0.0%28.9%2.8%11.7%2.3M-432.3M-3.9M2.473.37N/AN/A149,420369,1405,557,6406,228,920
2007-04-09$2.08$2.0026.8%10.8%19.6%0.0%39.2%5.1%-6.2%282.3K-412.9M-3.9M5.8012.13N/AN/A89,000516,5405,607,6806,425,560
2007-04-10$2.09$2.0027.4%11.0%19.6%0.0%40.8%5.3%-7.2%-160.7K-434.6M-3.9M5.298.04N/AN/A53,220281,4005,599,5606,743,820
2007-04-11$2.08$2.0028.8%11.3%16.5%0.0%39.7%5.9%-7.3%-2.1M-405.4M-3.9M2.909.08N/AN/A130,140377,9005,603,9606,885,380
2007-04-12$2.11$2.0038.9%11.2%16.8%0.0%39.7%6.7%-7.0%627.8K-481.3M-3.8M0.5513.06N/AN/A334,580183,3805,667,2607,031,400
2007-04-13$2.12$2.0038.5%11.0%16.1%0.0%38.8%6.2%-6.1%1.6M-519.2M-3.8M1.8511.23N/AN/A142,420263,0605,825,6207,086,740
2007-04-16$2.26$2.0040.8%11.7%26.0%0.0%41.5%5.1%-8.8%11.1M-801.6M-3.6M1.107.37N/AN/A622,940687,0205,878,3007,184,020
2007-04-17$2.25$2.1340.8%11.7%26.2%0.0%43.4%5.3%-8.7%13.1M-767.9M-3.9M1.767.18N/AN/A220,820388,3006,112,0007,583,360
2007-04-18$2.25$2.1342.3%12.1%26.4%0.0%42.5%5.5%-9.0%5.9M-724.9M-3.9M1.339.26N/AN/A238,480316,5206,113,9407,989,140
2007-04-19$2.23$2.1342.1%12.1%25.4%0.0%43.4%7.1%-9.1%10.2M-665.6M-4.0M1.127.60N/AN/A223,500249,8806,163,9207,995,400
2007-04-20$2.25$2.1340.3%11.5%24.9%0.0%41.1%7.1%-7.3%51.8M-695.9M-3.9M0.707.67N/AN/A527,420370,7806,199,4208,050,460
2007-04-23$2.24$2.1340.2%11.5%24.2%0.0%42.2%6.2%-6.6%2.8M-408.3M-3.9M1.647.30N/AN/A315,760518,7404,338,9004,687,580
2007-04-24$2.24$2.1342.6%12.2%24.2%0.0%42.8%3.8%-8.2%2.3M-408.5M-4.0M1.608.39N/AN/A997,8001,592,5804,519,1404,987,600
2007-04-25$2.84$2.2536.3%10.4%85.8%0.0%39.4%5.8%-0.7%4.2M-1.20B-2.9M1.5811.25N/AN/A2,689,2604,252,7205,031,6405,894,280
2007-04-26$3.14$2.3844.0%12.6%90.1%0.0%48.8%8.1%-7.3%-430.5K-1.50B-3.5M1.607.24N/AN/A3,104,1404,978,2205,837,4608,175,660
2007-04-27$3.13$2.6343.8%12.5%90.5%0.0%47.3%6.0%-3.8%-3.0M-1.52B-5.2M1.655.55N/AN/A1,969,0603,247,1807,331,12010,620,400
2007-04-30$3.07$2.7541.0%11.8%91.5%0.0%41.8%4.3%-1.7%-5.3M-1.43B-5.8M1.376.73N/AN/A1,395,6401,911,7208,147,58011,525,620