AMZN Options History — September 2007

In September 2007, AMZN traded between $4.13 and $4.67. ATM implied volatility averaged 39.7%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.8% (HV 20d: 31.9%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.47.

Notable Days

  • 2007-09-25: Highest Volume — 1,280,740 contracts
  • 2007-09-05: Largest IV spike — 14.1% change
  • 2007-09-17: Highest IV Rank — 56.9%
  • 2007-09-17: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.42$4.13$4.67$4.13$4.66
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV39.7%36.0%44.7%36.0%38.1%
Expected Move11.6%10.3%12.8%10.3%10.9%
HV 20d31.9%23.5%37.5%37.0%23.5%
HV 60d56.6%56.4%57.1%56.7%56.4%
IV Rank42.8%32.5%56.9%32.5%38.4%
IV Percentile71.7%58.9%85.3%58.9%63.4%
Term Structure6.6%-0.5%14.0%1.4%14.0%
VWIV42.6%39.1%46.6%39.1%41.4%
Skew 25d6.8%4.1%9.0%7.8%5.8%
Skew 10d14.0%8.2%18.8%16.0%11.2%
Call IV 25d37.8%34.5%40.1%34.5%36.8%
Put IV 25d44.6%41.1%48.3%42.3%42.6%
Bid-Ask Spread %8.123.2611.448.273.26
Gamma HHI0.150.110.300.150.13
Net GEX9.8M2.1M22.9M7.9M8.7M
Net DEX-2.43B-2.94B-1.97B-1.99B-2.57B
Net VEX-6.7M-7.3M-6.1M-6.8M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.462.620.732.16
Total Volume803,452.632326,8601,280,740652,820558,420
Total OI18,315,283.15816,552,84019,682,64017,557,62017,188,280

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$4.13$3.7536.0%10.3%37.0%32.5%39.1%7.8%1.4%7.9M-1.99B-6.8M0.738.27N/AN/A377,420275,4008,073,6809,483,940
2007-09-05$4.19$3.7541.1%11.8%37.2%46.8%43.3%9.0%-0.5%9.2M-2.08B-6.9M1.119.33N/AN/A363,620402,2408,189,2009,574,140
2007-09-06$4.31$3.7538.6%11.1%37.5%39.7%39.7%7.2%1.7%11.7M-2.35B-6.7M1.246.57N/AN/A437,580541,3408,245,5209,748,560
2007-09-07$4.23$3.7536.5%11.5%33.2%34.0%45.2%8.3%6.5%7.3M-2.11B-7.3M2.477.32N/AN/A325,400802,2808,317,2409,973,460
2007-09-10$4.17$3.7537.6%11.8%34.0%36.9%43.8%8.5%6.1%2.1M-1.97B-7.3M1.1910.18N/AN/A217,540259,0408,317,10010,264,260
2007-09-11$4.31$3.7538.6%12.0%35.5%39.8%42.6%8.4%6.1%6.9M-2.29B-7.0M1.428.07N/AN/A370,040524,3208,335,76010,259,820
2007-09-12$4.37$3.7539.8%12.2%34.2%43.1%43.6%7.6%6.1%8.4M-2.43B-7.0M1.2010.41N/AN/A529,300634,9608,427,34010,384,780
2007-09-13$4.36$3.7543.5%12.5%33.2%53.5%42.9%7.6%5.0%7.1M-2.40B-7.0M0.976.77N/AN/A254,300246,5808,510,82010,529,600
2007-09-14$4.39$3.7541.2%11.8%33.2%46.9%43.4%7.8%5.7%8.3M-2.47B-6.9M1.956.47N/AN/A141,000275,3208,570,82010,547,140
2007-09-17$4.35$3.7544.7%12.8%32.9%56.9%46.6%8.2%4.5%6.0M-2.36B-6.9M1.368.04N/AN/A233,480318,1208,580,88010,634,540
2007-09-18$4.44$3.7541.5%11.9%33.0%47.8%44.0%6.3%4.1%13.2M-2.62B-6.6M0.469.12N/AN/A825,740380,3208,601,72010,615,800
2007-09-19$4.45$3.7540.3%11.5%31.3%44.4%42.4%6.8%4.6%18.5M-2.68B-6.5M0.699.94N/AN/A424,860294,3408,796,68010,706,200
2007-09-20$4.48$3.7541.8%12.0%31.2%48.7%43.1%6.7%2.9%22.9M-2.75B-6.4M1.166.68N/AN/A325,200376,4408,792,98010,755,840
2007-09-21$4.57$3.7538.9%11.2%30.3%40.6%39.6%4.1%4.9%15.6M-2.94B-6.2M1.526.15N/AN/A442,080671,8208,766,74010,915,900
2007-09-24$4.63$3.7539.4%11.3%29.8%41.9%40.9%4.7%12.3%6.7M-2.45B-6.1M0.7810.69N/AN/A664,440516,6807,372,5209,180,320
2007-09-25$4.67$3.7537.7%10.8%29.2%37.1%43.1%5.1%12.9%9.4M-2.57B-6.4M2.518.12N/AN/A365,360915,3807,705,7209,380,760
2007-09-26$4.67$3.7540.0%11.5%25.4%43.7%43.4%5.0%12.8%8.1M-2.57B-6.5M2.3211.44N/AN/A195,200453,1807,808,4609,211,060
2007-09-27$4.67$3.7538.7%11.1%23.7%40.0%40.3%4.1%13.3%8.9M-2.59B-6.5M2.627.49N/AN/A90,280236,5807,918,5809,304,220
2007-09-28$4.66$3.7538.1%10.9%23.5%38.4%41.4%5.8%14.0%8.7M-2.57B-6.3M2.163.26N/AN/A176,700381,7207,918,6009,269,680