AMZN Options History — December 2007

In December 2007, AMZN traded between $4.25 and $4.72. ATM implied volatility averaged 39.9%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.5% (HV 20d: 39.3%). Max pain ranged from $3.00 to $4.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2007-12-11: Highest Volume — 1,155,440 contracts
  • 2007-12-31: Largest IV spike — 8.3% change
  • 2007-12-17: Highest IV Rank — 38.5%
  • 2007-12-17: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.58$4.25$4.72$4.55$4.63
Max Pain$3.40$3.00$4.50$4.50$3.25
ATM IV39.9%36.2%43.4%39.8%42.4%
Expected Move11.6%10.9%12.5%11.4%12.1%
HV 20d39.3%33.1%46.1%45.2%33.8%
HV 60d48.6%47.4%49.9%47.4%49.9%
IV Rank31.3%23.8%38.5%31.1%36.3%
IV Percentile65.9%45.5%80.5%66.7%80.0%
Term Structure9.4%3.7%17.4%5.4%16.8%
VWIV41.5%38.7%44.8%40.8%44.8%
Skew 25d2.6%1.3%3.5%1.7%3.3%
Skew 10d5.6%2.3%8.6%3.3%7.4%
Call IV 25d40.1%37.1%42.6%39.6%42.3%
Put IV 25d42.6%39.6%46.1%41.3%45.6%
Bid-Ask Spread %3.682.515.034.213.93
Gamma HHI0.190.120.440.120.16
Net GEX3.7M-16.0M11.1M6.8M4.9M
Net DEX-1.96B-2.28B-1.24B-1.97B-1.91B
Net VEX-6.3M-6.7M-5.8M-6.7M-6.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.671.910.931.36
Total Volume711,379304,7001,155,440662,240565,700
Total OI16,408,71814,743,52017,467,16016,177,50015,452,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$4.55$4.5039.8%11.4%45.2%31.1%40.8%1.7%5.4%6.8M-1.97B-6.7M0.934.21N/AN/A343,100319,1407,729,8608,447,640
2007-12-04$4.72$4.5040.6%11.6%46.1%32.7%41.6%2.2%3.9%9.8M-2.27B-6.7M0.752.88N/AN/A458,860344,4407,756,5608,489,140
2007-12-05$4.66$4.5038.9%11.2%45.3%29.4%40.1%2.9%4.0%8.6M-2.16B-6.7M0.982.51N/AN/A427,140420,6207,797,9408,603,700
2007-12-06$4.71$4.5037.9%10.9%45.3%27.2%38.7%2.5%3.7%11.1M-2.28B-6.6M1.103.84N/AN/A229,200252,7207,867,9008,639,640
2007-12-07$4.72$3.0036.2%11.6%42.2%23.8%41.4%2.7%7.7%10.4M-2.28B-6.4M0.953.05N/AN/A300,580286,6207,852,9608,695,400
2007-12-10$4.65$3.0038.6%11.6%35.8%28.7%41.1%2.3%7.4%9.3M-2.17B-6.4M0.673.24N/AN/A286,820191,2207,886,5008,726,660
2007-12-11$4.54$3.0039.9%12.1%35.8%31.4%42.5%1.3%6.9%5.8M-1.94B-6.4M0.754.37N/AN/A658,400497,0407,945,7608,743,080
2007-12-12$4.56$3.0039.2%12.0%34.2%30.0%42.3%1.5%6.8%6.7M-1.98B-6.4M0.804.53N/AN/A434,460345,4208,035,8008,860,080
2007-12-13$4.62$3.0041.9%12.0%33.1%35.3%43.1%2.5%7.9%9.4M-2.09B-6.4M1.533.79N/AN/A255,660390,1408,107,9408,913,400
2007-12-14$4.45$3.0041.7%12.0%36.3%35.0%44.4%3.3%8.0%-525.9K-1.71B-6.4M1.915.03N/AN/A276,220527,4008,113,6008,947,140
2007-12-17$4.25$3.1343.4%12.5%40.8%38.5%43.9%3.5%7.2%-5.3M-1.24B-6.3M1.334.23N/AN/A468,240622,5408,137,9209,062,780
2007-12-18$4.34$3.1342.7%12.2%41.2%37.1%43.0%3.3%8.1%-5.5M-1.45B-6.2M1.163.58N/AN/A421,200489,4808,177,5409,146,740
2007-12-19$4.47$3.1340.3%11.6%41.9%32.2%41.6%2.6%9.3%-6.9M-1.78B-6.2M1.293.25N/AN/A312,440401,7608,277,4809,106,900
2007-12-20$4.53$3.1339.2%11.2%41.7%30.0%40.4%3.1%10.3%-16.0M-1.95B-6.2M0.884.13N/AN/A402,320354,0608,297,7409,149,540
2007-12-21$4.56$3.2538.3%11.0%41.4%28.0%38.8%2.2%10.6%-6.5M-2.07B-6.0M1.064.01N/AN/A229,760244,6808,308,2409,158,920
2007-12-24$4.55$3.2538.5%11.0%41.4%28.5%39.4%2.4%15.4%6.2M-1.86B-5.9M1.073.12N/AN/A146,940157,7606,903,3407,840,180
2007-12-26$4.64$3.2539.3%11.3%38.2%30.2%40.4%2.4%15.2%7.8M-1.98B-5.8M0.994.22N/AN/A288,900286,1406,955,7007,896,300
2007-12-27$4.71$3.2539.3%11.3%33.7%30.2%40.3%2.6%16.5%9.3M-2.08B-5.9M0.842.92N/AN/A420,260352,7007,048,2607,934,340
2007-12-28$4.72$3.2539.1%11.2%33.3%29.7%40.4%3.3%17.4%9.3M-2.08B-6.0M1.812.81N/AN/A290,800526,7007,121,4408,037,400
2007-12-31$4.63$3.2542.4%12.1%33.8%36.3%44.8%3.3%16.8%4.9M-1.91B-6.1M1.363.93N/AN/A239,280326,4207,135,7408,317,160