AMZN Options History — January 2008 In January 2008, AMZN traded between $3.70 and $4.81. ATM implied volatility averaged 66.6%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 24.2% (HV 20d: 42.3%). Max pain ranged from $3.25 to $4.75. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.38.
Notable Days 2008-01-31 : Highest Volume — 3,560,220 contracts2008-01-31 : Largest IV drop — 43.8% change2008-01-23 : Highest IV Rank — 100.0%2008-01-29 : Largest Expected Move — 26.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.10 $3.70 $4.81 $4.81 $3.88 Max Pain $4.31 $3.25 $4.75 $3.25 $4.00 ATM IV 66.6% 44.6% 91.2% 48.8% 50.5% Expected Move 19.9% 12.8% 26.1% 14.0% 14.5% HV 20d 42.3% 34.1% 46.9% 36.3% 46.6% HV 60d 47.5% 39.5% 52.2% 50.5% 43.4% IV Rank 77.7% 39.1% 100.0% 49.4% 39.1% IV Percentile 95.6% 84.1% 100.0% 88.8% 85.7% Term Structure -9.9% -25.2% 18.4% 14.9% -1.5% VWIV 70.6% 45.5% 92.0% 49.4% 53.9% Skew 25d 8.9% 1.5% 17.1% 3.0% 5.5% Skew 10d 16.0% 3.6% 29.1% 7.4% 13.0% Call IV 25d 66.2% 45.1% 85.6% 47.6% 50.1% Put IV 25d 75.0% 46.6% 99.4% 50.6% 55.7% Bid-Ask Spread % 3.52 1.60 5.03 3.10 4.89 Gamma HHI 0.13 0.08 0.48 0.16 0.16 Net GEX -4.3M -18.2M 7.5M 7.5M -5.3M Net DEX -772.6M -2.19B 150.6M -2.19B 2.4M Net VEX -6.1M -6.5M -5.7M -6.1M -6.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.38 0.77 1.90 0.77 1.61 Total Volume 1,467,868.571 775,300 3,560,220 1,331,220 3,560,220 Total OI 13,724,489.524 7,685,340 17,319,160 15,607,180 11,166,160
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-01-02 $4.81 $3.25 48.8% 14.0% 36.3% 49.4% 49.4% 3.0% 14.9% 7.5M -2.19B -6.1M 0.77 3.10 N/A N/A 754,020 577,200 7,186,200 8,420,980 2008-01-03 $4.76 $3.25 44.6% 12.8% 34.1% 40.8% 45.5% 1.5% 18.4% 7.5M -2.14B -6.3M 1.33 2.59 N/A N/A 335,400 445,880 7,363,240 8,619,560 2008-01-04 $4.44 $4.75 48.3% 19.0% 42.1% 48.4% 66.2% 4.6% -11.0% 26.5K -1.56B -6.5M 1.33 1.60 N/A N/A 521,900 693,800 7,365,440 8,704,100 2008-01-07 $4.44 $4.75 51.0% 19.3% 41.8% 53.9% 68.2% 4.7% -11.8% -461.4K -1.56B -6.4M 1.58 2.03 N/A N/A 385,260 610,180 7,455,140 8,771,420 2008-01-08 $4.39 $4.75 53.1% 19.9% 41.9% 58.1% 69.4% 4.6% -13.1% -2.6M -1.44B -6.4M 1.24 2.63 N/A N/A 357,120 442,040 7,444,920 8,852,700 2008-01-09 $4.26 $4.75 56.6% 18.8% 42.8% 65.2% 65.6% 5.8% -9.2% -5.0M -1.21B -6.4M 1.43 3.12 N/A N/A 1,060,500 1,518,120 7,482,000 8,920,740 2008-01-10 $4.21 $4.50 62.1% 17.8% 42.3% 76.3% 63.4% 8.1% -7.4% -5.1M -1.17B -6.3M 1.20 3.55 N/A N/A 393,900 471,620 7,721,940 9,129,980 2008-01-11 $4.05 $4.50 66.1% 19.0% 43.8% 84.5% 66.5% 6.3% -10.4% -7.6M -896.8M -6.1M 1.41 3.12 N/A N/A 562,880 795,820 7,772,060 9,093,260 2008-01-14 $4.14 $4.50 62.7% 18.0% 44.5% 77.5% 63.8% 6.7% -8.3% -6.1M -1.09B -6.0M 0.90 3.49 N/A N/A 711,400 641,500 7,838,120 9,124,500 2008-01-15 $4.01 $4.50 64.9% 18.6% 44.1% 81.9% 65.7% 7.4% -9.2% -8.0M -878.2M -5.9M 1.90 4.67 N/A N/A 394,480 749,600 7,968,860 9,153,940 2008-01-16 $4.02 $4.50 65.8% 18.9% 41.5% 83.8% 66.9% 8.1% -9.1% -8.3M -929.7M -5.8M 1.42 3.47 N/A N/A 526,020 745,280 8,011,760 9,110,160 2008-01-17 $4.01 $4.50 68.4% 19.6% 40.5% 89.0% 69.5% 7.8% -10.6% -6.0M -914.0M -5.8M 1.73 5.03 N/A N/A 418,280 725,680 8,067,520 9,132,800 2008-01-18 $3.99 $4.50 71.8% 20.6% 38.7% 95.9% 73.1% 7.0% -10.7% -18.2M -807.2M -5.9M 1.23 3.71 N/A N/A 764,500 939,200 8,048,320 9,270,840 2008-01-22 $3.92 $4.25 73.2% 21.0% 38.1% 98.9% 77.3% 17.1% -9.4% -3.7M -15.2M -5.8M 1.62 3.12 N/A N/A 461,080 747,840 3,508,200 4,177,140 2008-01-23 $3.70 $4.25 81.3% 23.3% 41.9% 100.0% 81.9% 14.9% -14.8% -4.5M 145.0M -5.7M 1.55 4.18 N/A N/A 765,440 1,183,800 3,687,240 4,419,200 2008-01-24 $3.88 $4.25 78.9% 22.6% 46.9% 95.7% 81.9% 14.2% -16.2% -4.0M 15.9M -6.1M 1.71 3.92 N/A N/A 382,740 655,220 3,881,520 4,722,180 2008-01-25 $3.88 $4.25 78.9% 22.6% 45.8% 95.7% 81.9% 13.8% -15.2% -4.3M 18.3M -6.2M 1.37 4.29 N/A N/A 326,860 448,440 3,908,080 4,858,080 2008-01-28 $3.79 $4.25 89.7% 25.7% 45.1% 100.0% 88.6% 15.0% -22.4% -5.0M 95.9M -6.0M 1.23 3.76 N/A N/A 533,340 656,020 3,958,520 4,979,040 2008-01-29 $3.70 $4.25 91.2% 26.1% 45.1% 100.0% 91.8% 13.8% -25.2% -5.2M 150.6M -6.0M 1.16 2.90 N/A N/A 555,580 643,220 4,147,200 5,149,600 2008-01-30 $3.71 $4.00 90.0% 25.8% 45.4% 98.2% 92.0% 16.1% -24.7% -5.3M 147.6M -6.0M 1.17 4.72 N/A N/A 1,549,060 1,814,800 4,253,700 5,367,920 2008-01-31 $3.88 $4.00 50.5% 14.5% 46.6% 39.1% 53.9% 5.5% -1.5% -5.3M 2.4M -6.3M 1.61 4.89 N/A N/A 1,366,340 2,193,880 4,937,120 6,229,040
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