AMZN Options History — February 2008

In February 2008, AMZN traded between $3.22 and $3.89. ATM implied volatility averaged 48.4%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 1.4% (HV 20d: 49.8%). Max pain ranged from $3.63 to $4.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2008-02-01: Highest Volume — 1,374,060 contracts
  • 2008-02-08: Largest IV drop — 13.3% change
  • 2008-02-06: Highest IV Rank — 49.8%
  • 2008-02-07: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.61$3.22$3.89$3.73$3.22
Max Pain$3.76$3.63$4.00$4.00$3.63
ATM IV48.4%43.4%57.7%50.3%47.0%
Expected Move13.7%12.5%14.9%14.4%13.5%
HV 20d49.8%42.6%53.5%47.7%51.4%
HV 60d44.4%43.2%46.5%44.0%45.5%
IV Rank35.5%27.6%49.8%38.8%32.7%
IV Percentile81.6%73.4%90.1%85.7%79.4%
Term Structure1.3%-1.3%2.8%-1.3%1.1%
VWIV48.1%43.7%52.7%51.1%47.5%
Skew 25d5.9%4.3%7.4%4.7%4.5%
Skew 10d11.5%8.2%14.3%8.2%8.6%
Call IV 25d45.3%41.3%50.3%49.4%46.0%
Put IV 25d51.2%47.7%54.7%54.0%50.5%
Bid-Ask Spread %3.201.834.913.552.79
Gamma HHI0.160.100.240.200.15
Net GEX-7.1M-14.6M-1.1M-10.6M-8.7M
Net DEX160.3M-178.0M511.5M205.6M414.4M
Net VEX-5.7M-6.2M-5.0M-6.1M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.642.001.341.39
Total Volume853,412298,6401,374,0601,374,0601,121,920
Total OI10,396,8688,758,60011,823,02011,357,3009,742,100

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$3.73$4.0050.3%14.4%47.7%38.8%51.1%4.7%-1.3%-10.6M205.6M-6.1M1.343.55N/AN/A588,060786,0004,887,0206,470,280
2008-02-04$3.70$3.7550.8%14.3%42.6%39.5%50.5%7.4%0.2%-9.7M220.8M-5.9M1.263.36N/AN/A278,960351,7804,830,3006,234,840
2008-02-05$3.60$3.7557.5%14.7%42.8%49.5%52.7%6.0%0.7%-11.7M319.6M-5.8M1.694.28N/AN/A352,480597,3404,800,7206,255,180
2008-02-06$3.42$3.7557.7%14.8%45.2%49.8%52.2%4.3%1.3%-14.6M511.5M-5.6M1.173.26N/AN/A535,180627,6604,827,3406,312,280
2008-02-07$3.55$3.7555.8%14.9%47.6%47.0%52.3%5.5%0.7%-12.4M347.3M-5.8M1.144.91N/AN/A539,960613,2204,886,2006,206,400
2008-02-08$3.67$3.7548.4%14.4%50.2%35.8%48.7%6.0%1.3%-11.0M174.4M-6.0M1.164.02N/AN/A581,880674,8604,937,5806,263,940
2008-02-11$3.76$3.7550.2%14.2%49.8%38.7%50.4%6.4%1.2%-7.0M34.8M-6.1M1.533.19N/AN/A290,440443,7005,140,5006,370,560
2008-02-12$3.72$3.7548.2%14.0%48.9%35.6%49.7%6.5%1.3%-7.1M93.7M-6.0M0.933.16N/AN/A548,160507,9805,191,6206,370,380
2008-02-13$3.89$3.7543.4%13.1%50.7%28.3%48.4%6.4%1.7%-1.1M-178.0M-6.1M1.773.26N/AN/A333,680589,7605,303,0006,412,420
2008-02-14$3.79$3.7547.1%13.5%51.3%33.9%47.5%6.5%1.8%-3.2M-75.7M-6.2M1.693.85N/AN/A270,160456,9005,311,4006,462,140
2008-02-15$3.65$3.7549.3%14.1%52.8%37.3%49.3%5.1%2.0%-4.4M233.9M-5.8M1.233.28N/AN/A418,960513,9805,343,0206,480,000
2008-02-19$3.60$3.7548.0%13.8%52.9%35.3%47.9%4.4%1.2%-4.9M89.4M-5.6M0.883.73N/AN/A250,600219,6403,854,9804,903,620
2008-02-20$3.68$3.7545.1%12.9%53.5%31.0%43.7%6.7%1.8%-4.3M26.7M-5.7M0.642.53N/AN/A398,960254,6203,947,0604,937,320
2008-02-21$3.50$3.7545.4%13.0%52.6%31.5%44.8%5.8%2.2%-5.3M176.7M-5.4M0.882.42N/AN/A310,020272,9004,071,9004,963,900
2008-02-22$3.60$3.7544.2%12.7%50.6%28.5%44.9%6.7%2.8%-4.1M77.0M-5.7M1.093.27N/AN/A277,800301,8004,082,8604,969,080
2008-02-25$3.66$3.7545.4%13.0%51.1%30.2%45.7%7.3%1.6%-3.5M17.4M-5.6M1.172.09N/AN/A137,400161,2404,128,9805,016,920
2008-02-26$3.58$3.7543.7%12.5%51.0%27.6%43.9%6.4%1.3%-4.9M106.4M-5.4M1.072.52N/AN/A275,140293,5404,150,6405,058,520
2008-02-27$3.54$3.7544.8%12.8%50.5%29.3%44.7%5.7%0.9%-5.3M131.0M-5.4M2.002.65N/AN/A295,700591,4604,215,5805,060,660
2008-02-28$3.39$3.7545.0%12.9%52.5%29.6%45.4%5.8%1.7%-7.6M279.3M-5.2M0.861.83N/AN/A538,980465,4204,282,3205,253,800
2008-02-29$3.22$3.6347.0%13.5%51.4%32.7%47.5%4.5%1.1%-8.7M414.4M-5.0M1.392.79N/AN/A469,140652,7804,408,7405,333,360