AMZN Options History — March 2008

In March 2008, AMZN traded between $3.12 and $3.80. ATM implied volatility averaged 50.5%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 3.3% (HV 20d: 53.8%). Max pain ranged from $3.50 to $3.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2008-03-20: Highest Volume — 1,202,780 contracts
  • 2008-03-18: Largest IV drop — 11.2% change
  • 2008-03-17: Highest IV Rank — 45.7%
  • 2008-03-17: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.43$3.12$3.80$3.12$3.56
Max Pain$3.67$3.50$3.75$3.63$3.63
ATM IV50.5%47.9%55.5%52.4%47.9%
Expected Move14.4%13.7%15.9%15.0%13.7%
HV 20d53.8%48.9%58.1%50.9%52.9%
HV 60d48.5%44.9%51.3%44.9%50.8%
IV Rank38.0%34.1%45.7%40.9%34.1%
IV Percentile81.6%73.8%88.1%85.7%73.8%
Term Structure4.3%-1.8%12.0%-1.5%12.0%
VWIV51.4%48.7%58.0%50.6%49.6%
Skew 25d7.4%5.1%9.7%5.7%6.3%
Skew 10d14.9%11.1%19.9%12.0%13.6%
Call IV 25d47.5%45.1%52.0%48.8%47.1%
Put IV 25d54.9%52.2%61.0%54.5%53.4%
Bid-Ask Spread %3.211.635.633.051.63
Gamma HHI0.130.080.180.150.08
Net GEX-5.5M-8.8M-1.8M-8.6M-4.8M
Net DEX92.3M-262.8M453.5M453.5M-8.2M
Net VEX-5.2M-5.5M-4.7M-4.7M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.672.351.541.41
Total Volume792,867430,7201,202,780913,240430,720
Total OI10,094,4028,955,84010,913,1209,739,28010,058,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$3.12$3.6352.4%15.0%50.9%40.9%50.6%5.7%-1.5%-8.6M453.5M-4.7M1.543.05N/AN/A359,540553,7004,450,4605,288,820
2008-03-04$3.27$3.5051.4%14.7%54.4%39.3%52.8%6.9%-1.8%-7.3M295.1M-5.0M1.393.11N/AN/A479,020668,1604,541,4205,206,140
2008-03-05$3.25$3.5049.5%14.2%53.9%36.6%50.1%7.0%-0.2%-8.0M308.0M-5.0M0.672.43N/AN/A442,240296,8804,544,3405,296,500
2008-03-06$3.14$3.5049.4%14.2%52.4%36.4%50.6%5.7%0.8%-8.8M405.0M-4.9M1.353.46N/AN/A293,260394,6604,635,9605,373,280
2008-03-07$3.20$3.7550.0%14.7%51.3%37.2%52.0%7.1%1.5%-8.0M333.5M-5.0M1.023.55N/AN/A344,320350,4204,670,4805,368,680
2008-03-10$3.17$3.7555.1%15.2%48.9%45.0%54.8%8.5%0.7%-8.3M349.0M-5.0M2.053.24N/AN/A168,580345,5804,806,3605,438,560
2008-03-11$3.36$3.7550.6%14.1%53.0%38.1%52.1%7.0%3.8%-7.2M178.9M-5.2M1.692.73N/AN/A342,660579,9804,847,4005,558,640
2008-03-12$3.33$3.7550.9%14.1%53.0%38.7%48.9%7.5%4.0%-6.4M171.9M-5.1M0.945.63N/AN/A318,200298,0204,897,4405,551,400
2008-03-13$3.42$3.7550.5%14.5%51.3%38.1%52.4%8.0%2.1%-5.1M89.3M-5.3M1.892.69N/AN/A335,500632,9804,967,9805,570,920
2008-03-14$3.41$3.7552.2%15.0%50.8%40.6%52.5%8.8%2.0%-6.4M108.7M-5.4M1.414.67N/AN/A458,980647,6404,936,5005,662,020
2008-03-17$3.33$3.7555.5%15.9%49.9%45.7%58.0%9.0%1.2%-6.7M184.6M-5.2M2.264.50N/AN/A174,220393,2205,006,9005,613,540
2008-03-18$3.58$3.7549.3%14.1%57.2%36.2%52.4%8.9%3.2%-2.2M-132.3M-5.3M1.223.02N/AN/A467,400570,9005,027,8805,602,900
2008-03-19$3.51$3.6351.8%14.9%57.1%40.0%52.4%9.1%2.6%-1.9M-50.5M-5.4M2.062.99N/AN/A319,280656,8805,129,7205,722,040
2008-03-20$3.66$3.7549.6%14.2%56.0%36.7%51.5%9.7%4.6%-2.4M-249.5M-5.4M1.383.46N/AN/A504,340698,4405,110,8805,802,240
2008-03-24$3.80$3.6349.6%14.2%56.4%36.7%51.0%7.8%9.0%-2.3M-262.8M-5.5M1.162.66N/AN/A388,500452,0004,140,9804,814,860
2008-03-25$3.76$3.6348.4%13.9%56.4%34.9%49.8%7.0%9.9%-1.8M-239.8M-5.5M1.872.82N/AN/A198,500371,6404,293,5404,936,580
2008-03-26$3.69$3.7548.6%13.9%56.2%35.1%49.7%7.3%10.0%-3.4M-154.1M-5.5M1.243.30N/AN/A197,040244,5804,339,0005,119,500
2008-03-27$3.54$3.7549.2%14.1%58.1%36.0%48.7%5.4%10.7%-4.4M-9.6M-5.4M2.352.65N/AN/A293,860691,5404,390,3405,183,200
2008-03-28$3.49$3.6348.2%13.8%56.1%34.5%48.9%5.1%11.1%-5.7M74.5M-5.4M1.342.52N/AN/A210,640283,3204,436,8805,545,420
2008-03-31$3.56$3.6347.9%13.7%52.9%34.1%49.6%6.3%12.0%-4.8M-8.2M-5.5M1.411.63N/AN/A178,520252,2004,486,0205,572,320