AMZN Options History — March 2009 In March 2009, AMZN traded between $3.02 and $3.78. ATM implied volatility averaged 61.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 2.2% (HV 20d: 58.9%). Max pain ranged from $3.00 to $3.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.29.
Notable Days 2009-03-06 : Highest Volume — 2,104,980 contracts2009-03-10 : Largest IV drop — 11.2% change2009-03-09 : Highest IV Rank — 43.2%2009-03-09 : Largest Expected Move — 20.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.43 $3.02 $3.78 $3.10 $3.67 Max Pain $3.05 $3.00 $3.25 $3.00 $3.25 ATM IV 61.1% 55.6% 73.0% 68.1% 56.1% Expected Move 17.6% 16.0% 20.5% 19.5% 16.1% HV 20d 58.9% 50.6% 64.7% 55.2% 60.9% HV 60d 66.4% 64.6% 68.4% 68.4% 66.3% IV Rank 30.6% 24.8% 43.2% 38.0% 25.3% IV Percentile 53.8% 40.9% 73.0% 69.8% 40.9% Term Structure 5.5% -0.9% 13.0% 0.7% 13.0% VWIV 62.5% 57.6% 71.3% 66.9% 58.7% Skew 25d 10.9% 9.0% 13.7% 12.3% 10.1% Skew 10d 22.8% 18.6% 27.5% 25.2% 19.4% Call IV 25d 56.3% 51.4% 65.0% 60.7% 53.3% Put IV 25d 67.3% 61.5% 77.8% 73.0% 63.3% Bid-Ask Spread % 3.76 3.06 5.35 3.64 3.20 Gamma HHI 0.16 0.10 0.70 0.10 0.16 Net GEX 7.3M 193.8K 49.0M 2.2M 8.6M Net DEX -488.2M -717.9M -133.5M -239.8M -631.2M Net VEX -4.8M -5.2M -4.2M -4.2M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 0.33 2.08 2.06 0.33 Total Volume 1,239,315.455 549,040 2,104,980 1,240,980 1,407,400 Total OI 10,010,137.273 8,699,700 11,363,060 8,699,700 10,195,080
Daily Data (22 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 2009-03-02 $3.10 $3.00 68.1% 19.5% 55.2% 38.0% 66.9% 12.3% 0.7% 2.2M -239.8M -4.2M 2.06 3.64 N/A N/A 404,940 836,040 4,189,020 4,510,680 2009-03-03 $3.08 $3.00 67.3% 19.3% 53.6% 37.1% 65.8% 11.3% 1.1% 1.7M -216.6M -4.4M 0.97 5.35 N/A N/A 453,300 438,080 4,340,760 4,723,380 2009-03-04 $3.24 $3.00 61.0% 17.5% 54.6% 30.5% 64.0% 11.3% 3.6% 4.0M -371.1M -4.5M 1.57 3.39 N/A N/A 400,160 628,700 4,418,520 4,759,660 2009-03-05 $3.24 $3.00 61.8% 17.7% 52.4% 31.3% 63.8% 12.1% 3.7% 3.7M -356.6M -4.6M 1.55 4.35 N/A N/A 431,280 670,300 4,477,800 4,879,980 2009-03-06 $3.08 $3.00 66.8% 20.0% 54.1% 36.6% 70.7% 13.2% -0.3% 1.4M -195.4M -4.4M 2.08 3.51 N/A N/A 683,560 1,421,420 4,527,760 4,961,560 2009-03-09 $3.02 $3.00 73.0% 20.5% 50.6% 43.2% 71.3% 12.8% -0.9% 193.8K -133.5M -4.4M 1.33 4.01 N/A N/A 615,800 818,020 4,608,420 5,248,880 2009-03-10 $3.29 $3.00 64.8% 19.2% 59.4% 34.5% 67.6% 13.7% 0.9% 4.4M -406.1M -4.6M 1.12 3.42 N/A N/A 783,020 879,700 4,687,680 5,362,500 2009-03-11 $3.43 $3.00 57.9% 18.1% 58.0% 27.1% 66.4% 12.2% 2.9% 5.7M -541.1M -4.8M 1.61 3.87 N/A N/A 782,720 1,257,100 4,717,420 5,535,000 2009-03-12 $3.48 $3.00 59.7% 17.1% 57.9% 29.0% 61.0% 10.7% 4.6% 7.4M -615.2M -4.9M 0.74 3.06 N/A N/A 941,620 695,400 4,906,560 5,719,140 2009-03-13 $3.43 $3.00 58.7% 16.8% 58.2% 28.1% 60.8% 9.9% 4.9% 6.4M -518.2M -4.9M 1.90 3.73 N/A N/A 457,300 868,900 4,788,500 5,763,700 2009-03-16 $3.35 $3.00 62.6% 17.9% 58.8% 32.2% 62.1% 10.6% 2.9% 4.1M -419.6M -4.7M 1.42 3.23 N/A N/A 428,660 609,000 4,830,080 5,897,880 2009-03-17 $3.57 $3.00 59.5% 17.0% 61.5% 28.8% 60.8% 11.1% 3.7% 7.9M -674.7M -4.8M 1.37 4.17 N/A N/A 764,200 1,044,620 4,842,560 5,909,320 2009-03-18 $3.56 $3.00 60.5% 17.4% 61.6% 30.0% 60.5% 11.2% 3.2% 6.4M -660.7M -4.8M 1.63 4.66 N/A N/A 574,880 938,540 4,851,580 6,067,800 2009-03-19 $3.50 $3.00 60.6% 17.4% 61.9% 30.0% 59.6% 10.4% 3.2% 6.1M -606.5M -4.8M 0.64 3.58 N/A N/A 766,360 486,880 4,880,020 6,080,900 2009-03-20 $3.50 $3.00 59.2% 17.0% 61.3% 28.5% 61.2% 9.9% 5.0% 49.0M -611.3M -4.9M 0.89 5.09 N/A N/A 772,180 685,340 5,281,260 6,081,800 2009-03-23 $3.78 $3.00 56.2% 16.1% 64.7% 25.4% 57.9% 10.2% 11.5% 8.1M -717.9M -5.2M 1.09 3.07 N/A N/A 448,220 490,400 4,528,580 4,876,020 2009-03-24 $3.65 $3.00 55.6% 16.0% 63.6% 24.8% 57.8% 9.3% 11.2% 7.3M -609.9M -5.0M 1.30 3.86 N/A N/A 239,000 310,040 4,656,400 4,873,560 2009-03-25 $3.62 $3.00 57.9% 16.6% 62.5% 27.2% 58.4% 9.0% 11.2% 7.1M -580.5M -5.0M 1.64 3.49 N/A N/A 302,820 497,500 4,657,340 4,903,940 2009-03-26 $3.68 $3.25 56.0% 16.0% 61.7% 25.1% 57.6% 10.3% 12.1% 7.8M -640.1M -5.1M 1.16 3.31 N/A N/A 328,740 382,860 4,709,580 5,016,660 2009-03-27 $3.53 $3.25 58.0% 16.6% 63.3% 27.3% 58.7% 9.2% 13.0% 5.4M -470.7M -5.0M 1.06 3.75 N/A N/A 280,280 297,740 4,751,900 5,163,160 2009-03-30 $3.57 $3.25 63.0% 18.1% 60.7% 32.6% 63.1% 10.1% 10.6% 6.5M -523.9M -5.0M 0.85 3.09 N/A N/A 400,380 341,540 4,831,440 5,209,240 2009-03-31 $3.67 $3.25 56.1% 16.1% 60.9% 25.3% 58.7% 10.1% 13.0% 8.6M -631.2M -5.0M 0.33 3.20 N/A N/A 1,055,700 351,700 4,930,360 5,264,720
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