AMZN Options History — May 2009

In May 2009, AMZN traded between $3.68 and $4.10. ATM implied volatility averaged 42.5%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.7% (HV 20d: 36.8%). Max pain ranged from $4.00 to $4.25. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2009-05-08: Highest Volume — 1,857,880 contracts
  • 2009-05-11: Largest IV spike — 13.6% change
  • 2009-05-11: Highest IV Rank — 17.0%
  • 2009-05-06: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.88$3.68$4.10$3.95$3.90
Max Pain$4.10$4.00$4.25$4.00$4.00
ATM IV42.5%37.4%48.3%40.9%37.4%
Expected Move12.3%10.7%13.6%11.7%10.7%
HV 20d36.8%34.3%39.0%37.7%35.7%
HV 60d48.3%45.3%50.2%50.2%45.3%
IV Rank8.8%0.9%17.0%9.1%0.9%
IV Percentile16.8%1.2%31.3%14.3%1.2%
Term Structure1.8%0.0%4.2%4.2%3.0%
VWIV43.5%39.3%48.1%41.8%39.3%
Skew 25d6.0%3.5%7.0%3.5%5.0%
Skew 10d12.2%7.8%14.7%7.8%9.8%
Call IV 25d40.7%36.8%44.8%40.2%36.8%
Put IV 25d46.7%41.8%51.0%43.7%41.8%
Bid-Ask Spread %4.102.645.713.374.10
Gamma HHI0.160.130.260.130.14
Net GEX3.7M-7.2M9.6M2.6M7.6M
Net DEX-341.3M-577.4M-61.3M-351.7M-408.2M
Net VEX-5.5M-5.8M-5.2M-5.6M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.452.350.792.35
Total Volume841,672449,0401,857,880710,840638,580
Total OI9,601,2758,389,98010,583,9209,732,2409,230,380

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$3.95$4.0040.9%11.7%37.7%9.1%41.8%3.5%4.2%2.6M-351.7M-5.6M0.793.37N/AN/A397,080313,7605,069,4604,662,780
2009-05-04$3.99$4.2543.7%13.1%37.0%12.1%45.4%6.9%0.6%5.6M-430.1M-5.6M1.144.85N/AN/A511,160585,2405,099,6804,690,920
2009-05-05$4.09$4.2545.3%13.5%38.0%13.8%46.9%7.0%0.5%9.6M-577.4M-5.7M0.725.71N/AN/A382,720275,7605,139,1804,640,440
2009-05-06$4.10$4.2545.8%13.6%35.7%14.3%48.1%7.0%0.0%7.8M-556.1M-5.8M0.785.24N/AN/A559,180438,3605,258,4604,782,300
2009-05-07$3.96$4.2545.2%13.1%37.6%13.7%46.0%6.0%0.9%2.9M-384.8M-5.6M0.744.28N/AN/A473,000352,1805,296,8804,800,660
2009-05-08$3.90$4.2542.5%12.9%35.9%10.9%46.0%6.1%0.8%2.5M-322.3M-5.5M0.455.23N/AN/A1,279,660578,2205,430,0004,761,820
2009-05-11$3.93$4.2548.3%13.1%35.9%17.0%45.5%6.8%0.6%4.0M-364.0M-5.5M0.785.41N/AN/A689,260538,7405,421,6404,817,440
2009-05-12$3.90$4.2544.8%12.9%35.1%13.2%46.0%6.5%0.7%1.0M-297.0M-5.5M1.094.04N/AN/A361,840394,0605,537,2204,912,740
2009-05-13$3.71$4.2545.1%13.5%37.5%13.5%47.3%6.2%0.5%-7.2M-64.5M-5.2M1.363.84N/AN/A454,980617,2205,535,4204,894,220
2009-05-14$3.76$4.0045.4%13.0%35.7%13.9%45.9%6.4%1.6%-5.6M-155.1M-5.2M0.684.16N/AN/A564,600384,6605,580,2204,867,840
2009-05-15$3.68$4.0043.6%12.5%36.0%8.9%44.2%5.7%1.8%-5.3M-61.3M-5.2M1.053.07N/AN/A454,080474,7405,692,7004,891,220
2009-05-18$3.80$4.0041.0%11.8%38.0%6.1%41.3%5.2%2.1%4.4M-283.2M-5.2M1.024.01N/AN/A305,080310,7804,621,4203,768,560
2009-05-19$3.89$4.0038.6%11.1%38.7%2.2%39.9%5.5%1.8%6.4M-384.8M-5.4M0.623.66N/AN/A466,800290,4204,752,3803,831,060
2009-05-20$3.90$4.0038.7%11.1%38.7%2.3%39.5%5.1%2.2%6.8M-400.4M-5.5M0.823.40N/AN/A394,020322,6204,864,4003,914,500
2009-05-21$3.80$4.0041.6%11.9%39.0%5.5%41.5%5.3%2.5%5.3M-311.1M-5.4M1.424.40N/AN/A363,660516,4804,913,2203,964,960
2009-05-22$3.78$4.0041.0%11.8%34.3%5.0%41.0%5.7%3.0%5.1M-293.6M-5.4M1.433.39N/AN/A188,880270,6004,976,6404,048,200
2009-05-26$3.92$4.0040.6%11.7%37.0%4.5%42.3%7.0%2.1%7.4M-427.4M-5.6M1.052.64N/AN/A369,260389,1404,980,9204,066,360
2009-05-27$3.85$4.0041.8%12.0%37.3%5.8%40.7%6.1%2.9%6.3M-360.8M-5.4M0.913.23N/AN/A249,680227,9005,045,0804,074,720
2009-05-28$3.88$4.0039.4%11.3%35.8%3.1%41.2%6.7%3.3%6.9M-391.5M-5.5M0.993.91N/AN/A226,000223,0405,073,9604,115,500
2009-05-29$3.90$4.0037.4%10.7%35.7%0.9%39.3%5.0%3.0%7.6M-408.2M-5.4M2.354.10N/AN/A190,720447,8605,097,3804,133,000