AMZN Options History — January 2010

In January 2010, AMZN traded between $5.97 and $6.73. ATM implied volatility averaged 43.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 14.8% (HV 20d: 28.6%). Max pain ranged from $6.25 to $6.75. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-01-29: Highest Volume — 4,670,860 contracts
  • 2010-01-14: Largest IV spike — 47.2% change
  • 2010-01-28: Highest IV Rank — 55.1%
  • 2010-01-28: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.37$5.97$6.73$6.70$6.27
Max Pain$6.57$6.25$6.75$6.75$6.25
ATM IV43.4%32.2%59.0%36.5%37.9%
Expected Move14.0%10.9%16.9%13.8%10.9%
HV 20d28.6%24.9%30.3%30.3%29.0%
HV 60d47.1%29.8%57.3%56.7%30.1%
IV Rank24.7%3.4%55.1%11.3%14.5%
IV Percentile44.9%1.2%86.1%22.2%32.1%
Term Structure-5.3%-10.9%0.5%-4.0%0.5%
VWIV49.0%38.5%58.1%48.2%38.5%
Skew 25d4.2%2.0%8.3%4.0%6.6%
Skew 10d8.3%4.0%14.5%7.9%14.5%
Call IV 25d47.1%35.4%55.8%46.3%35.4%
Put IV 25d51.2%42.0%62.8%50.4%42.0%
Bid-Ask Spread %4.052.507.224.554.56
Gamma HHI0.090.080.120.100.09
Net GEX4.2M-6.2M15.4M12.4M3.2M
Net DEX-834.2M-1.86B114.1M-1.76B-118.6M
Net VEX-7.5M-8.3M-7.1M-7.5M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.481.350.631.35
Total Volume1,947,582.1051,003,8604,670,8601,188,1604,670,860
Total OI11,352,227.3687,177,82014,572,40013,114,90010,078,620

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$6.70$6.7536.5%13.8%30.3%11.3%48.2%4.0%-4.0%12.4M-1.76B-7.5M0.634.55N/AN/A727,140461,0206,537,9006,577,000
2010-01-05$6.73$6.7535.4%13.9%29.2%9.3%48.9%3.9%-4.6%15.4M-1.86B-7.5M0.854.41N/AN/A759,240641,6806,564,6406,664,340
2010-01-06$6.61$6.7535.2%13.6%28.5%8.8%47.4%4.2%-4.3%7.3M-1.62B-7.4M0.843.63N/AN/A876,880737,3806,644,5206,740,880
2010-01-07$6.50$6.7535.3%13.6%29.1%9.1%47.6%4.2%-4.1%514.7K-1.40B-7.4M0.734.34N/AN/A1,375,1201,010,1206,738,7206,953,000
2010-01-08$6.68$6.7532.2%13.1%29.8%3.4%46.1%3.9%-3.6%15.0M-1.77B-7.5M0.483.96N/AN/A1,170,460566,2806,848,2207,045,720
2010-01-11$6.52$6.7534.2%13.5%28.9%7.0%47.1%4.5%-4.7%7.8M-1.46B-7.3M0.723.80N/AN/A1,147,540821,2207,049,1807,074,500
2010-01-12$6.37$6.7534.2%13.7%29.8%7.1%47.3%4.3%-4.9%-6.2M-1.13B-7.2M0.923.55N/AN/A836,560768,7807,132,0007,130,740
2010-01-13$6.46$6.7532.6%13.2%29.5%4.1%47.5%4.1%-5.0%8.5M-1.40B-7.2M0.823.68N/AN/A1,063,940873,4607,218,6807,108,240
2010-01-14$6.37$6.5048.0%13.7%29.7%32.2%47.7%4.4%-6.3%653.4K-1.22B-7.1M0.754.09N/AN/A873,880653,8207,309,0807,154,900
2010-01-15$6.36$6.5047.2%13.5%29.3%30.8%47.0%3.9%-5.4%3.6M-1.25B-7.1M0.654.93N/AN/A1,352,640875,1407,376,0007,196,400
2010-01-19$6.38$6.5046.1%13.2%29.0%28.9%46.8%3.1%-4.8%4.0M-264.8M-7.1M0.792.78N/AN/A905,100713,5203,532,6803,645,140
2010-01-20$6.29$6.5046.4%13.3%29.1%29.4%46.5%2.0%-4.5%2.9M-197.1M-7.3M1.142.85N/AN/A515,360587,5403,792,5603,880,520
2010-01-21$6.33$6.5047.4%13.6%26.4%32.8%47.1%2.3%-4.8%4.3M-238.7M-7.6M0.962.50N/AN/A513,100490,7603,940,6804,080,080
2010-01-22$6.07$6.5051.1%14.7%29.6%40.0%51.0%3.2%-5.4%-1.4M28.5M-7.4M1.033.92N/AN/A809,600830,6604,005,4604,171,060
2010-01-25$6.02$6.5054.6%15.7%24.9%46.7%55.0%4.3%-7.6%-2.2M62.9M-7.5M0.884.53N/AN/A1,025,020905,3804,140,8604,312,100
2010-01-26$5.97$6.5054.9%15.7%24.9%47.2%55.2%3.9%-7.9%-3.4M114.1M-7.6M0.722.62N/AN/A700,360507,2004,266,6604,505,600
2010-01-27$6.14$6.2556.9%16.3%27.3%51.2%57.6%3.8%-9.1%2.2M-106.6M-7.9M1.064.97N/AN/A1,108,1201,175,1004,405,6804,527,360
2010-01-28$6.30$6.2559.0%16.9%29.6%55.1%58.1%8.3%-10.9%5.1M-260.2M-8.3M0.757.22N/AN/A2,253,8001,700,2804,538,7804,803,820
2010-01-29$6.27$6.2537.9%10.9%29.0%14.5%38.5%6.6%0.5%3.2M-118.6M-8.1M1.354.56N/AN/A1,990,3802,680,4804,943,6805,134,940