AMZN Options History — May 2010

In May 2010, AMZN traded between $5.99 and $6.87. ATM implied volatility averaged 43.2%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 1.0% (HV 20d: 42.2%). Max pain ranged from $6.50 to $7.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2010-05-04: Highest Volume — 2,268,560 contracts
  • 2010-05-04: Largest IV spike — 19.5% change
  • 2010-05-20: Highest IV Rank — 81.6%
  • 2010-05-20: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.38$5.99$6.87$6.87$6.27
Max Pain$6.84$6.50$7.00$7.00$6.50
ATM IV43.2%35.6%52.7%35.6%38.9%
Expected Move12.4%10.2%15.1%10.2%11.1%
HV 20d42.2%38.3%44.4%38.3%40.7%
HV 60d34.5%30.2%36.4%30.2%35.5%
IV Rank53.6%31.2%81.6%31.2%40.7%
IV Percentile79.7%37.3%98.4%37.3%62.3%
Term Structure0.3%-1.8%2.0%1.5%2.0%
VWIV44.1%36.2%51.5%36.2%39.5%
Skew 25d8.9%3.5%14.0%3.5%9.8%
Skew 10d18.5%7.2%28.1%7.2%19.6%
Call IV 25d40.0%34.2%47.4%34.2%35.3%
Put IV 25d48.9%37.7%61.4%37.7%45.1%
Bid-Ask Spread %5.513.739.013.814.07
Gamma HHI0.090.060.150.100.07
Net GEX-11.7M-24.0M-106.0K-106.0K-2.7M
Net DEX256.8M-278.2M849.1M-278.2M28.8M
Net VEX-8.7M-9.7M-7.9M-9.7M-8.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.751.631.050.75
Total Volume1,140,679427,0602,268,560991,060457,640
Total OI9,985,8077,812,72011,059,62010,160,6008,414,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$6.87$7.0035.6%10.2%38.3%31.2%36.2%3.5%1.5%-106.0K-278.2M-9.7M1.053.81N/AN/A483,640507,4205,273,8204,886,780
2010-05-04$6.49$7.0042.5%12.2%42.2%51.6%43.1%5.2%-1.1%-13.2M249.3M-9.2M1.314.17N/AN/A983,9801,284,5805,204,1004,959,200
2010-05-05$6.55$7.0041.7%11.9%42.4%49.0%42.4%5.7%0.4%-9.4M125.5M-9.4M1.084.08N/AN/A605,140655,3805,296,7804,984,400
2010-05-06$6.44$7.0046.1%13.2%39.1%61.9%47.7%5.0%-1.8%-10.2M237.7M-9.6M1.069.01N/AN/A929,040982,9005,326,6605,042,420
2010-05-07$6.25$7.0051.1%14.1%40.0%76.8%50.1%9.9%0.0%-12.7M448.5M-9.3M1.636.30N/AN/A627,4201,022,6005,402,9005,099,340
2010-05-10$6.56$7.0042.8%12.2%44.4%52.3%43.2%9.2%0.5%-12.2M135.6M-9.3M1.185.04N/AN/A457,640538,7005,315,6805,208,840
2010-05-11$6.52$7.0040.5%12.2%44.3%45.6%43.0%8.3%0.2%-13.8M204.9M-9.1M1.057.93N/AN/A427,880447,9205,337,8405,231,620
2010-05-12$6.69$7.0036.4%11.3%44.0%33.6%40.6%7.8%0.2%-13.2M3.9M-9.1M1.076.10N/AN/A476,760508,5205,332,7805,258,080
2010-05-13$6.57$7.0041.2%11.8%44.0%47.6%41.5%6.7%0.1%-18.3M192.6M-9.0M1.056.03N/AN/A570,200597,8405,300,8005,267,840
2010-05-14$6.43$7.0042.7%12.2%43.8%52.0%44.1%8.1%0.5%-19.6M383.0M-8.8M1.436.56N/AN/A487,880696,0605,314,7805,278,900
2010-05-17$6.45$7.0042.2%12.1%43.9%50.4%44.1%8.2%1.2%-20.8M379.1M-8.6M0.935.11N/AN/A652,940605,4805,401,4005,352,780
2010-05-18$6.31$6.7545.4%13.0%43.7%59.9%44.9%9.1%-0.6%-22.2M556.7M-8.4M1.116.18N/AN/A503,200558,0405,488,5205,414,600
2010-05-19$6.23$6.7544.3%12.7%43.0%56.8%44.0%9.7%0.6%-24.0M656.5M-8.1M1.086.79N/AN/A584,760633,8005,507,3205,427,260
2010-05-20$5.99$6.7552.7%15.1%42.5%81.6%51.5%14.0%-1.6%-22.0M849.1M-8.0M1.096.66N/AN/A723,920792,7205,559,8605,357,200
2010-05-21$6.14$6.7547.4%13.6%42.5%65.8%49.0%13.7%0.5%-5.1M678.3M-8.2M1.495.07N/AN/A562,180837,0605,654,3205,405,300
2010-05-24$6.11$6.7547.5%13.6%40.9%66.4%48.5%12.7%0.1%-5.7M178.7M-7.9M1.094.56N/AN/A263,420285,8403,835,6603,977,060
2010-05-25$6.24$6.5045.1%12.9%41.1%59.2%46.2%11.6%1.0%-3.3M44.2M-8.2M0.823.73N/AN/A500,760409,6403,936,3804,076,240
2010-05-26$6.16$6.5041.6%11.9%41.0%48.9%43.1%10.3%0.9%-4.3M115.8M-8.1M0.954.29N/AN/A370,160353,4604,122,4804,104,760
2010-05-27$6.33$6.5038.7%11.1%42.0%40.3%39.1%9.0%1.7%-592.0K-54.2M-8.3M0.924.82N/AN/A223,000204,0604,211,3004,145,500
2010-05-28$6.27$6.5038.9%11.1%40.7%40.7%39.5%9.8%2.0%-2.7M28.8M-8.1M0.754.07N/AN/A261,320196,3204,219,3804,195,260