AMZN Options History — January 2011

In January 2011, AMZN traded between $8.48 and $9.56. ATM implied volatility averaged 33.0%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 11.1% (HV 20d: 22.0%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2011-01-28: Highest Volume — 5,887,820 contracts
  • 2011-01-13: Largest IV spike — 45.2% change
  • 2011-01-26: Highest IV Rank — 58.9%
  • 2011-01-26: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.48$9.56$9.21$8.48
Max Pain$8.75$8.00$9.00$8.00$8.75
ATM IV33.0%23.7%44.5%27.7%31.5%
Expected Move10.1%7.8%12.7%7.8%8.7%
HV 20d22.0%18.2%39.0%19.1%38.8%
HV 60d27.7%25.2%31.9%29.6%31.6%
IV Rank26.9%0.0%58.9%11.1%26.9%
IV Percentile39.3%0.0%90.5%7.5%28.6%
Term Structure-0.7%-7.0%9.6%9.6%0.5%
VWIV35.8%28.0%44.5%28.3%31.2%
Skew 25d2.8%2.1%3.9%3.4%2.9%
Skew 10d5.8%4.4%8.5%8.5%6.0%
Call IV 25d34.3%26.4%42.6%26.4%29.8%
Put IV 25d37.1%29.1%46.0%29.8%32.7%
Bid-Ask Spread %6.712.9427.713.283.64
Gamma HHI0.160.080.280.140.10
Net GEX21.2M-17.7M64.9M23.9M-15.3M
Net DEX-1.44B-2.44B148.2M-1.84B58.2M
Net VEX-7.9M-8.9M-7.0M-7.9M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.471.400.911.07
Total Volume1,675,011702,5805,887,8201,216,0801,353,740
Total OI9,547,1795,654,96010,942,4209,811,1808,114,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$9.21$8.0027.7%7.8%19.1%11.1%28.3%3.4%9.6%23.9M-1.84B-7.9M0.913.28N/AN/A636,260579,8203,979,6005,831,580
2011-01-04$9.25$8.0026.3%7.8%18.7%7.0%28.0%2.1%9.4%26.0M-1.89B-7.8M0.472.94N/AN/A770,420359,7204,059,9606,002,860
2011-01-05$9.37$8.0029.0%8.0%18.7%14.8%28.8%2.1%8.9%36.4M-2.08B-7.9M0.833.43N/AN/A432,880361,2404,205,6806,111,320
2011-01-06$9.29$8.0026.6%8.0%19.0%7.9%29.1%2.3%9.0%27.0M-1.94B-8.0M1.403.54N/AN/A293,120410,1404,247,2206,176,300
2011-01-07$9.27$9.0024.3%10.3%18.7%1.2%36.6%2.7%-1.3%25.8M-1.99B-7.7M0.937.51N/AN/A913,800853,3404,275,9206,246,640
2011-01-10$9.23$9.0026.1%10.5%18.9%6.5%37.5%2.5%-1.7%23.8M-1.83B-7.9M0.917.72N/AN/A440,560400,4204,206,9006,095,680
2011-01-11$9.22$9.0023.7%10.2%18.5%0.0%36.5%2.5%-1.6%22.0M-1.81B-7.9M0.876.89N/AN/A375,340327,2404,293,0606,204,160
2011-01-12$9.20$9.0024.1%10.0%18.5%1.2%35.4%2.4%-1.7%24.3M-1.82B-7.8M0.549.19N/AN/A528,080285,3004,351,8006,288,020
2011-01-13$9.28$9.0035.0%10.0%18.5%32.1%35.7%2.5%-2.0%45.1M-2.00B-7.6M0.917.44N/AN/A391,500357,3004,528,8206,295,940
2011-01-14$9.44$9.0033.9%9.7%18.8%28.9%35.1%2.6%-2.1%54.7M-2.29B-7.5M1.048.28N/AN/A579,960602,4004,530,2606,362,520
2011-01-18$9.56$9.0035.3%10.1%19.0%33.0%35.5%2.4%-3.2%64.9M-2.44B-7.0M0.698.68N/AN/A606,360417,1404,393,2206,230,620
2011-01-19$9.34$9.0036.6%10.5%18.2%36.7%37.1%2.1%-4.2%38.5M-2.01B-7.2M0.985.13N/AN/A627,000615,7004,419,5406,303,900
2011-01-20$9.10$9.0037.0%10.6%20.5%37.8%37.2%2.9%-4.0%5.3M-1.55B-7.4M1.045.11N/AN/A848,360879,1204,456,8406,348,700
2011-01-21$8.87$9.0039.1%11.2%22.2%43.7%38.7%3.2%-4.9%-17.7M-1.12B-7.5M0.924.38N/AN/A938,420863,2804,541,5806,400,840
2011-01-24$8.84$9.0042.9%12.3%22.0%54.4%42.9%3.9%-7.0%3.3M-407.4M-7.6M0.827.33N/AN/A961,260786,3802,573,1203,081,840
2011-01-25$8.84$8.7543.8%12.5%21.9%56.9%43.7%3.4%-6.5%7.4M-470.2M-8.0M0.683.73N/AN/A1,017,440693,3402,967,7003,368,240
2011-01-26$8.77$8.7544.5%12.7%22.0%58.9%44.5%3.5%-6.9%10.9M-478.4M-8.5M0.844.10N/AN/A724,300606,6603,417,6203,601,580
2011-01-27$9.22$8.7542.5%12.2%28.4%53.2%42.9%3.8%-6.2%31.5M-1.09B-8.7M0.6827.71N/AN/A3,430,3402,344,7203,626,3403,807,860
2011-01-28$8.56$9.0030.9%8.8%39.0%24.8%31.0%3.1%1.0%-13.6M148.2M-8.7M1.134.15N/AN/A2,762,8403,124,9804,429,5004,566,060
2011-01-31$8.48$8.7531.5%8.7%38.8%26.9%31.2%2.9%0.5%-15.3M58.2M-8.9M1.073.64N/AN/A652,900700,8403,842,7204,271,520