AMZN Options History — February 2011

In February 2011, AMZN traded between $8.61 and $9.52. ATM implied volatility averaged 28.7%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 10.0% (HV 20d: 38.7%). Max pain ranged from $8.75 to $9.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-02-09: Highest Volume — 2,045,520 contracts
  • 2011-02-22: Largest IV spike — 13.1% change
  • 2011-02-28: Highest IV Rank — 31.4%
  • 2011-02-23: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.06$8.61$9.52$8.61$8.66
Max Pain$8.89$8.75$9.00$8.75$9.00
ATM IV28.7%25.1%32.8%29.4%32.8%
Expected Move8.2%7.6%9.2%8.1%8.6%
HV 20d38.7%25.1%41.3%38.1%25.1%
HV 60d30.1%27.8%32.2%31.8%28.1%
IV Rank17.4%4.8%31.4%19.7%31.4%
IV Percentile17.0%2.4%39.3%15.5%39.3%
Term Structure1.3%0.7%2.9%1.4%1.4%
VWIV29.7%27.4%32.9%28.7%31.3%
Skew 25d2.9%2.0%4.3%2.3%3.6%
Skew 10d6.0%4.1%9.2%4.6%7.6%
Call IV 25d27.9%26.2%30.5%27.4%29.5%
Put IV 25d30.9%28.7%34.6%29.7%33.1%
Bid-Ask Spread %4.203.165.763.394.57
Gamma HHI0.130.080.250.090.09
Net GEX11.1M-20.0M48.8M-6.3M-20.0M
Net DEX-760.6M-1.55B-49.9M-118.3M-49.9M
Net VEX-9.0M-9.6M-8.5M-8.9M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.721.631.001.07
Total Volume1,330,885.263832,4402,045,520943,0401,619,420
Total OI8,490,852.6326,980,8009,472,7608,383,3207,634,360

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$8.61$8.7529.4%8.1%38.1%19.7%28.7%2.3%1.4%-6.3M-118.3M-8.9M1.003.39N/AN/A470,460472,5803,991,5204,391,800
2011-02-02$8.68$8.7528.0%7.7%38.3%14.9%27.6%2.6%1.7%3.3M-262.2M-8.9M1.553.61N/AN/A399,820618,0804,022,4204,468,480
2011-02-03$8.69$8.7526.1%7.6%37.8%8.4%27.4%2.3%2.3%95.2K-240.0M-9.0M1.083.89N/AN/A484,240522,9004,039,6804,635,640
2011-02-04$8.80$8.7526.4%8.2%38.2%9.4%29.5%3.0%1.1%4.9M-558.3M-8.9M0.894.00N/AN/A779,760691,1804,119,0004,768,920
2011-02-07$8.82$8.7528.1%8.1%38.3%15.2%28.8%2.6%0.7%2.2M-447.1M-8.8M1.304.25N/AN/A438,400569,8203,824,6804,534,040
2011-02-08$9.15$8.7528.8%7.8%40.7%17.8%28.5%2.5%0.8%37.0M-1.06B-8.8M0.903.16N/AN/A949,080852,1803,897,2204,657,080
2011-02-09$9.27$8.7525.1%7.8%41.0%4.8%28.2%2.6%1.1%45.5M-1.25B-8.8M0.954.57N/AN/A1,046,900998,6203,976,0604,858,400
2011-02-10$9.31$8.7527.9%8.0%41.0%14.3%28.7%3.2%0.9%47.4M-1.30B-8.7M1.234.19N/AN/A626,920768,4803,997,3805,010,720
2011-02-11$9.46$9.0028.0%8.0%41.3%15.0%29.1%2.5%1.0%38.9M-1.55B-8.6M0.723.65N/AN/A1,006,000720,1203,990,0805,076,120
2011-02-14$9.52$9.0029.0%8.3%40.9%18.3%30.0%2.5%1.0%48.8M-1.55B-8.5M0.773.97N/AN/A811,680625,6803,882,7804,828,320
2011-02-15$9.45$9.0028.4%8.1%40.7%16.2%29.9%3.3%1.5%29.5M-1.33B-8.8M1.014.41N/AN/A414,280418,1603,934,0405,060,380
2011-02-16$9.33$9.0029.3%8.4%40.1%19.3%29.8%2.9%1.3%14.5M-1.12B-8.8M0.995.76N/AN/A694,100684,4803,971,9805,135,160
2011-02-17$9.39$9.0028.5%8.2%38.9%16.5%30.1%3.2%1.8%30.2M-1.26B-9.2M1.203.52N/AN/A467,940562,2604,114,5805,291,060
2011-02-18$9.32$9.0027.3%7.8%37.8%12.3%28.8%2.0%2.9%-12.7M-1.15B-9.0M1.634.79N/AN/A437,500711,1204,119,8205,352,940
2011-02-22$9.02$9.0030.9%8.8%39.8%24.7%31.9%2.6%1.0%-9.6M-455.5M-9.2M1.365.05N/AN/A570,840773,7402,958,8604,021,940
2011-02-23$8.83$9.0032.0%9.2%40.5%28.8%32.9%4.2%0.7%-19.9M-205.6M-9.3M1.265.18N/AN/A728,200914,7803,052,5804,184,340
2011-02-24$8.89$9.0030.4%8.7%40.5%23.2%31.8%4.3%1.6%-16.0M-289.4M-9.6M0.973.83N/AN/A626,360604,5603,256,5804,406,460
2011-02-25$8.86$9.0029.5%8.6%36.0%20.0%30.8%3.6%0.9%-7.3M-266.9M-9.5M1.094.05N/AN/A576,720629,4603,364,4404,496,340
2011-02-28$8.66$9.0032.8%8.6%25.1%31.4%31.3%3.6%1.4%-20.0M-49.9M-9.3M1.074.57N/AN/A784,180835,2403,271,3204,363,040