AMZN Options History — April 2011

In April 2011, AMZN traded between $8.92 and $9.83. ATM implied volatility averaged 30.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.4% (HV 20d: 25.8%). Max pain ranged from $8.75 to $9.25. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-04-27: Highest Volume — 6,799,220 contracts
  • 2011-04-14: Largest IV spike — 37.5% change
  • 2011-04-26: Highest IV Rank — 51.3%
  • 2011-04-26: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.23$8.92$9.83$9.01$9.79
Max Pain$8.91$8.75$9.25$8.75$9.25
ATM IV30.2%23.8%38.6%27.5%26.7%
Expected Move9.5%7.7%11.1%7.8%7.7%
HV 20d25.8%22.3%33.4%26.4%32.7%
HV 60d29.7%24.0%30.8%30.4%28.3%
IV Rank22.5%0.3%51.3%13.0%10.3%
IV Percentile25.6%0.4%76.6%6.7%6.0%
Term Structure-1.6%-6.6%7.2%7.2%0.7%
VWIV33.9%27.8%38.3%28.4%27.8%
Skew 25d3.5%2.2%5.2%2.9%2.2%
Skew 10d6.6%4.4%9.7%6.4%4.4%
Call IV 25d31.8%26.2%35.7%26.9%26.2%
Put IV 25d35.3%28.4%39.9%29.8%28.4%
Bid-Ask Spread %5.762.9330.034.074.97
Gamma HHI0.140.070.400.400.14
Net GEX27.7M-13.3M103.6M103.6M49.2M
Net DEX-919.2M-1.73B-307.2M-884.4M-1.70B
Net VEX-9.5M-10.0M-9.1M-9.8M-9.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.701.360.830.79
Total Volume1,666,753595,4606,799,2201,947,2601,640,340
Total OI8,610,0156,510,18010,010,7609,259,40010,010,760

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$9.01$8.7527.5%7.8%26.4%13.0%28.4%2.9%7.2%103.6M-884.4M-9.8M0.834.07N/AN/A1,064,360882,9003,977,8805,281,520
2011-04-04$9.15$8.7530.3%9.8%25.9%22.8%35.5%4.0%-2.1%26.2M-998.5M-9.7M0.923.80N/AN/A575,580528,5403,897,3805,035,180
2011-04-05$9.26$8.7529.9%9.9%25.3%21.5%34.6%3.2%-2.3%37.2M-1.21B-9.6M0.833.19N/AN/A808,720672,7603,928,4405,176,200
2011-04-06$9.14$8.7527.3%10.0%26.0%12.6%35.0%3.4%-2.7%16.0M-932.8M-9.9M0.846.67N/AN/A756,420635,2803,998,0405,343,960
2011-04-07$9.25$8.7525.3%9.7%24.9%5.7%34.3%3.5%-1.7%37.6M-1.15B-9.9M0.954.26N/AN/A577,920548,6004,093,8805,410,200
2011-04-08$9.24$8.7523.8%9.6%24.9%0.3%34.3%3.4%-1.7%65.8M-1.07B-9.8M1.364.33N/AN/A449,400609,3404,094,6605,469,140
2011-04-11$9.20$8.7527.0%9.8%24.6%11.4%35.9%3.1%-2.3%24.8M-1.01B-9.6M1.303.21N/AN/A442,600574,7803,980,3805,265,760
2011-04-12$9.02$8.7527.6%10.1%25.6%13.4%35.4%3.4%-2.5%-1.9M-668.7M-9.7M0.704.32N/AN/A440,900307,3604,007,3005,386,540
2011-04-13$9.11$8.7524.7%10.0%25.5%3.5%35.4%3.5%-2.2%17.7M-835.0M-9.3M0.984.21N/AN/A459,280451,9803,888,4805,226,140
2011-04-14$9.09$9.0034.0%9.7%23.5%35.4%34.9%2.6%-1.5%11.3M-778.2M-9.2M0.934.59N/AN/A644,820597,2803,872,1805,333,420
2011-04-15$9.00$9.0032.9%9.4%24.2%31.7%33.1%3.4%-1.4%-13.3M-613.5M-9.2M0.755.86N/AN/A1,027,620772,5404,027,6005,373,060
2011-04-18$8.92$9.0033.7%9.6%24.3%34.3%34.1%5.0%-1.9%-109.5K-307.2M-9.1M1.045.50N/AN/A489,220511,1202,845,8403,664,340
2011-04-19$8.94$9.0033.6%9.6%23.6%34.3%34.5%5.2%-2.0%1.6M-343.6M-9.2M1.225.00N/AN/A268,360327,1002,977,3803,837,680
2011-04-20$9.19$9.0032.8%9.4%24.7%31.3%33.8%4.3%-2.2%23.7M-667.5M-9.2M0.822.93N/AN/A586,140483,0002,983,9803,918,020
2011-04-21$9.29$9.0033.7%9.7%22.3%34.5%34.5%2.6%-2.8%17.4M-813.3M-9.3M1.224.40N/AN/A560,040684,9603,005,4804,003,500
2011-04-25$9.27$9.0037.1%10.6%22.4%46.2%37.4%3.2%-4.6%3.9M-649.3M-9.3M0.984.49N/AN/A463,400454,3802,979,2204,026,260
2011-04-26$9.12$9.0038.6%11.1%23.1%51.3%38.3%4.3%-6.6%-2.3M-449.9M-9.2M0.8630.03N/AN/A1,989,3601,716,1003,128,3404,215,760
2011-04-27$9.83$9.0029.9%8.6%33.4%21.3%30.7%3.4%-0.9%69.1M-1.73B-9.4M0.903.99N/AN/A3,585,1203,214,1003,953,0404,851,180
2011-04-28$9.75$9.2527.9%8.0%32.7%14.5%28.9%2.7%0.6%65.9M-1.56B-10.0M0.955.32N/AN/A1,299,0801,234,2604,347,8605,384,320
2011-04-29$9.79$9.2526.7%7.7%32.7%10.3%27.8%2.2%0.7%49.2M-1.70B-9.9M0.794.97N/AN/A914,120726,2204,431,8405,578,920