AMZN Options History — April 2012

In April 2012, AMZN traded between $9.28 and $11.60. ATM implied volatility averaged 38.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.3% (HV 20d: 31.0%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-04-27: Highest Volume — 8,833,460 contracts
  • 2012-04-12: Largest IV spike — 30.6% change
  • 2012-04-26: Highest IV Rank — 23.0%
  • 2012-04-26: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.76$9.28$11.60$9.90$11.60
Max Pain$9.65$9.50$10.00$9.50$9.50
ATM IV38.3%26.1%48.2%34.7%37.2%
Expected Move10.9%7.7%13.8%8.1%9.2%
HV 20d31.0%24.0%57.6%27.0%57.6%
HV 60d32.9%31.0%39.7%33.2%39.7%
IV Rank14.5%4.0%23.0%11.4%13.6%
IV Percentile56.5%7.1%85.7%47.6%51.2%
Term Structure-2.9%-10.2%10.3%8.1%-0.6%
VWIV38.3%27.6%48.9%29.0%33.2%
Skew 25d3.6%0.4%6.5%2.4%2.7%
Skew 10d7.2%1.8%13.6%5.0%5.6%
Call IV 25d36.4%27.0%44.6%28.0%31.0%
Put IV 25d40.0%28.3%51.1%30.4%33.7%
Bid-Ask Spread %5.003.118.214.703.11
Gamma HHI0.080.060.130.070.07
Net GEX16.1M-11.1M59.2M22.4M52.4M
Net DEX-572.8M-3.82B239.9M-657.4M-2.91B
Net VEX-8.9M-9.6M-8.4M-9.5M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.561.200.680.74
Total Volume2,276,9121,100,3008,833,4601,887,1803,698,100
Total OI8,715,0566,617,3009,971,5808,488,2208,097,700

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$9.90$9.5034.7%8.1%27.0%11.4%29.0%2.4%8.1%22.4M-657.4M-9.5M0.684.70N/AN/A1,122,720764,4604,094,1404,394,080
2012-04-03$9.98$9.7534.7%8.2%27.0%11.4%29.3%0.7%8.7%26.7M-818.1M-9.4M0.564.59N/AN/A1,429,400798,1004,206,9604,571,480
2012-04-04$9.70$9.7532.3%8.4%29.2%9.3%29.9%0.4%9.2%3.7M-320.9M-9.6M0.794.49N/AN/A1,196,960946,3604,426,1004,675,380
2012-04-05$9.72$9.7526.1%7.7%28.4%4.0%27.6%1.3%10.3%19.3M-365.8M-9.3M0.873.69N/AN/A623,460543,1004,483,1604,703,360
2012-04-09$9.59$10.0032.6%11.4%28.0%9.6%39.4%3.8%-4.9%10.7M-222.8M-9.1M0.865.17N/AN/A676,440582,4804,198,0404,525,500
2012-04-10$9.35$10.0039.1%12.2%29.7%15.2%42.2%5.0%-5.7%-6.1M166.8M-9.0M1.075.30N/AN/A1,087,4601,168,4604,274,2604,611,000
2012-04-11$9.40$9.7531.2%11.5%29.6%8.4%40.6%4.3%-4.8%-123.1K83.0M-9.0M0.845.92N/AN/A928,940781,9404,390,3204,636,160
2012-04-12$9.53$9.7540.7%11.7%29.5%16.6%40.8%4.0%-5.7%15.0M-167.8M-9.0M0.775.31N/AN/A857,880661,5004,451,0604,694,780
2012-04-13$9.42$9.7539.7%11.4%29.7%15.7%39.6%5.0%-4.8%332.5K98.2M-8.7M0.695.52N/AN/A932,240644,8804,489,4404,735,320
2012-04-16$9.28$9.7540.8%11.7%30.3%16.7%40.7%6.0%-5.8%-9.8M239.9M-8.4M1.185.29N/AN/A858,7001,013,5004,419,6004,627,140
2012-04-17$9.42$9.7540.2%11.5%30.8%16.1%40.6%5.7%-6.2%6.9M-59.5M-8.6M0.925.38N/AN/A669,080617,1404,472,3404,697,160
2012-04-18$9.55$9.5041.6%11.9%28.3%17.3%41.1%3.8%-7.0%19.6M-299.3M-8.7M0.745.00N/AN/A1,008,240741,9404,521,0404,742,560
2012-04-19$9.55$9.5041.5%11.9%28.3%17.2%41.3%3.2%-7.0%18.4M-297.8M-8.7M0.834.74N/AN/A1,095,840911,7404,657,1804,798,340
2012-04-20$9.50$9.5041.0%11.7%28.3%16.8%40.5%2.2%-7.6%-11.1M-206.4M-8.5M0.784.09N/AN/A971,560757,7804,758,0604,890,460
2012-04-23$9.41$9.5044.4%12.7%28.0%19.8%44.2%4.1%-7.3%17.1M-230.8M-8.6M1.115.40N/AN/A814,540905,9803,439,0403,178,260
2012-04-24$9.52$9.5043.0%12.3%24.0%18.5%42.8%3.8%-7.3%20.9M-346.5M-8.9M1.075.54N/AN/A530,500569,8003,661,2003,426,980
2012-04-25$9.72$9.5043.6%12.5%24.9%19.1%43.6%4.6%-8.0%27.4M-610.8M-9.1M0.835.00N/AN/A900,400750,1403,810,4603,628,180
2012-04-26$9.80$9.5048.2%13.8%24.2%23.0%48.9%6.5%-10.2%29.3M-708.9M-9.6M1.208.21N/AN/A1,883,2602,259,7604,073,2803,870,020
2012-04-27$11.34$9.5033.8%8.8%57.6%10.6%31.4%2.8%-0.4%59.2M-3.82B-8.7M0.813.51N/AN/A4,867,4003,966,0605,017,2004,954,380
2012-04-30$11.60$9.5037.2%9.2%57.6%13.6%33.2%2.7%-0.6%52.4M-2.91B-8.5M0.743.11N/AN/A2,122,7001,575,4004,032,8204,064,880