AMZN Options History — September 2012

In September 2012, AMZN traded between $12.31 and $13.08. ATM implied volatility averaged 26.3%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 8.1% (HV 20d: 18.2%). Max pain ranged from $11.50 to $12.25. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2012-09-07: Highest Volume — 2,853,680 contracts
  • 2012-09-06: Largest IV drop — 29.9% change
  • 2012-09-05: Highest IV Rank — 14.6%
  • 2012-09-05: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.79$12.31$13.08$12.39$12.72
Max Pain$11.93$11.50$12.25$12.00$12.25
ATM IV26.3%21.8%36.9%33.7%21.8%
Expected Move7.4%6.5%8.1%8.0%6.8%
HV 20d18.2%14.6%21.4%14.6%21.4%
HV 60d25.8%25.0%26.3%25.5%25.6%
IV Rank5.6%1.8%14.6%11.8%1.8%
IV Percentile15.2%2.0%55.6%42.5%2.0%
Term Structure6.0%0.9%11.1%1.3%11.1%
VWIV26.4%22.8%29.1%29.1%24.7%
Skew 25d2.8%2.1%3.4%3.2%2.9%
Skew 10d5.8%4.3%6.9%6.6%5.6%
Call IV 25d24.8%22.0%27.3%27.3%23.0%
Put IV 25d27.7%24.1%30.5%30.5%25.9%
Bid-Ask Spread %6.283.629.535.915.24
Gamma HHI0.110.060.210.090.06
Net GEX45.0M-10.2M109.2M40.6M15.4M
Net DEX-1.53B-2.23B-695.7M-1.24B-998.7M
Net VEX-8.0M-8.7M-7.3M-8.7M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.701.520.701.00
Total Volume1,255,803.158660,2202,853,6801,375,0201,049,860
Total OI7,188,996.8425,977,0407,794,5206,764,7406,899,720

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$12.39$12.0033.7%8.0%14.6%11.8%29.1%3.2%1.3%40.6M-1.24B-8.7M0.705.91N/AN/A810,640564,3803,070,3803,694,360
2012-09-05$12.31$12.0036.9%8.1%14.7%14.6%28.7%2.9%0.9%34.8M-1.14B-8.7M1.015.18N/AN/A446,580452,2803,239,5203,831,940
2012-09-06$12.57$12.0025.9%7.6%15.4%5.3%27.0%2.8%2.3%67.9M-1.53B-8.6M0.785.66N/AN/A1,529,0801,185,6203,300,6403,897,120
2012-09-07$12.96$11.5024.7%7.7%18.0%4.3%27.9%3.4%5.0%109.2M-2.23B-8.3M0.808.70N/AN/A1,589,5801,264,1003,570,8804,172,860
2012-09-10$12.85$11.7529.3%7.9%18.2%8.1%27.8%3.2%4.6%60.0M-1.79B-8.3M1.267.49N/AN/A454,920573,2203,343,7203,993,820
2012-09-11$12.78$11.7529.9%7.9%18.5%8.7%28.3%3.3%4.6%51.9M-1.66B-8.3M1.205.77N/AN/A380,780455,3603,411,5604,113,960
2012-09-12$12.78$11.7525.7%7.8%18.6%5.1%27.8%3.1%4.8%53.1M-1.64B-8.2M1.058.22N/AN/A339,200356,5403,421,2004,157,320
2012-09-13$13.01$11.7525.8%7.4%18.5%5.2%27.0%3.1%5.2%75.8M-2.04B-7.9M1.529.53N/AN/A645,660980,9003,430,3004,192,500
2012-09-14$13.06$11.7526.5%7.6%17.9%5.8%27.0%2.6%4.7%67.2M-2.12B-8.0M0.935.20N/AN/A835,940779,3403,454,3004,340,220
2012-09-17$12.90$12.0026.0%7.5%18.8%5.4%27.4%2.3%4.9%52.6M-1.73B-7.9M1.067.57N/AN/A435,660461,8803,296,2804,130,340
2012-09-18$12.94$12.0025.0%7.2%18.6%4.5%26.1%2.6%5.4%53.8M-1.77B-7.7M0.866.84N/AN/A354,160306,0603,284,3204,190,880
2012-09-19$13.08$12.0024.5%7.0%18.6%4.1%24.9%2.5%5.7%65.3M-1.99B-7.5M0.847.18N/AN/A517,700433,0803,280,9404,261,720
2012-09-20$13.04$12.0023.9%6.8%18.3%3.6%24.7%2.4%6.2%49.0M-1.84B-7.6M1.116.25N/AN/A493,600548,3603,245,5404,348,180
2012-09-21$12.87$12.0022.7%6.5%18.8%2.6%22.8%2.1%7.1%17.1M-1.53B-7.3M0.806.79N/AN/A718,020571,9803,269,4004,347,980
2012-09-24$12.74$12.0023.4%6.7%18.5%3.1%24.2%2.6%10.1%13.3M-1.03B-7.3M1.104.61N/AN/A411,100452,1002,592,6403,384,400
2012-09-25$12.62$12.0025.0%7.2%18.6%4.5%25.5%2.5%10.0%4.3M-884.5M-7.6M1.025.77N/AN/A608,460619,2002,691,6603,533,900
2012-09-26$12.48$12.2525.1%7.2%19.0%4.6%25.7%3.4%9.9%-10.2M-695.7M-7.7M1.283.83N/AN/A418,420534,2002,842,0003,695,700
2012-09-27$12.83$12.0024.7%7.1%21.2%4.3%25.5%3.2%10.2%33.4M-1.23B-7.7M1.113.62N/AN/A607,060675,2402,912,3603,746,380
2012-09-28$12.72$12.2521.8%6.8%21.4%1.8%24.7%2.9%11.1%15.4M-998.7M-7.7M1.005.24N/AN/A526,140523,7202,991,1803,908,540