AMZN Options History — December 2012

In December 2012, AMZN traded between $12.26 and $13.07. ATM implied volatility averaged 27.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.1% (HV 20d: 20.3%). Max pain ranged from $11.50 to $12.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-12-18: Highest Volume — 1,948,900 contracts
  • 2012-12-10: Largest IV spike — 20.8% change
  • 2012-12-28: Highest IV Rank — 9.4%
  • 2012-12-28: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.64$12.26$13.07$12.52$12.54
Max Pain$11.81$11.50$12.00$11.75$12.00
ATM IV27.4%24.2%30.8%29.5%29.6%
Expected Move7.7%7.3%8.4%7.7%8.1%
HV 20d20.3%17.3%25.0%22.0%25.0%
HV 60d25.9%25.1%27.2%26.2%27.2%
IV Rank6.6%3.9%9.4%8.4%8.4%
IV Percentile32.2%8.7%55.2%43.7%51.6%
Term Structure5.6%0.1%10.7%0.1%10.7%
VWIV28.0%26.9%29.8%27.2%29.3%
Skew 25d4.4%3.4%5.3%3.7%5.2%
Skew 10d8.7%6.7%11.4%7.3%11.4%
Call IV 25d25.5%24.5%27.4%25.6%25.9%
Put IV 25d29.9%28.4%32.4%29.3%31.1%
Bid-Ask Spread %7.535.7310.855.947.33
Gamma HHI0.130.060.300.110.07
Net GEX30.0M-43.8M78.9M46.8M13.3M
Net DEX-994.0M-1.71B-226.7M-1.07B-586.0M
Net VEX-6.6M-7.0M-6.4M-6.8M-6.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.911.660.911.22
Total Volume1,071,130539,7401,948,9001,019,8201,022,040
Total OI6,802,9225,699,9007,587,8806,524,5605,989,140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$12.52$11.7529.5%7.7%22.0%8.4%27.2%3.7%0.1%46.8M-1.07B-6.8M0.915.94N/AN/A533,080486,7402,925,9203,598,640
2012-12-04$12.62$11.7529.3%7.8%22.1%8.1%27.4%3.6%0.3%47.1M-1.17B-6.9M1.096.45N/AN/A426,420464,1402,942,2403,722,260
2012-12-05$12.70$11.7528.8%7.5%21.8%7.7%27.5%4.0%0.6%52.2M-1.24B-6.8M1.157.48N/AN/A481,740551,8802,977,7603,788,860
2012-12-06$12.67$12.0025.8%7.3%19.5%5.2%27.3%5.2%1.1%44.8M-1.17B-6.8M1.537.07N/AN/A384,560589,3602,974,4603,875,160
2012-12-07$12.66$11.5024.2%7.5%17.3%3.9%28.0%4.3%5.5%41.1M-1.16B-6.7M1.459.88N/AN/A354,660512,7803,027,4204,073,260
2012-12-10$12.39$11.5029.3%7.9%19.5%8.1%29.4%4.8%5.0%23.0M-751.6M-6.6M1.668.86N/AN/A386,140642,5002,869,4203,827,540
2012-12-11$12.53$11.5028.1%7.8%19.6%7.1%28.0%4.3%5.3%29.2M-938.9M-6.7M0.977.59N/AN/A621,080600,7802,932,6803,962,360
2012-12-12$12.59$11.7524.9%7.7%19.6%4.4%27.4%4.7%5.3%38.6M-1.01B-7.0M1.137.59N/AN/A355,180402,8603,081,5004,064,200
2012-12-13$12.56$11.7527.2%7.8%18.1%6.4%28.1%4.2%5.5%34.1M-1.00B-6.9M1.165.97N/AN/A400,420466,3403,152,4004,164,840
2012-12-14$12.46$11.7526.9%7.7%17.8%6.1%27.9%4.4%5.8%19.0M-746.1M-6.7M1.128.18N/AN/A394,300441,5203,174,0804,222,420
2012-12-17$12.69$11.7526.4%7.6%17.6%5.7%27.8%4.5%5.7%62.7M-1.26B-6.5M1.297.94N/AN/A329,040423,4803,036,2003,971,040
2012-12-18$13.02$11.7526.5%7.6%18.3%5.8%27.4%3.8%5.4%78.9M-1.71B-6.5M0.926.02N/AN/A1,015,360933,5403,073,7004,046,480
2012-12-19$12.90$11.7526.0%7.5%18.6%5.4%26.9%3.4%5.6%44.1M-1.38B-6.6M0.935.73N/AN/A399,720371,5803,078,2404,279,180
2012-12-20$13.07$12.0026.9%7.7%18.2%6.2%27.7%4.0%5.1%61.4M-1.62B-6.5M1.308.07N/AN/A515,460672,0403,084,6404,242,320
2012-12-21$12.85$12.0026.5%7.6%19.8%5.8%27.1%4.0%5.9%-4.9M-1.17B-6.4M1.147.30N/AN/A693,940792,2803,147,0804,440,800
2012-12-24$12.93$12.0025.7%7.4%19.4%5.1%28.0%3.9%10.5%23.1M-914.5M-6.5M1.307.01N/AN/A234,400305,3402,440,2803,259,620
2012-12-26$12.43$12.0028.4%8.1%24.5%7.4%29.2%4.7%9.4%-4.7M-393.1M-6.4M1.377.71N/AN/A615,520841,2202,537,0003,429,380
2012-12-27$12.42$12.0028.1%8.0%24.0%7.1%29.1%5.3%9.2%-5.2M-378.2M-6.4M1.2810.85N/AN/A767,480979,4602,644,4603,548,680
2012-12-28$12.26$12.0030.8%8.4%23.5%9.4%29.8%5.0%9.1%-43.8M-226.7M-6.5M1.397.72N/AN/A424,000590,2202,773,7203,679,060
2012-12-31$12.54$12.0029.6%8.1%25.0%8.4%29.3%5.2%10.7%13.3M-586.0M-6.6M1.227.33N/AN/A460,700561,3402,532,0203,457,120