AMZN Options History — February 2013

In February 2013, AMZN traded between $12.86 and $13.49. ATM implied volatility averaged 27.7%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 5.4% (HV 20d: 33.0%). Max pain ranged from $13.25 to $13.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2013-02-01: Highest Volume — 2,206,580 contracts
  • 2013-02-25: Largest IV spike — 40.2% change
  • 2013-02-25: Highest IV Rank — 14.5%
  • 2013-02-25: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.86$13.49$13.25$13.21
Max Pain$13.33$13.25$13.50$13.50$13.25
ATM IV27.7%24.9%35.1%27.6%25.8%
Expected Move7.7%7.1%8.8%7.6%7.4%
HV 20d33.0%27.2%36.2%31.9%27.2%
HV 60d27.3%26.7%27.9%26.7%27.7%
IV Rank7.5%4.9%14.5%6.8%5.8%
IV Percentile37.8%15.1%75.4%40.5%22.2%
Term Structure0.4%-1.6%1.6%0.1%0.7%
VWIV27.5%25.2%30.9%27.1%26.8%
Skew 25d3.0%1.7%4.1%3.5%4.1%
Skew 10d6.6%4.6%10.4%6.9%10.4%
Call IV 25d26.0%24.2%29.4%25.4%24.7%
Put IV 25d29.0%26.7%33.2%28.9%28.8%
Bid-Ask Spread %6.935.449.597.995.81
Gamma HHI0.140.060.690.690.06
Net GEX-36.0M-349.6M28.4M-349.6M-2.7M
Net DEX-167.2M-654.1M200.2M136.9M-292.4M
Net VEX-8.4M-8.7M-8.0M-8.7M-8.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.771.551.551.16
Total Volume1,300,816.842691,9802,206,5802,206,580912,360
Total OI6,271,996.8424,837,7408,028,5008,028,5006,020,580

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$13.25$13.5027.6%7.6%31.9%6.8%27.1%3.5%0.1%-349.6M136.9M-8.7M1.557.99N/AN/A864,4801,342,1003,702,5204,325,980
2013-02-04$13.00$13.5031.5%7.8%32.7%11.1%27.9%2.9%0.1%-30.2M161.0M-8.4M1.519.01N/AN/A489,060737,0602,848,8803,449,400
2013-02-05$13.34$13.5031.4%8.0%31.5%11.0%28.3%3.2%0.4%2.6M-337.4M-8.7M0.779.59N/AN/A604,380462,3602,957,0803,533,680
2013-02-06$13.11$13.5027.5%7.9%32.0%7.4%27.8%2.6%0.4%-17.9M-25.8M-8.4M1.197.45N/AN/A411,760487,9403,011,8803,584,640
2013-02-07$13.01$13.5027.2%7.8%32.1%7.1%27.6%3.2%0.6%-31.1M120.0M-8.3M1.176.63N/AN/A753,060877,4203,058,8003,637,560
2013-02-08$13.10$13.5027.6%7.9%32.2%7.5%28.0%3.1%0.4%-7.6M-103.9M-8.4M1.076.32N/AN/A725,320777,4003,165,2403,684,760
2013-02-11$12.86$13.2528.0%8.0%32.6%7.9%28.5%2.9%0.5%-27.2M200.2M-8.1M1.275.44N/AN/A488,840620,9802,999,1603,442,280
2013-02-12$12.94$13.2526.1%7.5%31.9%6.0%26.9%2.3%1.1%-23.7M123.5M-8.1M1.016.31N/AN/A344,520347,4603,156,6203,557,320
2013-02-13$13.47$13.2526.3%7.5%35.4%6.2%27.4%1.7%0.8%28.4M-654.1M-8.4M0.877.06N/AN/A1,104,000955,2803,189,3203,608,280
2013-02-14$13.46$13.2525.4%7.3%35.2%5.4%26.5%2.2%1.2%28.4M-606.1M-8.3M0.826.08N/AN/A662,240543,1603,233,6803,742,860
2013-02-15$13.25$13.2524.9%7.1%35.5%4.9%25.2%2.6%1.6%-146.8M-238.3M-8.2M1.075.76N/AN/A823,300879,3003,273,5403,774,260
2013-02-19$13.49$13.2525.8%7.4%36.1%5.7%26.5%3.1%0.4%11.4M-499.6M-8.0M1.026.47N/AN/A508,980518,6402,200,7402,637,000
2013-02-20$13.32$13.2527.2%7.8%36.2%7.1%27.8%2.4%-0.2%2.7M-361.8M-8.2M0.976.82N/AN/A828,080804,7802,388,5002,838,800
2013-02-21$13.30$13.2526.7%7.7%36.1%6.6%27.4%3.1%0.2%-18.9M-250.9M-8.5M1.457.47N/AN/A479,780697,3002,519,6803,018,400
2013-02-22$13.27$13.2525.0%7.3%35.3%5.0%26.1%3.5%0.9%-60.6M-283.3M-8.4M1.197.06N/AN/A608,360726,4402,603,0803,083,660
2013-02-25$12.99$13.2535.1%8.8%32.8%14.5%30.9%3.8%-1.6%-14.6M-40.8M-8.4M1.056.57N/AN/A561,800589,0402,429,6202,921,080
2013-02-26$12.97$13.2529.4%8.0%31.6%9.2%28.6%2.9%0.2%-23.9M14.7M-8.4M0.967.47N/AN/A573,380552,5202,625,6803,086,360
2013-02-27$13.16$13.2527.1%7.7%29.1%7.0%27.6%3.7%0.1%-3.4M-237.7M-8.4M0.866.35N/AN/A566,260486,3802,722,9403,134,080
2013-02-28$13.21$13.2525.8%7.4%27.2%5.8%26.8%4.1%0.7%-2.7M-292.4M-8.6M1.165.81N/AN/A421,920490,4402,798,0203,222,560