AMZN Options History — March 2013

In March 2013, AMZN traded between $12.67 and $13.78. ATM implied volatility averaged 24.4%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.9% (HV 20d: 23.5%). Max pain ranged from $12.75 to $13.25. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-03-14: Highest Volume — 1,877,040 contracts
  • 2013-03-28: Largest IV spike — 63.3% change
  • 2013-03-28: Highest IV Rank — 16.7%
  • 2013-03-28: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.29$12.67$13.78$13.29$13.32
Max Pain$12.93$12.75$13.25$13.25$12.75
ATM IV24.4%18.9%36.8%24.5%36.8%
Expected Move7.1%6.4%10.6%7.2%10.6%
HV 20d23.5%21.5%27.3%25.6%23.2%
HV 60d28.0%27.2%28.8%27.7%27.2%
IV Rank4.9%0.0%16.7%4.6%16.7%
IV Percentile16.7%0.0%80.2%11.5%80.2%
Term Structure6.7%-1.9%9.5%1.0%-1.9%
VWIV25.7%22.9%40.2%25.9%40.2%
Skew 25d3.1%2.5%4.4%3.6%4.4%
Skew 10d6.8%5.3%8.9%7.3%8.9%
Call IV 25d23.8%21.5%35.4%24.0%35.4%
Put IV 25d26.9%24.1%39.8%27.6%39.8%
Bid-Ask Spread %6.574.4914.544.9714.54
Gamma HHI0.090.060.210.060.06
Net GEX12.3M-35.2M64.2M14.4M12.4M
Net DEX-454.9M-989.1M146.6M-456.8M-693.0M
Net VEX-8.4M-8.6M-8.0M-8.6M-8.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.581.470.941.21
Total Volume1,061,044644,8401,877,0401,135,460951,640
Total OI6,152,0805,191,9606,769,4206,255,0406,271,060

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$13.29$13.2524.5%7.2%25.6%4.6%25.9%3.6%1.0%14.4M-456.8M-8.6M0.944.97N/AN/A585,260550,2002,911,6403,343,400
2013-03-04$13.66$13.0027.4%7.3%27.3%7.3%26.5%3.5%6.0%32.6M-815.1M-8.5M0.906.91N/AN/A614,280550,2602,764,5403,130,500
2013-03-05$13.78$13.0028.2%7.3%26.3%8.0%26.5%3.2%5.8%49.0M-989.1M-8.5M0.856.64N/AN/A651,500555,9602,878,8803,270,440
2013-03-06$13.69$13.0024.0%7.1%25.0%4.1%26.0%3.3%5.8%31.3M-823.2M-8.5M0.916.13N/AN/A462,140421,4202,937,2803,358,640
2013-03-07$13.69$13.0023.0%7.0%24.0%3.1%25.5%3.3%6.0%41.8M-866.3M-8.6M0.997.88N/AN/A323,820321,0203,018,1603,414,660
2013-03-08$13.71$13.0021.2%6.7%23.7%1.4%24.3%3.3%6.7%64.2M-842.2M-8.4M0.716.25N/AN/A627,020442,6203,053,4003,466,600
2013-03-11$13.56$13.0021.4%6.6%24.1%1.7%23.8%3.3%7.2%18.3M-648.4M-8.2M0.975.64N/AN/A362,700353,0802,927,6003,264,280
2013-03-12$13.71$13.0022.8%6.8%23.1%3.0%24.4%3.2%7.0%33.2M-831.3M-8.2M0.586.43N/AN/A721,920417,5602,976,3003,341,980
2013-03-13$13.76$13.0018.9%6.7%23.1%0.0%24.4%3.1%7.7%44.7M-892.4M-8.4M0.756.81N/AN/A420,180315,2203,062,6403,410,180
2013-03-14$13.29$13.0023.9%6.9%22.2%4.7%25.1%3.1%7.8%-22.4M-220.6M-8.2M1.017.14N/AN/A932,700944,3403,035,1603,411,420
2013-03-15$13.09$13.0022.8%6.5%22.8%3.6%22.9%2.8%8.4%-35.2M-10.5M-8.1M1.475.51N/AN/A637,280934,1803,221,8003,547,620
2013-03-18$12.89$13.0023.9%6.8%22.8%4.6%24.8%2.9%8.0%-14.1M-35.6M-8.0M1.186.85N/AN/A483,060569,9602,489,2402,702,720
2013-03-19$12.82$13.0026.1%7.5%21.7%6.7%26.2%3.5%7.1%-17.1M5.1M-8.1M1.045.33N/AN/A746,480779,2402,660,9002,890,900
2013-03-20$12.86$12.7525.3%7.3%21.5%6.0%25.7%3.3%7.6%-6.5M-71.7M-8.4M1.114.49N/AN/A377,860418,3802,794,9403,040,860
2013-03-21$12.67$12.7524.5%7.0%22.0%5.2%25.4%2.6%7.7%-23.8M146.6M-8.2M1.116.42N/AN/A517,540574,9002,886,8203,120,180
2013-03-22$12.89$12.7524.2%6.9%23.1%4.9%25.4%2.7%8.1%-3.9M-145.7M-8.6M1.015.79N/AN/A611,840620,6203,000,3003,304,680
2013-03-25$12.80$12.7524.1%6.9%22.0%4.8%24.1%2.7%8.4%-15.3M-24.6M-8.4M1.035.82N/AN/A346,280356,0602,733,2603,141,220
2013-03-26$13.02$12.7522.4%6.4%22.8%3.3%23.0%2.6%9.5%6.0M-285.4M-8.3M1.335.10N/AN/A312,720415,2602,822,2603,237,120
2013-03-27$13.27$12.7522.6%6.5%23.2%3.4%23.4%2.5%9.3%37.0M-598.6M-8.5M0.946.80N/AN/A513,320481,0602,876,8803,321,140
2013-03-28$13.32$0.0036.8%10.6%23.2%16.7%40.2%4.4%-1.9%12.4M-693.0M-8.5M1.2114.54N/AN/A430,700520,9402,889,8003,381,260