AMZN Options History — June 2013

In June 2013, AMZN traded between $13.29 and $14.09. ATM implied volatility averaged 28.4%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.1% (HV 20d: 21.3%). Max pain ranged from $13.25 to $13.75. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-06-07: Highest Volume — 2,406,880 contracts
  • 2013-06-24: Largest IV spike — 25.2% change
  • 2013-06-26: Highest IV Rank — 15.8%
  • 2013-06-24: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$13.29$14.09$13.34$13.88
Max Pain$13.54$13.25$13.75$13.50$13.75
ATM IV28.4%24.1%35.8%25.8%35.6%
Expected Move8.2%6.9%10.8%7.4%10.4%
HV 20d21.3%17.4%23.1%17.8%22.2%
HV 60d27.7%27.5%28.4%27.6%27.5%
IV Rank8.9%4.8%15.8%6.5%15.6%
IV Percentile47.9%15.1%77.0%34.9%75.8%
Term Structure1.4%-4.3%11.1%0.3%-1.9%
VWIV29.4%24.6%39.0%25.8%37.0%
Skew 25d3.3%2.2%4.9%3.2%4.5%
Skew 10d7.1%4.7%9.6%7.3%9.6%
Call IV 25d27.4%23.5%35.9%24.5%34.9%
Put IV 25d30.7%26.0%40.2%27.7%39.4%
Bid-Ask Spread %16.167.2137.6617.1214.46
Gamma HHI0.080.050.140.060.07
Net GEX23.3M-13.0M67.3M5.4M26.0M
Net DEX-647.7M-1.15B-297.8M-361.5M-714.9M
Net VEX-7.9M-8.1M-7.5M-7.9M-7.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.651.371.371.10
Total Volume1,105,991654,3602,406,880835,940893,300
Total OI5,703,4844,843,1606,218,7205,272,3405,619,660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$13.34$13.5025.8%7.4%17.8%6.5%25.8%3.2%0.3%5.4M-361.5M-7.9M1.3717.12N/AN/A353,160482,7802,452,4802,819,860
2013-06-04$13.29$13.5025.9%7.4%17.5%6.5%25.7%3.3%0.4%-876.4K-301.6M-7.9M1.1514.04N/AN/A304,160350,2002,510,3602,949,640
2013-06-05$13.36$13.5026.8%7.7%17.4%7.4%25.4%3.4%0.5%9.4M-420.7M-8.0M0.8716.44N/AN/A712,440618,0202,569,0003,000,040
2013-06-06$13.39$13.5026.4%7.6%17.4%7.0%26.6%3.3%0.2%13.4M-442.2M-8.1M1.0435.38N/AN/A440,740459,7802,703,9203,107,100
2013-06-07$13.84$13.5026.7%7.6%20.7%7.2%27.0%2.2%0.2%46.7M-1.15B-8.1M0.6923.07N/AN/A1,421,080985,8002,746,2203,153,600
2013-06-10$14.05$13.5026.2%7.5%20.8%6.8%26.6%2.9%0.2%54.2M-1.15B-8.1M0.8018.55N/AN/A799,960641,8402,643,0202,980,820
2013-06-11$13.74$13.5025.4%7.3%22.7%6.1%25.8%2.6%0.4%16.5M-679.0M-8.0M1.1815.53N/AN/A492,860581,3602,699,0203,125,300
2013-06-12$13.58$13.5025.9%7.4%22.7%6.5%26.0%2.8%0.5%-13.0M-420.9M-8.0M1.2313.16N/AN/A449,080551,3202,729,8603,212,420
2013-06-13$13.79$0.0025.8%7.4%23.1%6.4%33.6%2.9%0.1%27.6M-777.8M-8.0M0.7918.49N/AN/A535,700423,8602,765,1403,239,020
2013-06-14$13.70$13.5025.9%7.4%22.9%6.5%26.4%2.7%-0.1%24.7M-588.2M-8.0M1.0618.71N/AN/A584,800618,9802,825,6803,310,800
2013-06-17$13.90$13.2525.6%7.3%22.3%6.2%26.3%2.9%6.5%43.2M-892.7M-7.9M0.658.59N/AN/A606,540392,0002,665,7203,099,000
2013-06-18$14.09$13.2525.0%7.2%22.3%5.6%25.3%2.8%7.1%67.3M-1.14B-7.9M0.778.32N/AN/A558,180431,1402,764,4803,204,220
2013-06-19$13.91$13.5024.1%6.9%22.9%4.8%24.6%2.5%7.4%36.8M-864.1M-7.9M1.027.21N/AN/A507,120516,3602,875,0003,292,500
2013-06-20$13.67$13.5027.2%7.8%22.3%7.7%27.8%2.7%10.0%3.1M-476.9M-7.8M1.228.50N/AN/A556,740677,8002,846,9603,283,300
2013-06-21$13.67$13.5027.8%7.3%22.2%8.2%26.6%3.3%11.1%4.5M-452.1M-7.8M1.257.45N/AN/A579,720724,2202,896,9803,321,740
2013-06-24$13.53$13.7534.7%10.8%22.6%14.8%39.0%4.3%-4.0%3.6M-297.8M-7.6M1.1211.90N/AN/A455,000510,5202,357,0402,486,120
2013-06-25$13.60$13.7535.6%10.6%21.5%15.5%37.6%4.3%-4.3%13.8M-388.4M-7.5M1.3437.66N/AN/A417,780560,5402,463,3602,580,300
2013-06-26$13.88$13.7535.8%10.3%22.3%15.8%36.9%4.4%-4.1%40.6M-732.2M-7.8M1.0813.36N/AN/A454,940493,2002,538,0802,757,220
2013-06-27$13.88$13.7535.7%10.3%22.3%15.7%38.7%4.9%-1.6%42.6M-696.9M-7.8M0.7515.19N/AN/A557,820418,9802,598,8402,875,860
2013-06-28$13.88$13.7535.6%10.4%22.2%15.6%37.0%4.5%-1.9%26.0M-714.9M-7.7M1.1014.46N/AN/A425,100468,2002,663,3402,956,320