AMZN Options History — February 2014

In February 2014, AMZN traded between $17.31 and $18.11. ATM implied volatility averaged 26.7%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 25.8% (HV 20d: 52.6%). Max pain ranged from $17.50 to $18.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2014-02-03: Highest Volume — 2,215,320 contracts
  • 2014-02-04: Largest IV drop — 10.5% change
  • 2014-02-03: Highest IV Rank — 55.2%
  • 2014-02-06: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.72$17.31$18.11$17.31$18.11
Max Pain$17.71$17.50$18.00$18.00$17.50
ATM IV26.7%23.8%32.8%32.8%25.2%
Expected Move8.8%8.6%9.0%9.0%8.6%
HV 20d52.6%49.0%54.0%51.3%49.0%
HV 60d34.1%33.7%34.6%34.6%34.0%
IV Rank31.2%19.3%55.2%55.2%25.0%
IV Percentile45.5%14.3%65.1%65.1%35.7%
Term Structure0.1%-1.2%1.0%-1.2%0.3%
VWIV31.1%30.1%32.7%31.7%30.8%
Skew 25d2.6%2.0%3.7%3.0%2.9%
Skew 10d5.7%4.2%7.9%6.6%6.5%
Call IV 25d26.0%23.1%31.7%31.7%24.6%
Put IV 25d28.7%25.6%34.7%34.7%27.4%
Bid-Ask Spread %6.193.7910.5710.574.14
Gamma HHI0.060.040.160.050.16
Net GEX4.4M-46.1M95.4M-40.7M95.4M
Net DEX165.6M-911.8M1.04B1.04B-911.8M
Net VEX-11.9M-12.5M-11.1M-11.1M-12.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.631.201.060.84
Total Volume1,377,732.632881,4002,215,3202,215,3201,664,080
Total OI6,612,385.2635,454,8207,349,3805,922,1206,428,340

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$17.31$18.0032.8%9.0%51.3%55.2%31.7%3.0%-1.2%-40.7M1.04B-11.1M1.0610.57N/AN/A1,076,7401,138,5802,927,6002,994,520
2014-02-04$17.40$18.0029.3%9.0%51.5%41.4%31.7%3.0%-0.6%-29.5M909.2M-11.6M0.769.12N/AN/A745,080566,4003,281,4003,244,080
2014-02-05$17.32$18.0030.2%9.0%51.1%45.1%31.4%3.7%-0.3%-31.4M979.9M-11.7M0.887.91N/AN/A815,380717,0003,417,0803,342,940
2014-02-06$17.73$18.0028.1%9.0%51.9%36.7%31.8%3.1%-0.3%19.8M335.2M-12.1M0.939.12N/AN/A626,800582,5603,585,8803,477,480
2014-02-07$18.05$18.0027.1%8.9%52.6%32.5%31.4%2.7%0.4%21.6M-226.7M-12.4M0.829.59N/AN/A882,780719,9203,641,7203,590,560
2014-02-10$18.04$18.0027.1%8.9%52.6%32.5%32.7%2.8%-0.2%6.7M-68.5M-12.2M0.816.62N/AN/A572,860466,1003,126,7803,224,960
2014-02-11$18.09$18.0027.0%8.9%52.5%32.4%31.5%2.5%-0.4%15.2M-134.4M-12.2M0.835.17N/AN/A491,880408,5803,261,5203,336,720
2014-02-12$17.46$18.0028.8%8.8%53.0%39.5%31.1%3.2%-0.3%-46.1M744.8M-11.8M1.105.78N/AN/A1,018,1801,122,6603,331,3003,428,640
2014-02-13$17.86$17.5025.9%8.7%54.0%28.0%31.8%2.4%0.1%5.2M121.2M-12.2M1.145.38N/AN/A655,060746,5603,513,4803,618,480
2014-02-14$17.87$17.5025.6%8.7%54.0%26.6%31.1%2.2%0.2%-16.8M64.8M-12.1M0.924.84N/AN/A671,400614,5803,589,9603,759,420
2014-02-18$17.68$17.5025.3%8.7%53.7%25.3%30.4%2.0%1.0%-17.6M368.8M-11.5M0.734.64N/AN/A731,800536,0403,237,8803,405,540
2014-02-19$17.37$17.5026.7%8.7%53.1%30.9%30.6%2.5%0.3%-40.2M711.6M-11.5M0.935.04N/AN/A704,940653,9603,463,3403,539,560
2014-02-20$17.49$17.5025.4%8.7%53.4%26.0%30.3%2.2%0.9%-5.5M448.8M-11.5M1.204.27N/AN/A590,360707,0803,519,2803,573,100
2014-02-21$17.34$17.5024.4%8.7%53.3%21.8%31.3%2.5%0.3%-37.1M696.9M-11.2M0.994.12N/AN/A769,160760,2803,575,9603,646,820
2014-02-24$17.59$17.5023.8%8.6%53.1%19.3%30.5%2.5%0.6%8.1M-34.9M-11.4M0.814.96N/AN/A513,480418,4202,673,5602,781,260
2014-02-25$17.92$17.5025.2%8.7%53.7%24.9%30.5%2.3%0.5%49.8M-549.0M-11.9M0.704.11N/AN/A814,300566,8002,826,1202,914,100
2014-02-26$17.99$17.5025.2%8.7%53.0%25.1%30.1%2.5%0.4%64.3M-675.0M-12.4M0.633.79N/AN/A752,120473,6003,031,3403,058,740
2014-02-27$18.01$17.5024.9%8.7%52.4%23.9%30.1%2.1%0.2%62.8M-669.4M-12.4M0.918.37N/AN/A462,240419,1603,119,9403,145,920
2014-02-28$18.11$17.5025.2%8.6%49.0%25.0%30.8%2.9%0.3%95.4M-911.8M-12.5M0.844.14N/AN/A905,700758,3803,201,6003,226,740