AMZN Options History — February 2015

In February 2015, AMZN traded between $18.18 and $19.25. ATM implied volatility averaged 25.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 25.6% (HV 20d: 50.7%). Max pain ranged from $15.38 to $18.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-02-05: Highest Volume — 2,887,340 contracts
  • 2015-02-03: Largest IV drop — 7.2% change
  • 2015-02-02: Highest IV Rank — 30.6%
  • 2015-02-02: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.78$18.18$19.25$18.22$19.00
Max Pain$17.39$15.38$18.00$15.38$18.00
ATM IV25.1%23.3%28.9%28.9%23.6%
Expected Move7.2%6.6%8.5%8.5%6.6%
HV 20d50.7%48.4%54.1%54.1%49.0%
HV 60d37.1%36.2%37.8%37.8%36.2%
IV Rank17.6%11.4%30.6%30.6%12.2%
IV Percentile25.8%8.7%54.0%54.0%10.7%
Term Structure0.0%-0.7%0.8%0.2%-0.1%
VWIV25.8%23.5%30.5%30.5%23.7%
Skew 25d2.1%0.5%3.5%3.5%0.5%
Skew 10d4.7%1.4%8.0%8.0%1.4%
Call IV 25d24.6%22.8%27.8%27.8%24.0%
Put IV 25d26.8%24.5%31.3%31.3%24.5%
Bid-Ask Spread %9.146.0713.7212.8110.03
Gamma HHI0.080.050.240.070.24
Net GEX69.3M-34.9M105.7M78.4M-34.9M
Net DEX-3.15B-3.91B-2.30B-3.28B-2.33B
Net VEX-17.2M-17.9M-16.6M-16.7M-17.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.601.210.620.98
Total Volume1,515,365.263864,0602,887,3402,515,8601,415,240
Total OI8,508,278.9476,996,4609,389,6008,034,8408,152,640

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$18.22$15.3828.9%8.5%54.1%30.6%30.5%3.5%0.2%78.4M-3.28B-16.7M0.6212.81N/AN/A1,554,140961,7203,592,7004,442,140
2015-02-03$18.18$15.5026.9%7.8%53.2%23.4%28.4%2.7%-0.1%78.0M-3.18B-16.9M1.0310.42N/AN/A781,500802,7403,831,9804,733,980
2015-02-04$18.21$15.5026.7%7.5%51.9%23.0%27.5%1.9%-0.0%68.2M-3.11B-17.3M1.1212.22N/AN/A584,040654,5203,875,8804,911,680
2015-02-05$18.69$17.0026.6%7.6%52.1%22.7%27.3%1.1%-0.7%103.6M-3.85B-17.0M0.858.26N/AN/A1,558,5801,328,7603,963,1805,024,780
2015-02-06$18.70$17.2525.6%7.4%52.2%19.1%26.6%3.1%-0.0%87.6M-3.77B-17.0M1.077.73N/AN/A932,1001,000,6204,126,8405,262,760
2015-02-09$18.54$17.5026.2%7.5%52.2%21.3%27.1%2.6%0.4%52.0M-2.96B-17.6M1.219.27N/AN/A478,560578,4203,684,8804,739,080
2015-02-10$18.65$17.5025.9%7.4%51.1%20.2%26.6%2.8%-0.3%57.3M-3.06B-17.9M1.119.83N/AN/A521,020579,7603,764,2004,856,700
2015-02-11$18.74$17.5025.8%7.4%51.1%19.9%26.7%2.3%0.3%75.1M-3.29B-17.2M1.037.72N/AN/A526,860542,8803,873,4004,990,020
2015-02-12$18.87$17.5025.1%7.2%50.8%17.5%25.8%2.9%0.0%102.0M-3.48B-16.9M1.087.77N/AN/A609,920661,0803,943,3805,079,520
2015-02-13$19.09$17.7524.3%7.0%49.3%14.8%25.0%2.7%-0.1%104.9M-3.91B-17.0M0.8713.72N/AN/A1,035,860900,5404,003,9805,156,780
2015-02-17$18.75$18.0025.2%7.2%50.5%17.7%25.6%2.0%0.2%44.4M-3.00B-17.2M1.067.35N/AN/A674,780713,9803,738,0004,847,620
2015-02-18$18.66$18.0024.1%6.9%50.6%13.9%24.5%2.2%0.0%41.0M-2.84B-17.2M0.937.18N/AN/A542,180506,1803,869,2605,006,240
2015-02-19$18.95$18.0024.1%6.9%50.3%14.0%24.8%2.2%0.1%90.4M-3.36B-16.9M0.736.07N/AN/A784,940575,0803,951,1605,048,980
2015-02-20$19.18$18.0023.3%6.6%49.0%11.4%23.5%1.7%0.8%52.3M-3.84B-16.6M0.606.65N/AN/A1,196,100721,4604,046,6405,147,320
2015-02-23$19.00$18.0023.9%6.7%49.5%13.3%23.5%1.8%-0.2%58.2M-2.41B-16.9M1.1212.81N/AN/A570,220636,3203,093,5203,902,940
2015-02-24$18.93$18.0023.6%6.6%49.3%12.5%23.7%2.0%-0.1%51.9M-2.30B-17.3M1.138.50N/AN/A406,080457,9803,261,2604,150,880
2015-02-25$19.25$18.0023.9%6.8%48.8%13.3%24.3%1.2%-0.0%105.7M-2.91B-17.0M0.798.68N/AN/A986,000779,1603,375,2204,248,600
2015-02-26$19.25$18.0024.0%7.0%48.4%13.7%25.0%1.3%0.1%100.1M-2.88B-17.7M0.986.66N/AN/A623,700608,9203,553,3204,405,840
2015-02-27$19.00$18.0023.6%6.6%49.0%12.2%23.7%0.5%-0.1%-34.9M-2.33B-17.7M0.9810.03N/AN/A714,680700,5603,627,1604,525,480