AMZN Options History — August 2013 In August 2013, AMZN traded between $14.05 and $15.28. ATM implied volatility averaged 23.5%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.2% (HV 20d: 18.2%). Max pain ranged from $14.25 to $15.25. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2013-08-01 : Highest Volume — 1,231,600 contracts2013-08-15 : Largest IV spike — 9.8% change2013-08-27 : Highest IV Rank — 6.2%2013-08-27 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $14.56 $14.05 $15.28 $15.28 $14.05 Max Pain $14.81 $14.25 $15.25 $15.25 $14.50 ATM IV 23.5% 21.8% 25.6% 24.1% 25.0% Expected Move 6.7% 6.2% 7.4% 6.9% 7.1% HV 20d 18.2% 14.5% 22.3% 21.6% 14.7% HV 60d 20.1% 19.4% 20.5% 20.2% 20.3% IV Rank 4.3% 2.7% 6.2% 4.8% 5.7% IV Percentile 12.5% 3.2% 33.7% 14.7% 29.8% Term Structure 0.3% -0.4% 1.2% -0.4% 0.4% VWIV 23.7% 22.0% 25.4% 24.7% 25.3% Skew 25d 2.3% 1.8% 3.2% 2.2% 2.5% Skew 10d 4.5% 3.2% 6.1% 4.5% 5.2% Call IV 25d 22.7% 21.4% 24.6% 23.6% 24.2% Put IV 25d 25.0% 23.2% 27.8% 25.8% 26.6% Bid-Ask Spread % 16.15 5.65 57.47 11.50 18.88 Gamma HHI 0.12 0.06 0.59 0.09 0.14 Net GEX 1.9M -145.8M 174.8M 32.3M -28.9M Net DEX -398.6M -1.13B 70.1M -1.13B -3.0M Net VEX -8.0M -8.7M -7.5M -8.7M -8.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.68 1.25 0.84 1.09 Total Volume 796,441.818 411,960 1,231,600 1,231,600 716,500 Total OI 5,515,272.727 4,528,300 6,332,480 6,160,520 5,352,740
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2013-08-01 $15.28 $15.25 24.1% 6.9% 21.6% 4.8% 24.7% 2.2% -0.4% 32.3M -1.13B -8.7M 0.84 11.50 N/A N/A 670,380 561,220 2,889,360 3,271,160 2013-08-02 $15.21 $15.25 22.4% 6.4% 21.8% 3.2% 23.2% 1.8% -0.2% 39.9M -1.07B -8.5M 0.75 16.58 N/A N/A 584,340 438,380 2,985,180 3,347,300 2013-08-05 $15.05 $15.00 23.1% 6.6% 21.7% 3.9% 23.3% 1.9% -0.2% 18.2M -868.4M -8.3M 0.72 19.99 N/A N/A 434,300 314,280 2,632,820 2,962,580 2013-08-06 $15.04 $15.00 23.2% 6.7% 21.7% 4.0% 23.4% 2.1% 0.0% 28.2M -881.2M -8.4M 0.88 15.66 N/A N/A 364,040 320,020 2,734,940 3,045,300 2013-08-07 $14.85 $15.00 23.4% 6.7% 22.3% 4.2% 24.0% 2.4% -0.1% -4.6M -582.0M -8.4M 0.84 16.53 N/A N/A 376,700 317,500 2,796,820 3,117,420 2013-08-08 $14.79 $15.00 23.0% 6.6% 20.4% 3.8% 23.4% 1.8% 0.1% -14.2M -502.9M -8.2M 0.72 18.79 N/A N/A 496,880 359,820 2,875,400 3,156,160 2013-08-09 $14.86 $15.00 22.7% 6.5% 18.0% 3.5% 22.6% 1.9% 0.2% 15.6M -661.2M -8.3M 0.95 16.85 N/A N/A 510,180 485,880 2,900,180 3,192,060 2013-08-12 $14.83 $15.00 22.8% 6.5% 18.0% 3.6% 23.1% 1.8% 0.0% 9.9M -651.9M -7.9M 0.68 14.56 N/A N/A 315,460 213,200 2,659,720 2,993,640 2013-08-13 $14.70 $15.00 21.8% 6.2% 18.2% 2.7% 22.0% 1.8% 0.3% -6.2M -456.0M -7.8M 0.77 12.37 N/A N/A 556,680 426,700 2,743,220 3,039,400 2013-08-14 $14.57 $15.00 22.2% 6.4% 18.1% 3.1% 22.2% 2.1% 0.2% -14.5M -303.6M -7.8M 0.91 14.43 N/A N/A 384,600 351,280 2,837,960 3,090,780 2013-08-15 $14.32 $0.00 24.4% 7.0% 18.3% 5.1% 24.6% 2.3% -0.0% -39.7M -13.2M -7.6M 0.98 13.54 N/A N/A 532,580 522,260 2,761,000 3,052,040 2013-08-16 $14.24 $14.25 23.6% 6.7% 18.1% 4.3% 23.5% 2.3% 0.1% -145.8M 70.1M -7.5M 1.25 16.83 N/A N/A 464,080 579,880 2,823,360 3,075,960 2013-08-19 $14.28 $14.75 23.4% 6.7% 18.2% 4.2% 23.7% 2.0% 0.9% -6.7M -152.1M -7.5M 0.74 5.98 N/A N/A 596,700 441,180 2,109,220 2,419,080 2013-08-20 $14.35 $14.75 22.9% 6.6% 18.3% 3.7% 22.9% 2.4% 1.2% 5.6M -238.5M -7.7M 0.79 5.65 N/A N/A 274,100 216,900 2,328,820 2,540,980 2013-08-21 $14.23 $14.75 23.2% 6.7% 18.4% 4.0% 23.4% 2.6% 1.0% -11.8M -99.9M -7.6M 0.75 6.17 N/A N/A 483,260 364,520 2,375,220 2,583,980 2013-08-22 $14.49 $14.75 23.3% 6.7% 18.8% 4.0% 23.5% 2.4% 0.7% 27.5M -429.6M -7.9M 0.99 6.60 N/A N/A 237,020 233,900 2,424,460 2,679,900 2013-08-23 $14.50 $14.75 22.9% 6.5% 15.2% 3.7% 22.9% 2.4% 0.5% 174.8M -447.3M -7.9M 0.87 57.47 N/A N/A 464,080 401,680 2,455,240 2,718,720 2013-08-26 $14.31 $14.50 23.9% 6.9% 14.5% 4.6% 24.2% 2.5% 0.4% 3.8M -222.1M -7.8M 0.82 15.67 N/A N/A 348,480 285,460 2,273,820 2,569,240 2013-08-27 $14.05 $14.50 25.6% 7.4% 15.2% 6.2% 25.4% 3.2% 0.0% -19.4M 46.7M -7.9M 1.07 15.84 N/A N/A 412,600 440,760 2,383,880 2,676,180 2013-08-28 $14.08 $14.50 25.1% 7.2% 15.3% 5.8% 25.3% 2.8% 0.3% -19.5M 2.1M -7.9M 0.95 16.52 N/A N/A 211,340 200,620 2,443,420 2,753,560 2013-08-29 $14.20 $14.50 24.4% 7.0% 14.5% 5.1% 24.2% 2.7% 0.5% -3.2M -166.5M -8.0M 0.92 18.84 N/A N/A 318,100 293,880 2,490,540 2,773,240 2013-08-30 $14.05 $14.50 25.0% 7.1% 14.7% 5.7% 25.3% 2.5% 0.4% -28.9M -3.0M -8.0M 1.09 18.88 N/A N/A 343,260 373,240 2,526,820 2,825,920
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