AMZN Options History — September 2013 In September 2013, AMZN traded between $14.44 and $15.91. ATM implied volatility averaged 26.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.4% (HV 20d: 19.7%). Max pain ranged from $11.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.94.
Notable Days 2013-09-20 : Highest Volume — 2,207,720 contracts2013-09-23 : Largest IV spike — 26.1% change2013-09-30 : Highest IV Rank — 14.6%2013-09-16 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.24 $14.44 $15.91 $14.44 $15.63 Max Pain $13.61 $11.00 $15.00 $14.00 $13.50 ATM IV 26.0% 21.5% 34.6% 25.0% 34.6% Expected Move 7.9% 6.3% 9.0% 7.2% 8.8% HV 20d 19.7% 17.7% 21.7% 18.2% 20.2% HV 60d 19.3% 18.2% 20.0% 19.9% 19.9% IV Rank 6.6% 2.4% 14.6% 5.7% 14.6% IV Percentile 29.3% 2.0% 73.8% 29.8% 73.8% Term Structure 1.2% -3.6% 9.8% 0.2% -2.9% VWIV 28.2% 22.5% 33.1% 25.7% 33.1% Skew 25d 2.0% 0.9% 2.9% 2.1% 2.9% Skew 10d 4.2% 2.1% 6.0% 4.6% 6.0% Call IV 25d 25.7% 21.0% 34.2% 24.6% 33.6% Put IV 25d 27.7% 22.7% 36.5% 26.7% 36.5% Bid-Ask Spread % 11.58 3.37 26.93 16.50 3.37 Gamma HHI 0.11 0.06 0.34 0.06 0.07 Net GEX 54.8M 21.8M 113.7M 21.8M 33.9M Net DEX -1.20B -2.02B -474.5M -474.5M -1.22B Net VEX -7.9M -8.4M -7.3M -7.9M -8.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.71 1.46 0.85 1.46 Total Volume 889,427 464,940 2,207,720 1,023,700 465,660 Total OI 5,414,010 4,880,880 5,904,940 4,991,440 5,149,380
Daily Data (20 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 2013-09-03 $14.44 $14.00 25.0% 7.2% 18.2% 5.7% 25.7% 2.1% 0.2% 21.8M -474.5M -7.9M 0.85 16.50 N/A N/A 553,900 469,800 2,331,920 2,659,520 2013-09-04 $14.68 $14.00 24.2% 6.9% 19.4% 4.9% 24.7% 2.1% 0.2% 49.9M -798.4M -7.9M 0.76 21.64 N/A N/A 525,160 397,920 2,461,420 2,758,180 2013-09-05 $14.71 $14.00 23.9% 6.8% 18.9% 4.6% 24.7% 1.9% 0.1% 49.8M -818.6M -8.1M 0.71 25.22 N/A N/A 473,240 336,360 2,534,800 2,865,300 2013-09-06 $14.79 $14.25 24.3% 7.0% 19.0% 5.0% 24.6% 1.8% 0.4% 52.1M -980.9M -8.0M 0.77 14.88 N/A N/A 627,440 480,820 2,622,580 2,917,220 2013-09-09 $14.99 $14.25 24.1% 6.9% 19.5% 4.8% 24.5% 1.5% 0.2% 59.1M -1.10B -7.9M 0.74 14.08 N/A N/A 357,300 263,000 2,531,180 2,737,080 2013-09-10 $15.02 $14.25 22.9% 6.6% 19.5% 3.7% 23.8% 1.5% 0.1% 64.4M -1.15B -7.8M 0.78 21.17 N/A N/A 355,760 277,300 2,618,760 2,797,300 2013-09-11 $14.98 $14.25 22.2% 6.4% 19.2% 3.1% 22.6% 1.9% 0.0% 60.4M -1.07B -7.6M 0.86 24.60 N/A N/A 290,240 249,800 2,661,440 2,864,620 2013-09-12 $14.94 $0.00 22.4% 6.4% 18.9% 3.2% 25.3% 2.1% -0.1% 51.2M -982.6M -7.6M 0.91 18.58 N/A N/A 401,620 364,140 2,646,440 2,913,740 2013-09-13 $14.90 $15.00 21.8% 6.3% 17.7% 2.7% 22.5% 1.9% -0.2% 41.0M -879.6M -7.6M 1.06 26.93 N/A N/A 339,340 359,020 2,706,540 2,977,900 2013-09-16 $14.80 $0.00 21.8% 9.0% 17.7% 2.7% 30.9% 2.0% 6.7% 34.5M -760.0M -7.3M 1.12 3.47 N/A N/A 219,280 245,660 2,520,880 2,790,080 2013-09-17 $15.21 $11.00 21.7% 8.9% 19.9% 2.6% 32.4% 1.6% 6.6% 65.3M -1.25B -7.5M 0.72 4.66 N/A N/A 538,620 385,980 2,550,100 2,852,440 2013-09-18 $15.60 $12.50 22.0% 8.8% 21.4% 2.9% 31.7% 1.8% 6.6% 98.6M -1.78B -7.5M 0.73 4.26 N/A N/A 757,460 550,960 2,657,540 2,941,580 2013-09-19 $15.60 $15.00 21.5% 8.8% 20.9% 2.4% 30.6% 1.7% 9.8% 80.2M -1.73B -7.6M 1.19 3.63 N/A N/A 424,300 504,320 2,691,140 3,075,200 2013-09-20 $15.82 $13.00 24.2% 8.7% 20.6% 4.9% 31.4% 0.9% 9.5% 113.7M -2.02B -7.7M 0.75 4.46 N/A N/A 1,260,200 947,520 2,738,280 3,166,660 2013-09-23 $15.57 $13.00 30.6% 8.9% 21.7% 10.9% 31.1% 2.4% -3.5% 37.5M -1.22B -8.0M 1.11 5.33 N/A N/A 434,540 480,800 2,340,400 2,540,480 2013-09-24 $15.71 $13.00 32.1% 8.8% 20.9% 12.3% 32.1% 2.2% -3.6% 47.6M -1.35B -8.1M 0.97 4.15 N/A N/A 470,540 455,980 2,421,960 2,655,680 2013-09-25 $15.63 $13.00 33.4% 8.8% 19.3% 13.5% 30.6% 2.6% -3.4% 25.6M -1.24B -8.3M 1.24 3.94 N/A N/A 346,020 428,740 2,523,940 2,821,020 2013-09-26 $15.91 $13.50 34.1% 8.8% 19.8% 14.1% 29.6% 2.8% -1.0% 68.9M -1.65B -8.3M 1.13 4.36 N/A N/A 455,080 515,520 2,602,900 2,924,780 2013-09-27 $15.80 $13.50 34.0% 8.8% 20.2% 14.1% 31.7% 2.1% -1.4% 41.3M -1.52B -8.4M 1.04 6.28 N/A N/A 382,400 396,800 2,676,260 3,033,560 2013-09-30 $15.63 $13.50 34.6% 8.8% 20.2% 14.6% 33.1% 2.9% -2.9% 33.9M -1.22B -8.3M 1.46 3.37 N/A N/A 189,280 276,380 2,439,280 2,710,100
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