AMZN Options History — October 2013 In October 2013, AMZN traded between $14.91 and $18.20. ATM implied volatility averaged 34.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.5% (HV 20d: 30.8%). Max pain ranged from $13.50 to $15.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.98.
Notable Days 2013-10-25 : Highest Volume — 7,038,620 contracts2013-10-25 : Largest IV drop — 32.8% change2013-10-08 : Highest IV Rank — 21.3%2013-10-08 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.30 $14.91 $18.20 $16.05 $18.20 Max Pain $13.74 $13.50 $15.00 $13.50 $15.00 ATM IV 34.3% 24.9% 41.7% 34.9% 25.4% Expected Move 9.0% 8.7% 9.3% 8.8% 8.9% HV 20d 30.8% 19.7% 45.5% 20.1% 44.1% HV 60d 23.9% 20.3% 30.4% 20.3% 30.2% IV Rank 14.4% 5.6% 21.3% 14.9% 6.0% IV Percentile 71.2% 28.6% 96.8% 75.4% 33.7% Term Structure -2.6% -5.7% 1.6% -3.5% 1.4% VWIV 31.9% 30.2% 37.6% 32.5% 30.6% Skew 25d 3.0% 1.2% 5.3% 2.0% 1.6% Skew 10d 6.3% 3.4% 12.4% 5.2% 3.4% Call IV 25d 33.5% 24.8% 40.7% 34.3% 24.9% Put IV 25d 36.4% 25.9% 45.8% 36.3% 26.6% Bid-Ask Spread % 6.27 3.18 7.95 5.98 3.18 Gamma HHI 0.10 0.05 0.33 0.10 0.14 Net GEX 47.8M -12.0M 103.6M 68.8M 98.2M Net DEX -1.69B -3.94B -287.8M -1.72B -3.04B Net VEX -8.5M -9.1M -7.6M -8.2M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.61 1.72 0.89 1.18 Total Volume 1,307,358.261 411,800 7,038,620 753,960 1,064,860 Total OI 5,907,530.435 4,987,600 6,966,100 5,325,700 6,596,600
Daily Data (23 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 2013-10-01 $16.05 $13.50 34.9% 8.8% 20.1% 14.9% 32.5% 2.0% -3.5% 68.8M -1.72B -8.2M 0.89 5.98 N/A N/A 398,640 355,320 2,538,220 2,787,480 2013-10-02 $16.03 $13.50 35.3% 8.9% 19.7% 15.3% 30.3% 2.5% -3.5% 64.1M -1.68B -8.4M 0.82 4.69 N/A N/A 371,600 304,500 2,628,640 2,914,760 2013-10-03 $15.74 $13.50 35.8% 9.1% 21.3% 15.7% 32.5% 3.1% -3.6% 29.4M -1.31B -8.5M 1.02 5.27 N/A N/A 412,260 420,040 2,700,460 2,990,100 2013-10-04 $15.95 $13.50 35.4% 9.1% 21.6% 15.4% 32.4% 2.8% -3.7% 80.2M -1.61B -8.5M 0.97 7.22 N/A N/A 327,840 316,840 2,743,200 3,037,540 2013-10-07 $15.50 $13.50 37.7% 9.2% 24.1% 17.6% 33.3% 2.9% -3.9% 22.7M -1.00B -8.4M 0.99 3.95 N/A N/A 336,280 331,620 2,578,080 2,888,600 2013-10-08 $15.16 $13.50 41.7% 9.3% 25.6% 21.3% 33.7% 4.3% -5.7% 5.2M -615.3M -8.6M 1.21 7.93 N/A N/A 615,380 743,300 2,694,340 2,988,040 2013-10-09 $14.91 $13.50 41.6% 9.2% 26.3% 21.2% 33.4% 5.3% -5.1% -12.0M -287.8M -8.7M 1.72 4.07 N/A N/A 390,940 672,740 2,829,340 3,144,140 2013-10-10 $15.26 $13.50 37.0% 9.2% 27.5% 16.8% 37.6% 4.8% -2.0% 14.2M -767.7M -8.7M 0.81 7.06 N/A N/A 487,740 392,760 2,895,040 3,303,040 2013-10-11 $15.54 $13.50 36.1% 9.2% 28.1% 16.1% 32.5% 4.0% -2.6% 54.9M -1.27B -8.7M 0.90 4.20 N/A N/A 509,920 461,220 2,958,440 3,373,300 2013-10-14 $15.54 $13.50 35.8% 9.2% 28.0% 15.8% 30.4% 3.7% -3.6% 33.8M -1.17B -8.6M 1.03 7.30 N/A N/A 202,500 209,300 2,752,720 3,110,220 2013-10-15 $15.32 $14.00 35.9% 9.1% 27.0% 15.9% 31.0% 4.1% -3.7% 14.4M -875.9M -8.6M 1.00 3.47 N/A N/A 294,980 295,100 2,795,520 3,148,860 2013-10-16 $15.52 $13.50 34.2% 9.0% 25.8% 14.2% 30.2% 3.3% -3.4% 37.3M -1.20B -8.5M 0.87 7.18 N/A N/A 279,940 242,560 2,860,360 3,248,500 2013-10-17 $15.54 $13.50 32.9% 9.0% 25.8% 13.1% 31.9% 3.1% -0.5% 38.6M -1.18B -8.1M 0.89 7.95 N/A N/A 386,700 344,140 2,809,800 3,202,780 2013-10-18 $16.45 $13.50 34.9% 8.9% 32.5% 15.0% 31.5% 2.4% -1.8% 103.6M -2.39B -8.1M 0.61 7.68 N/A N/A 1,727,740 1,049,860 2,884,000 3,296,140 2013-10-21 $16.32 $13.50 35.7% 8.9% 32.1% 15.7% 30.3% 2.6% -4.1% 39.7M -1.50B -8.6M 0.89 6.95 N/A N/A 431,940 386,380 2,392,920 2,594,680 2013-10-22 $16.63 $13.50 36.2% 9.0% 32.5% 16.1% 33.7% 2.2% -4.8% 48.1M -1.80B -8.6M 0.61 7.44 N/A N/A 693,560 425,440 2,513,620 2,736,760 2013-10-23 $16.34 $13.50 38.4% 9.0% 33.2% 18.2% 30.8% 2.7% -5.3% 37.5M -1.49B -9.0M 0.85 7.78 N/A N/A 597,500 507,600 2,648,180 2,887,040 2013-10-24 $16.61 $13.50 40.6% 9.0% 33.2% 20.3% 31.7% 3.6% -2.5% 44.2M -1.75B -9.1M 0.91 6.70 N/A N/A 1,483,560 1,346,420 2,781,960 3,025,620 2013-10-25 $18.17 $13.50 27.3% 8.8% 45.2% 7.8% 30.2% 1.9% -0.8% 68.9M -3.94B -7.6M 0.96 7.31 N/A N/A 3,597,540 3,441,080 3,278,720 3,687,380 2013-10-28 $17.91 $14.00 25.5% 8.7% 45.5% 6.2% 31.1% 2.0% 1.2% 56.8M -2.60B -8.4M 1.25 6.25 N/A N/A 591,460 736,900 2,716,520 3,172,640 2013-10-29 $18.14 $15.00 25.8% 8.9% 44.9% 6.4% 30.7% 1.9% 1.1% 69.4M -2.84B -8.6M 0.85 7.36 N/A N/A 523,040 444,540 2,857,220 3,398,760 2013-10-30 $18.05 $15.00 24.9% 8.8% 45.0% 5.6% 32.1% 1.2% 1.6% 81.1M -2.83B -8.8M 1.37 7.36 N/A N/A 385,680 529,980 2,997,320 3,485,600 2013-10-31 $18.20 $15.00 25.4% 8.9% 44.1% 6.0% 30.6% 1.6% 1.4% 98.2M -3.04B -8.8M 1.18 3.18 N/A N/A 488,780 576,080 3,015,680 3,580,920
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