AMZN Options History — December 2013

In December 2013, AMZN traded between $19.06 and $20.22. ATM implied volatility averaged 27.4%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.0% (HV 20d: 19.4%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2013-12-20: Highest Volume — 2,744,800 contracts
2013-12-30: Largest IV spike — 18.5% change
2013-12-31: Highest IV Rank — 17.2%
2013-12-16: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.57	$19.06	$20.22	$19.61	$19.94
Max Pain	$17.29	$16.00	$18.00	$16.00	$18.00
ATM IV	27.4%	24.2%	37.4%	26.2%	37.4%
Expected Move	9.3%	9.2%	9.4%	9.2%	9.3%
HV 20d	19.4%	16.5%	25.4%	23.9%	18.4%
HV 60d	31.2%	30.7%	31.6%	31.3%	30.8%
IV Rank	8.0%	4.9%	17.2%	6.8%	17.2%
IV Percentile	52.8%	23.0%	89.7%	49.2%	89.7%
Term Structure	2.5%	-5.0%	10.8%	0.7%	-5.0%
VWIV	32.9%	32.0%	34.8%	32.6%	32.5%
Skew 25d	2.1%	0.7%	3.8%	1.7%	3.5%
Skew 10d	4.6%	1.3%	8.0%	3.4%	8.0%
Call IV 25d	26.9%	24.3%	37.8%	26.1%	37.8%
Put IV 25d	29.0%	25.3%	41.2%	27.8%	41.2%
Bid-Ask Spread %	7.27	6.32	8.50	7.44	6.84
Gamma HHI	0.11	0.06	0.22	0.08	0.07
Net GEX	84.9M	11.5M	242.0M	85.4M	50.4M
Net DEX	-3.16B	-4.58B	-2.35B	-3.55B	-2.71B
Net VEX	-9.4M	-9.8M	-8.9M	-9.0M	-9.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.72	1.26	0.88	1.07
Total Volume	1,151,581.905	598,380	2,744,800	1,529,380	598,380
Total OI	6,886,153.333	6,022,680	7,653,600	6,260,500	6,429,800

Daily Data (21 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
2013-12-02	$19.61	$16.00	26.2%	9.2%	23.9%	6.8%	32.6%	1.7%	0.7%	85.4M	-3.55B	-9.0M	0.88	7.44	N/A	N/A	814,320	715,060	2,979,780	3,280,720
2013-12-03	$19.23	$16.50	26.1%	9.2%	25.4%	6.7%	32.5%	1.6%	0.6%	50.7M	-2.92B	-9.7M	0.94	7.10	N/A	N/A	674,440	634,520	3,145,240	3,551,900
2013-12-04	$19.30	$17.00	26.2%	9.2%	25.3%	6.8%	34.4%	1.6%	0.6%	53.4M	-3.03B	-9.8M	0.88	8.15	N/A	N/A	473,380	417,420	3,281,780	3,677,080
2013-12-05	$19.22	$17.00	26.2%	9.3%	25.2%	6.8%	32.0%	1.6%	0.9%	45.5M	-2.95B	-9.8M	0.72	7.50	N/A	N/A	578,820	418,080	3,347,100	3,758,820
2013-12-06	$19.35	$17.00	24.9%	9.3%	20.3%	5.6%	32.3%	1.4%	1.2%	78.5M	-3.27B	-9.7M	1.12	8.46	N/A	N/A	529,020	594,180	3,507,460	3,817,560
2013-12-09	$19.24	$17.00	24.2%	9.3%	20.0%	4.9%	32.4%	1.1%	1.3%	67.4M	-2.92B	-9.4M	0.88	6.85	N/A	N/A	447,280	392,220	3,139,960	3,410,100
2013-12-10	$19.39	$17.00	24.5%	9.2%	19.9%	5.2%	32.6%	0.7%	1.3%	93.4M	-3.18B	-9.5M	0.82	6.63	N/A	N/A	503,740	414,880	3,309,640	3,535,520
2013-12-11	$19.11	$17.50	25.3%	9.3%	19.9%	6.0%	32.2%	1.1%	1.7%	38.0M	-2.68B	-9.7M	1.22	6.46	N/A	N/A	425,120	517,880	3,455,460	3,639,020
2013-12-12	$19.06	$17.50	26.2%	9.3%	19.3%	6.8%	32.4%	1.7%	0.6%	27.1M	-2.59B	-9.8M	1.26	6.63	N/A	N/A	404,460	508,620	3,529,160	3,756,720
2013-12-13	$19.21	$17.50	26.5%	9.4%	16.5%	7.0%	32.0%	1.3%	0.8%	76.8M	-2.83B	-9.6M	0.74	6.46	N/A	N/A	1,011,200	747,320	3,560,620	3,893,140
2013-12-16	$19.45	$17.50	27.2%	9.4%	16.9%	7.8%	34.8%	1.9%	6.3%	96.3M	-3.27B	-9.5M	0.87	6.66	N/A	N/A	516,880	452,020	3,300,540	3,610,320
2013-12-17	$19.38	$17.50	27.9%	9.4%	16.5%	8.4%	32.7%	2.4%	5.9%	92.4M	-3.19B	-9.6M	0.93	7.19	N/A	N/A	327,100	304,960	3,406,880	3,760,280
2013-12-18	$19.80	$17.50	27.5%	9.3%	17.6%	8.0%	32.7%	2.6%	6.1%	161.2M	-3.95B	-9.3M	0.79	8.50	N/A	N/A	878,460	698,140	3,461,080	3,814,420
2013-12-19	$19.76	$17.50	27.2%	9.3%	17.3%	7.7%	33.9%	2.3%	0.0%	180.5M	-3.80B	-9.1M	1.10	8.31	N/A	N/A	521,420	576,100	3,540,640	3,875,700
2013-12-20	$20.11	$17.50	26.5%	9.3%	17.3%	7.1%	33.4%	2.7%	0.4%	242.0M	-4.58B	-8.9M	0.76	7.84	N/A	N/A	1,556,020	1,188,780	3,591,600	4,062,000
2013-12-23	$20.15	$17.50	26.0%	9.3%	17.2%	6.6%	32.9%	2.8%	6.7%	106.5M	-3.33B	-9.0M	1.05	7.18	N/A	N/A	624,380	658,720	2,869,340	3,153,340
2013-12-24	$19.96	$17.50	26.1%	9.3%	17.6%	6.7%	32.1%	2.7%	6.9%	81.6M	-3.03B	-9.5M	1.23	7.99	N/A	N/A	270,560	333,800	3,001,100	3,428,580
2013-12-26	$20.22	$17.50	28.2%	9.3%	17.6%	8.6%	34.5%	2.2%	10.8%	119.4M	-3.49B	-9.2M	1.06	7.58	N/A	N/A	551,840	582,220	3,035,800	3,558,560
2013-12-27	$19.90	$17.50	30.3%	9.3%	18.3%	10.6%	33.7%	2.8%	10.0%	11.5M	-2.80B	-9.3M	1.03	6.64	N/A	N/A	706,260	728,560	3,188,480	3,771,900
2013-12-30	$19.67	$17.50	35.8%	9.3%	17.8%	15.8%	32.4%	3.8%	-5.0%	24.6M	-2.35B	-9.4M	1.26	6.32	N/A	N/A	392,800	493,860	2,791,420	3,380,660
2013-12-31	$19.94	$18.00	37.4%	9.3%	18.4%	17.2%	32.5%	3.5%	-5.0%	50.4M	-2.71B	-9.2M	1.07	6.84	N/A	N/A	288,880	309,500	2,855,520	3,574,280