AMZN Options History — January 2014

In January 2014, AMZN traded between $17.93 and $20.35. ATM implied volatility averaged 36.7%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 16.4% (HV 20d: 20.3%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2014-01-31: Highest Volume — 5,277,100 contracts
2014-01-31: Largest IV drop — 33.3% change
2014-01-30: Highest IV Rank — 100.0%
2014-01-29: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.74	$17.93	$20.35	$19.90	$17.93
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	36.7%	29.3%	44.0%	39.1%	29.3%
Expected Move	9.0%	8.8%	9.2%	9.2%	8.9%
HV 20d	20.3%	16.7%	50.2%	16.8%	50.2%
HV 60d	26.7%	20.0%	33.8%	30.1%	33.8%
IV Rank	21.7%	13.4%	100.0%	18.8%	41.5%
IV Percentile	82.1%	62.3%	100.0%	94.0%	62.3%
Term Structure	-3.6%	-6.0%	-0.2%	-2.3%	-0.2%
VWIV	32.0%	31.0%	33.6%	33.3%	31.0%
Skew 25d	2.9%	0.9%	4.4%	2.9%	1.5%
Skew 10d	6.2%	2.3%	8.8%	8.8%	2.3%
Call IV 25d	35.8%	29.4%	44.8%	38.9%	29.4%
Put IV 25d	38.8%	30.9%	45.7%	41.8%	30.9%
Bid-Ask Spread %	9.05	7.21	12.02	8.30	7.89
Gamma HHI	0.12	0.04	0.63	0.08	0.04
Net GEX	28.4M	-291.3M	197.0M	54.5M	-34.2M
Net DEX	-1.86B	-2.98B	1.36B	-2.71B	1.36B
Net VEX	-10.3M	-12.3M	-9.0M	-9.0M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.55	1.54	0.87	1.10
Total Volume	1,488,818.095	634,500	5,277,100	799,620	5,277,100
Total OI	6,208,609.524	4,401,400	7,800,280	6,537,900	6,988,200

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
2014-01-02	$19.90	$18.00	39.1%	9.2%	16.8%	18.8%	33.3%	2.9%	-2.3%	54.5M	-2.71B	-9.0M	0.87	8.30	N/A	N/A	428,640	370,980	2,909,360	3,628,540
2014-01-03	$19.82	$18.00	38.2%	9.1%	16.9%	18.0%	33.6%	3.8%	-1.8%	48.5M	-2.57B	-9.5M	0.99	7.50	N/A	N/A	753,900	744,540	3,006,140	3,727,460
2014-01-06	$19.68	$18.00	37.5%	9.1%	17.1%	17.4%	32.0%	3.1%	-3.5%	20.0M	-2.32B	-9.2M	1.26	7.50	N/A	N/A	419,380	527,200	2,775,020	3,471,020
2014-01-07	$19.90	$18.00	35.9%	8.9%	17.4%	15.8%	32.1%	3.6%	-4.0%	51.3M	-2.70B	-9.0M	1.02	7.66	N/A	N/A	313,760	320,740	2,851,500	3,601,800
2014-01-08	$20.10	$18.00	36.3%	8.9%	17.4%	16.3%	31.9%	4.4%	-4.2%	73.9M	-2.96B	-9.0M	0.70	8.83	N/A	N/A	648,740	451,880	2,937,460	3,681,340
2014-01-09	$20.05	$18.00	37.1%	8.9%	17.4%	17.0%	31.4%	3.4%	-4.7%	94.4M	-2.98B	-9.3M	1.01	8.48	N/A	N/A	572,120	577,220	3,116,260	3,813,800
2014-01-10	$19.88	$18.00	36.0%	8.8%	16.7%	16.0%	31.5%	4.0%	-4.6%	23.9M	-2.63B	-9.5M	1.26	9.75	N/A	N/A	597,100	750,820	3,199,540	3,966,380
2014-01-13	$19.55	$18.00	38.4%	9.1%	18.0%	18.2%	32.1%	3.7%	-5.1%	19.7M	-2.11B	-9.3M	0.87	7.21	N/A	N/A	627,400	543,180	2,998,840	3,674,860
2014-01-14	$19.88	$18.00	37.8%	9.1%	18.7%	17.6%	31.0%	4.2%	-5.5%	57.8M	-2.72B	-10.3M	1.02	9.32	N/A	N/A	511,480	523,340	3,187,000	3,821,380
2014-01-15	$19.79	$18.00	37.9%	9.0%	18.3%	17.7%	32.1%	3.7%	-6.0%	56.6M	-2.54B	-10.3M	1.16	8.48	N/A	N/A	464,640	538,580	3,206,320	3,831,460
2014-01-16	$19.79	$18.00	35.0%	9.0%	18.3%	15.0%	31.6%	3.7%	-3.1%	41.2M	-2.46B	-10.7M	0.98	10.02	N/A	N/A	747,660	731,380	3,365,420	4,057,580
2014-01-17	$19.98	$18.00	35.1%	9.0%	17.0%	15.1%	31.7%	3.3%	-3.4%	197.0M	-2.94B	-10.5M	0.84	10.69	N/A	N/A	1,160,420	973,220	3,538,540	4,261,740
2014-01-21	$20.35	$18.00	34.7%	9.0%	18.1%	14.8%	31.9%	2.8%	-3.7%	55.8M	-1.67B	-10.4M	0.93	7.45	N/A	N/A	670,300	620,540	2,083,200	2,318,200
2014-01-22	$20.23	$18.00	33.3%	9.0%	17.3%	13.4%	31.7%	2.7%	-3.7%	58.2M	-1.55B	-10.6M	1.54	8.24	N/A	N/A	357,880	552,920	2,271,480	2,557,520
2014-01-23	$19.99	$18.00	34.1%	9.0%	17.8%	14.2%	31.8%	2.6%	-1.0%	-12.9M	-1.16B	-10.8M	0.84	10.01	N/A	N/A	682,460	574,180	2,334,480	2,802,000
2014-01-24	$19.38	$18.00	35.8%	9.1%	20.7%	15.7%	32.3%	2.2%	-1.7%	-291.3M	-107.6M	-11.1M	1.20	11.90	N/A	N/A	859,260	1,030,460	2,432,980	2,937,440
2014-01-27	$19.31	$18.00	37.2%	9.1%	20.0%	17.0%	31.7%	1.8%	-4.3%	2.8M	-649.1M	-11.2M	0.77	11.49	N/A	N/A	610,660	468,240	2,241,220	2,558,360
2014-01-28	$19.72	$18.00	37.2%	9.1%	20.9%	17.1%	32.5%	1.7%	-4.8%	21.0M	-1.10B	-11.8M	0.55	7.63	N/A	N/A	440,700	242,440	2,453,860	2,719,700
2014-01-29	$19.21	$18.00	40.4%	9.2%	22.5%	20.0%	32.2%	1.5%	-5.3%	8.9M	-653.1M	-11.6M	0.61	9.78	N/A	N/A	694,980	424,280	2,548,700	2,755,520
2014-01-30	$20.15	$18.00	44.0%	9.1%	28.1%	100.0%	32.0%	0.9%	-2.8%	49.7M	-1.79B	-12.3M	0.58	12.02	N/A	N/A	2,193,760	1,266,700	2,849,660	2,899,520
2014-01-31	$17.93	$18.00	29.3%	8.9%	50.2%	41.5%	31.0%	1.5%	-0.2%	-34.2M	1.36B	-10.4M	1.10	7.89	N/A	N/A	2,517,500	2,759,600	3,635,400	3,352,800