AMZN Options History — March 2014 In March 2014, AMZN traded between $16.82 and $18.94. ATM implied volatility averaged 28.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.0% (HV 20d: 19.9%). Max pain ranged from $17.50 to $18.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2014-03-13 : Highest Volume — 2,963,940 contracts2014-03-24 : Largest IV spike — 31.2% change2014-03-27 : Highest IV Rank — 82.2%2014-03-27 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $18.13 $16.82 $18.94 $17.99 $16.82 Max Pain $17.93 $17.50 $18.00 $17.50 $18.00 ATM IV 28.0% 22.9% 40.0% 26.5% 39.4% Expected Move 8.7% 8.5% 8.8% 8.7% 8.8% HV 20d 19.9% 14.5% 26.1% 26.1% 21.5% HV 60d 34.1% 33.7% 34.7% 33.8% 34.5% IV Rank 32.7% 6.5% 82.2% 30.1% 79.6% IV Percentile 41.0% 6.7% 96.4% 53.2% 95.2% Term Structure 2.3% -2.4% 12.5% 0.1% -1.4% VWIV 30.7% 29.6% 31.7% 30.6% 30.6% Skew 25d 2.4% 1.4% 5.5% 2.5% 1.8% Skew 10d 5.0% 0.2% 8.1% 5.6% 0.2% Call IV 25d 27.5% 22.3% 39.4% 25.8% 37.8% Put IV 25d 29.8% 24.3% 43.1% 28.3% 39.6% Bid-Ask Spread % 4.49 3.45 9.62 4.87 4.46 Gamma HHI 0.07 0.05 0.16 0.05 0.07 Net GEX 32.8M -58.4M 107.0M 34.0M -33.6M Net DEX -597.2M -1.59B 995.1M -546.1M 704.2M Net VEX -12.5M -13.3M -11.8M -12.4M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.68 1.27 1.02 0.91 Total Volume 1,280,734.286 672,900 2,963,940 817,520 1,057,400 Total OI 6,478,598.095 5,637,200 7,167,240 5,902,280 6,083,920
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 2014-03-03 $17.99 $17.50 26.5% 8.7% 26.1% 30.1% 30.6% 2.5% 0.1% 34.0M -546.1M -12.4M 1.02 4.87 N/A N/A 405,180 412,340 2,906,340 2,995,940 2014-03-04 $18.20 $17.50 24.1% 8.7% 22.6% 20.7% 30.6% 2.4% 0.3% 66.0M -862.2M -12.3M 1.20 3.66 N/A N/A 384,180 460,080 2,996,780 3,105,100 2014-03-05 $18.62 $17.50 24.6% 8.6% 23.8% 22.8% 30.2% 1.8% 0.2% 105.8M -1.53B -12.6M 0.70 4.90 N/A N/A 977,620 685,720 3,056,060 3,252,820 2014-03-06 $18.61 $18.00 24.2% 8.6% 23.6% 21.1% 30.2% 1.8% 0.4% 107.0M -1.45B -12.7M 0.68 3.59 N/A N/A 767,300 521,640 3,152,900 3,453,260 2014-03-07 $18.60 $18.00 23.1% 8.6% 22.5% 16.8% 30.5% 1.9% 0.6% 92.3M -1.41B -12.8M 0.80 9.62 N/A N/A 681,000 544,080 3,247,500 3,557,140 2014-03-10 $18.53 $18.00 23.9% 8.6% 21.8% 19.7% 29.6% 1.9% -0.5% 54.7M -1.07B -12.5M 0.99 3.81 N/A N/A 337,800 335,100 2,932,560 3,204,820 2014-03-11 $18.44 $18.00 24.3% 8.5% 21.9% 21.3% 30.3% 1.6% -1.1% 52.0M -965.6M -12.5M 0.81 4.12 N/A N/A 400,280 322,640 3,029,860 3,309,380 2014-03-12 $18.53 $18.00 23.9% 8.6% 21.9% 20.0% 31.7% 2.6% -0.7% 67.7M -1.11B -12.6M 0.94 3.88 N/A N/A 385,540 362,620 3,132,720 3,399,360 2014-03-13 $18.58 $18.00 25.3% 8.6% 17.2% 25.6% 30.2% 2.5% -0.7% 81.6M -1.20B -12.8M 0.76 4.36 N/A N/A 1,682,240 1,281,700 3,146,180 3,456,640 2014-03-14 $18.69 $18.00 24.4% 8.7% 15.7% 13.1% 31.5% 2.2% -1.1% 72.8M -1.28B -13.3M 0.82 3.70 N/A N/A 1,089,480 895,260 3,452,080 3,690,780 2014-03-17 $18.75 $18.00 23.4% 8.6% 15.6% 8.4% 30.3% 2.1% 10.7% 75.4M -1.28B -12.9M 1.19 3.81 N/A N/A 398,980 474,760 3,162,180 3,353,280 2014-03-18 $18.94 $18.00 22.9% 8.6% 15.1% 6.5% 31.3% 2.1% 12.5% 102.2M -1.59B -12.8M 0.80 3.87 N/A N/A 437,940 350,460 3,223,200 3,533,380 2014-03-19 $18.66 $18.00 23.0% 8.7% 14.5% 6.9% 30.1% 1.6% 12.1% 57.8M -1.13B -12.8M 0.72 4.21 N/A N/A 514,480 371,980 3,296,220 3,649,580 2014-03-20 $18.45 $18.00 23.1% 8.7% 15.4% 7.3% 30.4% 1.6% 12.2% 5.9M -709.0M -12.7M 0.95 3.45 N/A N/A 536,180 507,820 3,326,020 3,632,280 2014-03-21 $18.03 $18.00 25.6% 8.7% 17.5% 18.1% 30.3% 1.8% 12.0% -58.4M 67.5M -12.2M 1.27 4.21 N/A N/A 902,140 1,150,180 3,412,240 3,755,000 2014-03-24 $17.59 $18.00 33.5% 8.8% 19.2% 53.6% 31.3% 3.3% -0.9% -29.0M 226.5M -12.0M 1.00 4.34 N/A N/A 676,560 674,640 2,781,000 2,856,200 2014-03-25 $17.74 $18.00 35.8% 8.7% 18.2% 63.5% 30.8% 5.5% -1.5% -15.3M 13.3M -12.4M 0.81 8.04 N/A N/A 617,120 499,420 2,919,480 2,992,120 2014-03-26 $17.17 $18.00 37.9% 8.8% 21.3% 73.2% 30.6% 1.4% -1.8% -47.0M 698.3M -12.0M 0.76 3.73 N/A N/A 616,100 470,080 3,075,960 3,126,900 2014-03-27 $16.92 $18.00 40.0% 8.8% 21.7% 82.2% 31.7% 4.2% -2.4% -58.2M 995.1M -12.0M 1.08 4.09 N/A N/A 979,180 1,055,160 3,227,220 3,225,160 2014-03-28 $16.91 $18.00 38.7% 8.8% 21.5% 76.7% 30.8% 2.7% -1.5% -44.4M 885.3M -12.3M 0.82 3.59 N/A N/A 917,440 755,600 3,489,480 3,451,520 2014-03-31 $16.82 $18.00 39.4% 8.8% 21.5% 79.6% 30.6% 1.8% -1.4% -33.6M 704.2M -11.8M 0.91 4.46 N/A N/A 554,400 503,000 2,978,160 3,105,760
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