AMZN Options History — April 2014 In April 2014, AMZN traded between $14.83 and $17.15. ATM implied volatility averaged 40.7%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.0% (HV 20d: 32.7%). Max pain ranged from $17.50 to $18.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.90.
Notable Days 2014-04-25 : Highest Volume — 4,395,120 contracts2014-04-25 : Largest IV drop — 20.3% change2014-04-07 : Highest IV Rank — 100.0%2014-04-11 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.08 $14.83 $17.15 $17.15 $15.21 Max Pain $17.88 $17.50 $18.00 $18.00 $17.50 ATM IV 40.7% 29.5% 49.3% 40.5% 29.5% Expected Move 8.8% 8.6% 9.1% 8.8% 8.9% HV 20d 32.7% 20.2% 50.7% 22.4% 50.3% HV 60d 36.9% 34.3% 42.9% 34.8% 34.3% IV Rank 74.6% 28.9% 100.0% 84.5% 28.9% IV Percentile 90.6% 61.1% 100.0% 98.0% 61.1% Term Structure -2.0% -4.1% 0.5% -2.0% -0.4% VWIV 31.3% 30.1% 32.9% 30.6% 31.6% Skew 25d 3.6% 1.3% 5.5% 3.8% 3.6% Skew 10d 5.9% -0.1% 11.6% 3.7% 5.0% Call IV 25d 39.1% 28.6% 48.7% 38.1% 28.6% Put IV 25d 42.8% 32.2% 52.6% 41.9% 32.2% Bid-Ask Spread % 5.15 3.17 8.33 4.24 3.79 Gamma HHI 0.06 0.04 0.21 0.05 0.04 Net GEX -9.5M -87.3M 71.2M -12.6M -8.5M Net DEX 703.8M -748.3M 1.63B 321.5M 786.1M Net VEX -13.5M -15.1M -12.0M -12.6M -13.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.60 1.24 0.94 1.24 Total Volume 1,780,523.81 681,480 4,395,120 1,034,940 1,266,560 Total OI 7,419,206.667 5,855,040 8,485,460 6,612,580 7,944,640
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 2014-04-01 $17.15 $18.00 40.5% 8.8% 22.4% 84.5% 30.6% 3.8% -2.0% -12.6M 321.5M -12.6M 0.94 4.24 N/A N/A 533,980 500,960 3,229,000 3,383,580 2014-04-02 $17.10 $18.00 40.1% 8.8% 20.2% 82.8% 31.3% 1.8% -1.6% -21.8M 397.8M -12.7M 0.73 3.17 N/A N/A 644,400 467,680 3,361,600 3,539,000 2014-04-03 $16.68 $18.00 41.9% 8.9% 21.4% 90.8% 31.3% 1.5% -1.6% -63.9M 966.6M -12.5M 0.87 4.15 N/A N/A 1,069,140 933,480 3,521,420 3,608,380 2014-04-04 $16.15 $18.00 43.5% 8.9% 23.3% 97.8% 31.2% 1.3% -0.9% -35.4M 1.63B -12.0M 0.99 7.08 N/A N/A 1,768,600 1,756,940 3,789,640 3,710,720 2014-04-07 $15.89 $18.00 45.0% 8.7% 23.5% 100.0% 30.8% 2.9% -3.9% -36.7M 1.38B -12.0M 0.87 7.03 N/A N/A 962,660 834,100 3,516,960 3,500,900 2014-04-08 $16.35 $18.00 42.7% 8.6% 26.9% 90.0% 31.5% 5.4% -2.9% -10.0M 768.2M -12.9M 1.00 5.01 N/A N/A 719,960 723,060 3,807,480 3,664,640 2014-04-09 $16.59 $18.00 43.5% 8.8% 27.6% 93.4% 30.8% 5.5% -3.7% 1.4M 466.8M -13.5M 0.86 5.34 N/A N/A 756,080 653,080 3,826,460 3,823,900 2014-04-10 $15.86 $18.00 49.3% 9.0% 30.8% 100.0% 32.8% 3.9% -3.8% -46.6M 1.34B -13.3M 0.66 6.17 N/A N/A 1,240,920 815,300 3,981,200 3,914,520 2014-04-11 $15.59 $18.00 48.2% 9.1% 30.5% 96.1% 32.4% 5.0% -4.1% -47.0M 1.61B -13.5M 1.03 7.02 N/A N/A 1,004,760 1,035,920 4,393,640 4,038,220 2014-04-14 $15.80 $18.00 45.6% 8.9% 31.2% 86.8% 32.9% 4.6% -1.2% -12.2M 1.10B -14.2M 0.77 4.47 N/A N/A 631,600 484,640 4,289,000 3,827,900 2014-04-15 $15.80 $18.00 45.0% 8.9% 30.6% 84.7% 31.1% 4.7% -1.6% -8.5M 975.3M -14.2M 1.00 5.32 N/A N/A 792,340 790,480 4,419,360 3,877,800 2014-04-16 $16.18 $18.00 42.7% 8.8% 32.7% 76.4% 30.6% 4.9% -1.0% 38.4M 276.9M -14.4M 0.99 5.11 N/A N/A 594,220 586,200 4,496,320 3,844,100 2014-04-17 $16.25 $18.00 40.2% 8.7% 32.8% 67.3% 30.1% 4.3% -1.5% 71.2M 162.4M -14.1M 0.87 4.63 N/A N/A 828,200 719,580 4,579,420 3,906,040 2014-04-21 $16.54 $18.00 40.0% 8.7% 33.3% 66.5% 30.4% 5.3% -1.9% 24.5M -249.1M -14.4M 0.64 3.92 N/A N/A 416,140 265,340 3,149,580 2,705,460 2014-04-22 $16.47 $18.00 41.0% 8.8% 32.5% 70.4% 30.7% 3.2% -3.2% 28.6M -266.8M -14.5M 0.60 4.21 N/A N/A 442,480 267,420 3,336,920 2,828,940 2014-04-23 $16.23 $18.00 40.6% 8.8% 32.4% 69.0% 30.5% 2.8% -3.1% 20.6M 8.1M -14.3M 0.93 4.27 N/A N/A 380,860 353,320 3,504,700 2,937,780 2014-04-24 $16.86 $17.50 39.5% 8.7% 33.9% 64.7% 30.7% 2.4% -2.1% 48.1M -748.3M -15.1M 0.71 5.87 N/A N/A 2,053,600 1,449,480 3,664,580 3,083,580 2014-04-25 $15.19 $17.50 31.4% 9.0% 49.9% 35.9% 31.4% 2.6% -0.7% -87.3M 1.62B -12.4M 1.07 4.81 N/A N/A 2,127,620 2,267,500 4,446,720 3,716,000 2014-04-28 $14.83 $17.50 33.8% 9.0% 50.3% 44.5% 32.0% 3.1% -0.5% -32.8M 1.29B -12.6M 0.88 4.26 N/A N/A 1,299,100 1,146,080 3,810,800 3,196,400 2014-04-29 $15.02 $17.50 31.4% 9.0% 50.7% 35.9% 31.7% 3.4% 0.5% -9.4M 941.6M -13.5M 1.20 8.33 N/A N/A 822,700 984,520 4,217,000 3,409,040 2014-04-30 $15.21 $17.50 29.5% 8.9% 50.3% 28.9% 31.6% 3.6% -0.4% -8.5M 786.1M -13.9M 1.24 3.79 N/A N/A 565,980 700,580 4,336,760 3,607,880
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