AMZN Options History — May 2014 In May 2014, AMZN traded between $14.42 and $15.69. ATM implied volatility averaged 27.0%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 17.0% (HV 20d: 44.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.94.
Notable Days 2014-05-07 : Highest Volume — 1,997,620 contracts2014-05-06 : Largest IV spike — 8.2% change2014-05-08 : Highest IV Rank — 36.9%2014-05-07 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $15.15 $14.42 $15.69 $15.39 $15.63 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 27.0% 23.8% 31.7% 28.2% 24.9% Expected Move 8.6% 8.4% 8.9% 8.8% 8.5% HV 20d 44.0% 27.1% 51.0% 50.7% 27.1% HV 60d 34.9% 34.0% 35.3% 34.4% 34.9% IV Rank 19.8% 8.4% 36.9% 24.1% 12.5% IV Percentile 45.4% 12.7% 63.1% 59.5% 27.0% Term Structure -0.2% -0.9% 0.6% 0.5% -0.3% VWIV 30.5% 29.2% 31.9% 30.4% 30.5% Skew 25d 2.6% 1.3% 3.8% 2.2% 2.4% Skew 10d 4.6% 1.8% 7.6% 3.4% 4.9% Call IV 25d 26.1% 23.2% 30.7% 28.0% 24.1% Put IV 25d 28.7% 24.8% 32.7% 30.2% 26.5% Bid-Ask Spread % 4.75 3.80 7.17 4.10 5.80 Gamma HHI 0.07 0.04 0.25 0.04 0.15 Net GEX 7.7M -55.7M 131.4M 18.1M 73.5M Net DEX 603.8M -470.8M 1.70B 479.5M -204.2M Net VEX -13.2M -14.4M -12.1M -14.3M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.60 1.31 0.87 0.73 Total Volume 1,238,180 704,860 1,997,620 1,475,140 1,507,540 Total OI 7,477,747.619 6,305,860 8,338,540 8,107,600 7,232,240
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 2014-05-01 $15.39 $17.50 28.2% 8.8% 50.7% 24.1% 30.4% 2.2% 0.5% 18.1M 479.5M -14.3M 0.87 4.10 N/A N/A 787,860 687,280 4,393,620 3,713,980 2014-05-02 $15.40 $17.50 27.6% 8.8% 50.2% 21.9% 30.4% 2.9% 0.0% -426.5K 509.2M -14.4M 0.87 3.81 N/A N/A 792,160 685,620 4,483,760 3,854,780 2014-05-05 $15.50 $17.50 27.4% 8.7% 49.2% 21.2% 29.8% 3.5% -0.2% 5.6M 464.8M -14.0M 1.13 3.80 N/A N/A 330,640 374,220 3,930,060 3,458,260 2014-05-06 $14.87 $17.50 29.6% 8.8% 51.0% 29.2% 30.7% 2.5% -0.2% -39.3M 1.25B -12.9M 0.88 3.85 N/A N/A 699,900 617,200 3,987,460 3,557,660 2014-05-07 $14.64 $17.50 31.0% 8.9% 49.7% 34.4% 31.9% 3.2% -0.3% -54.1M 1.52B -12.9M 1.19 5.12 N/A N/A 911,080 1,086,540 4,133,640 3,664,980 2014-05-08 $14.42 $17.50 31.7% 8.9% 49.2% 36.9% 31.6% 1.9% -0.2% -55.7M 1.70B -12.5M 1.09 4.02 N/A N/A 736,360 803,020 4,287,540 3,773,360 2014-05-09 $14.61 $17.50 29.7% 8.8% 47.5% 29.5% 30.9% 2.7% -0.2% -39.1M 1.47B -12.9M 1.31 4.11 N/A N/A 765,540 1,000,320 4,417,980 3,910,680 2014-05-12 $15.14 $17.50 27.7% 8.7% 49.3% 22.3% 30.5% 3.4% -0.8% -4.6M 718.2M -13.5M 0.98 4.51 N/A N/A 455,820 446,620 4,049,020 3,606,100 2014-05-13 $15.23 $17.50 26.7% 8.7% 49.1% 18.7% 30.6% 2.9% -0.6% 1.8M 596.5M -13.4M 0.89 4.84 N/A N/A 414,660 367,640 4,111,440 3,700,940 2014-05-14 $14.88 $17.50 27.1% 8.6% 49.6% 20.4% 30.7% 2.3% -0.7% -31.1M 1.11B -12.8M 1.15 4.19 N/A N/A 519,880 596,460 4,194,680 3,764,060 2014-05-15 $14.76 $17.50 27.3% 8.6% 48.6% 21.0% 30.9% 3.8% -0.9% -45.7M 1.25B -12.3M 1.22 5.35 N/A N/A 706,140 859,360 4,171,500 3,786,660 2014-05-16 $14.88 $17.50 26.5% 8.6% 48.8% 17.9% 30.8% 3.5% -0.5% -8.8M 1.04B -12.4M 0.91 4.69 N/A N/A 819,720 744,100 4,288,900 3,926,740 2014-05-19 $14.84 $17.50 26.2% 8.5% 48.1% 17.0% 29.4% 2.7% 0.3% -10.3M 751.8M -12.1M 1.07 5.06 N/A N/A 376,680 401,360 3,257,820 3,048,040 2014-05-20 $15.06 $17.50 26.0% 8.5% 48.6% 16.4% 30.3% 2.3% 0.5% 11.7M 475.9M -12.8M 1.02 4.63 N/A N/A 631,980 645,080 3,378,900 3,206,380 2014-05-21 $15.25 $17.50 25.1% 8.4% 48.8% 13.0% 29.4% 2.3% 0.6% 35.4M 202.3M -13.1M 0.73 5.02 N/A N/A 515,780 377,160 3,513,640 3,345,960 2014-05-22 $15.25 $17.50 25.0% 8.5% 46.4% 12.8% 30.5% 2.4% 0.2% 41.6M 182.5M -13.2M 0.93 4.43 N/A N/A 513,280 477,580 3,608,920 3,407,480 2014-05-23 $15.61 $17.50 23.8% 8.4% 29.1% 8.4% 30.9% 1.7% 0.6% 131.4M -470.8M -13.5M 0.77 4.80 N/A N/A 872,640 669,540 3,681,920 3,553,980 2014-05-27 $15.54 $17.50 25.1% 8.4% 27.7% 13.0% 29.2% 2.6% -0.6% 32.9M -42.8M -13.4M 0.69 7.17 N/A N/A 631,280 432,420 3,390,500 3,278,380 2014-05-28 $15.51 $17.50 25.4% 8.4% 27.4% 14.2% 29.3% 1.3% -0.3% 34.2M -11.1M -13.6M 0.60 4.90 N/A N/A 507,360 305,360 3,511,420 3,393,700 2014-05-29 $15.69 $17.50 24.7% 8.4% 27.4% 11.6% 31.7% 2.3% -0.2% 64.0M -316.8M -13.9M 0.81 5.58 N/A N/A 513,900 414,700 3,609,600 3,446,020 2014-05-30 $15.63 $17.50 24.9% 8.5% 27.1% 12.5% 30.5% 2.4% -0.3% 73.5M -204.2M -13.7M 0.73 5.80 N/A N/A 873,500 634,040 3,695,780 3,536,460
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