AMZN Options History — June 2014 In June 2014, AMZN traded between $15.34 and $16.76. ATM implied volatility averaged 29.8%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.5% (HV 20d: 27.3%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2014-06-05 : Highest Volume — 4,436,680 contracts2014-06-23 : Largest IV spike — 20.8% change2014-06-26 : Highest IV Rank — 60.2%2014-06-20 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $16.23 $15.34 $16.76 $15.44 $16.24 Max Pain $17.05 $17.00 $17.50 $17.50 $17.00 ATM IV 29.8% 24.9% 38.2% 24.9% 37.4% Expected Move 8.8% 8.5% 9.0% 8.5% 8.8% HV 20d 27.3% 22.8% 29.1% 27.5% 27.9% HV 60d 36.7% 34.9% 37.5% 34.9% 36.4% IV Rank 30.1% 12.2% 60.2% 12.2% 57.3% IV Percentile 57.0% 25.4% 88.1% 25.4% 84.9% Term Structure 1.7% -3.0% 11.8% -0.3% -1.7% VWIV 31.0% 30.3% 31.8% 30.3% 30.8% Skew 25d 0.6% -1.1% 2.6% 2.0% 1.5% Skew 10d 1.2% -1.3% 4.7% 4.2% 2.1% Call IV 25d 30.4% 24.3% 38.7% 24.5% 36.6% Put IV 25d 31.0% 26.0% 39.5% 26.5% 38.1% Bid-Ask Spread % 4.93 3.50 7.83 4.53 4.48 Gamma HHI 0.06 0.04 0.21 0.04 0.04 Net GEX 49.7M -27.4M 148.1M 13.3M 28.6M Net DEX -760.9M -1.82B 283.1M 120.2M -361.1M Net VEX -15.8M -16.6M -13.7M -13.8M -15.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.48 1.24 0.64 0.83 Total Volume 1,555,428.571 571,840 4,436,680 627,340 867,820 Total OI 7,859,030.476 6,889,680 8,812,440 6,889,680 7,136,720
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 2014-06-02 $15.44 $17.50 24.9% 8.5% 27.5% 12.2% 30.3% 2.0% -0.3% 13.3M 120.2M -13.8M 0.64 4.53 N/A N/A 381,760 245,580 3,569,060 3,320,620 2014-06-03 $15.36 $17.50 25.0% 8.5% 27.5% 12.7% 30.3% 2.6% -0.4% 7.4M 235.0M -13.7M 1.24 4.57 N/A N/A 255,700 316,140 3,701,500 3,396,780 2014-06-04 $15.34 $17.00 24.9% 8.5% 22.8% 12.2% 30.8% 1.4% -0.2% 3.4M 283.1M -13.7M 0.90 4.59 N/A N/A 304,920 273,740 3,750,440 3,487,820 2014-06-05 $16.18 $17.00 28.6% 8.8% 28.3% 25.8% 30.5% -1.1% -0.9% 81.5M -1.09B -15.3M 0.50 5.34 N/A N/A 2,950,040 1,486,640 3,812,280 3,560,160 2014-06-06 $16.48 $17.00 28.5% 8.7% 27.7% 25.4% 30.5% 0.6% -1.4% 148.1M -1.70B -16.4M 0.48 5.03 N/A N/A 1,975,400 950,760 4,339,380 3,935,420 2014-06-09 $16.38 $17.00 28.5% 8.7% 27.9% 25.4% 30.3% 1.4% -0.7% 69.7M -1.15B -16.2M 0.55 5.99 N/A N/A 862,280 471,660 4,122,240 3,629,360 2014-06-10 $16.62 $17.00 27.2% 8.8% 25.8% 20.8% 30.8% 0.4% -0.6% 96.0M -1.60B -16.3M 0.73 4.44 N/A N/A 874,060 635,460 4,264,720 3,778,840 2014-06-11 $16.76 $17.00 27.9% 8.8% 25.9% 23.3% 30.9% 0.1% -0.1% 101.0M -1.82B -16.6M 0.56 4.47 N/A N/A 1,336,120 754,560 4,340,300 3,904,000 2014-06-12 $16.30 $17.00 28.1% 8.8% 26.6% 23.8% 31.4% -0.6% -0.3% 19.2M -811.0M -16.3M 0.61 4.18 N/A N/A 1,139,200 700,620 4,529,440 4,041,920 2014-06-13 $16.31 $17.00 27.2% 8.9% 26.2% 20.5% 31.0% -0.1% -1.0% 30.7M -852.8M -16.4M 0.86 4.23 N/A N/A 862,420 742,180 4,666,160 4,146,280 2014-06-16 $16.38 $17.00 27.8% 8.9% 26.2% 22.9% 31.8% -0.3% 10.0% 60.1M -1.02B -16.3M 0.56 4.62 N/A N/A 538,520 302,960 4,241,020 3,714,680 2014-06-17 $16.28 $17.00 27.5% 8.9% 26.3% 21.7% 30.8% -0.3% 9.5% 60.2M -867.0M -16.1M 0.79 5.42 N/A N/A 537,080 425,500 4,382,400 3,795,480 2014-06-18 $16.72 $17.00 26.5% 8.9% 27.3% 18.1% 31.0% -0.4% 10.8% 114.3M -1.69B -16.5M 0.58 6.03 N/A N/A 1,659,140 969,960 4,468,360 3,929,280 2014-06-19 $16.35 $17.00 25.9% 8.9% 28.8% 16.0% 31.2% 0.4% 11.0% 41.7M -862.1M -15.6M 0.58 7.83 N/A N/A 1,659,020 960,200 4,520,040 3,959,220 2014-06-20 $16.21 $17.00 27.9% 9.0% 29.1% 23.0% 31.0% 0.3% 11.8% -27.4M -460.1M -15.3M 0.97 5.43 N/A N/A 1,272,040 1,227,800 4,729,280 4,071,800 2014-06-23 $16.36 $17.00 33.6% 8.9% 28.1% 43.8% 31.6% 0.8% -1.2% 43.3M -589.6M -16.6M 0.80 3.50 N/A N/A 496,640 397,660 3,870,000 3,282,820 2014-06-24 $16.21 $17.00 36.2% 8.9% 28.4% 52.9% 31.7% 0.8% -1.7% 29.4M -351.0M -16.3M 0.92 4.41 N/A N/A 565,880 519,980 3,980,820 3,398,040 2014-06-25 $16.37 $17.00 37.3% 8.9% 28.4% 56.8% 30.8% 1.1% -1.7% 48.6M -609.5M -16.4M 1.09 4.51 N/A N/A 368,360 403,200 4,078,560 3,506,740 2014-06-26 $16.28 $17.00 38.2% 8.8% 28.4% 60.2% 31.0% 0.8% -3.0% 27.7M -444.2M -16.4M 0.75 4.24 N/A N/A 512,380 386,380 4,147,280 3,629,540 2014-06-27 $16.23 $17.00 37.3% 8.8% 28.4% 56.9% 31.7% 1.3% -1.7% 47.8M -340.9M -16.1M 1.08 5.59 N/A N/A 516,880 557,360 4,220,860 3,679,980 2014-06-30 $16.24 $17.00 37.4% 8.8% 27.9% 57.3% 30.8% 1.5% -1.7% 28.6M -361.1M -15.8M 0.83 4.48 N/A N/A 475,400 392,420 3,819,420 3,317,300
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