AMZN Options History — July 2014 In July 2014, AMZN traded between $15.65 and $18.04. ATM implied volatility averaged 33.7%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.9% (HV 20d: 31.9%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2014-07-25 : Highest Volume — 7,982,740 contracts2014-07-25 : Largest IV drop — 26.8% change2014-07-01 : Highest IV Rank — 57.3%2014-07-31 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $17.00 $15.65 $18.04 $16.62 $15.65 Max Pain $17.00 $17.00 $17.00 $17.00 $17.00 ATM IV 33.7% 25.0% 37.4% 37.4% 27.8% Expected Move 8.5% 8.3% 8.8% 8.8% 8.8% HV 20d 31.9% 22.0% 47.4% 28.7% 47.4% HV 60d 34.5% 27.5% 36.5% 36.1% 34.3% IV Rank 44.2% 12.7% 57.3% 57.3% 22.7% IV Percentile 68.5% 26.6% 84.5% 84.5% 53.2% Term Structure -1.2% -2.7% 0.7% -1.8% -0.2% VWIV 30.1% 27.6% 32.8% 31.4% 27.6% Skew 25d 2.1% 1.2% 4.7% 1.8% 2.1% Skew 10d 3.4% 2.2% 5.8% 2.4% 4.2% Call IV 25d 33.2% 24.2% 37.5% 37.5% 27.4% Put IV 25d 35.3% 26.9% 39.5% 39.3% 29.5% Bid-Ask Spread % 5.95 3.97 13.59 5.22 4.18 Gamma HHI 0.08 0.04 0.21 0.05 0.06 Net GEX 47.2M -116.4M 160.6M 84.0M -116.4M Net DEX -1.00B -2.54B 1.30B -1.03B 1.28B Net VEX -16.2M -16.7M -14.4M -16.4M -16.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.61 1.45 0.61 1.18 Total Volume 1,921,168.182 746,720 7,982,740 1,739,900 1,773,240 Total OI 8,086,300.909 6,375,820 8,961,920 7,649,980 8,943,980
Daily Data (22 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 2014-07-01 $16.62 $17.00 37.4% 8.8% 28.7% 57.3% 31.4% 1.8% -1.8% 84.0M -1.03B -16.4M 0.61 5.22 N/A N/A 1,079,980 659,920 4,062,300 3,587,680 2014-07-02 $16.64 $17.00 37.1% 8.7% 28.6% 56.2% 30.7% 1.4% -1.6% 88.1M -1.04B -16.4M 0.64 4.71 N/A N/A 864,680 555,860 4,226,340 3,748,080 2014-07-03 $16.87 $17.00 36.9% 8.7% 22.4% 55.6% 32.8% 1.8% -2.0% 160.6M -1.51B -16.6M 0.63 5.40 N/A N/A 859,520 540,420 4,375,440 3,880,580 2014-07-07 $16.68 $17.00 35.9% 8.6% 22.0% 51.9% 30.9% 1.5% -1.7% 59.4M -890.5M -16.2M 0.79 4.41 N/A N/A 493,200 391,080 4,143,940 3,593,440 2014-07-08 $16.19 $17.00 36.3% 8.7% 24.4% 53.5% 30.3% 1.9% -2.2% -1.6M -65.6M -15.7M 0.84 4.40 N/A N/A 709,960 596,940 4,262,300 3,732,560 2014-07-09 $16.50 $17.00 35.8% 8.6% 24.7% 51.5% 30.3% 4.7% -2.5% 42.7M -592.5M -15.9M 0.87 5.64 N/A N/A 667,700 581,280 4,372,340 3,838,740 2014-07-10 $16.40 $17.00 35.0% 8.5% 24.6% 48.6% 30.1% 2.4% -1.3% 13.5M -368.3M -15.9M 1.09 5.37 N/A N/A 649,280 707,800 4,440,640 3,983,200 2014-07-11 $17.31 $17.00 36.7% 8.5% 29.5% 54.8% 29.8% 2.8% -2.7% 151.1M -2.30B -16.4M 0.69 5.71 N/A N/A 3,015,560 2,083,280 4,523,980 4,066,340 2014-07-14 $17.77 $17.00 36.4% 8.5% 30.6% 53.8% 30.0% 1.8% -0.7% 120.5M -2.49B -16.6M 0.86 5.09 N/A N/A 1,168,600 1,008,380 4,221,280 3,941,220 2014-07-15 $17.72 $17.00 35.4% 8.4% 30.7% 50.3% 29.8% 1.7% -0.5% 104.3M -2.32B -16.5M 0.93 5.83 N/A N/A 752,940 696,480 4,334,340 4,153,560 2014-07-16 $17.80 $17.00 34.9% 8.4% 30.4% 48.3% 29.8% 1.7% -1.1% 110.0M -2.43B -16.5M 0.69 5.75 N/A N/A 916,080 632,800 4,411,980 4,228,120 2014-07-17 $17.62 $17.00 35.4% 8.4% 29.7% 50.2% 29.8% 1.5% -1.2% 49.9M -1.89B -16.2M 0.92 5.21 N/A N/A 767,620 709,900 4,521,920 4,302,920 2014-07-18 $17.93 $17.00 35.4% 8.4% 28.6% 50.3% 29.5% 1.6% -0.4% 135.9M -2.54B -16.2M 0.72 6.33 N/A N/A 1,169,140 843,920 4,575,340 4,386,580 2014-07-21 $17.99 $17.00 36.1% 8.4% 28.1% 52.8% 29.9% 2.2% -2.0% 54.0M -1.74B -16.0M 1.12 5.50 N/A N/A 364,700 407,660 3,239,260 3,136,560 2014-07-22 $18.04 $17.00 35.7% 8.4% 28.1% 51.2% 29.2% 2.5% -1.7% 56.6M -1.80B -16.2M 1.27 6.09 N/A N/A 335,900 426,180 3,411,540 3,326,520 2014-07-23 $17.91 $17.00 35.3% 8.3% 28.0% 49.8% 29.1% 1.5% -2.2% 47.6M -1.60B -16.2M 0.82 6.04 N/A N/A 409,940 336,780 3,511,260 3,506,300 2014-07-24 $17.93 $17.00 35.8% 8.3% 27.9% 51.5% 29.2% 1.9% -1.1% 51.2M -1.68B -16.0M 0.92 13.59 N/A N/A 1,571,640 1,445,440 3,677,260 3,613,820 2014-07-25 $16.20 $17.00 26.2% 8.5% 46.9% 17.1% 29.8% 2.5% 0.7% -85.0M 1.30B -14.4M 1.23 13.04 N/A N/A 3,574,080 4,408,660 4,267,240 4,223,360 2014-07-28 $16.02 $17.00 26.1% 8.6% 47.0% 16.7% 30.3% 1.7% -0.3% -43.9M 650.8M -16.2M 1.10 3.97 N/A N/A 941,580 1,039,740 3,815,020 4,099,900 2014-07-29 $16.00 $17.00 25.6% 8.6% 47.0% 15.0% 30.4% 1.2% -0.5% -32.7M 589.0M -16.7M 1.45 4.40 N/A N/A 456,280 660,580 4,103,720 4,341,940 2014-07-30 $16.13 $17.00 25.0% 8.6% 46.3% 12.7% 30.6% 3.5% -0.3% -11.6M 389.2M -16.7M 1.20 4.96 N/A N/A 450,480 540,500 4,205,800 4,559,980 2014-07-31 $15.65 $17.00 27.8% 8.8% 47.4% 22.7% 27.6% 2.1% -0.2% -116.4M 1.28B -16.3M 1.18 4.18 N/A N/A 815,040 958,200 4,273,680 4,670,300
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