AMZN Options History — August 2014 In August 2014, AMZN traded between $15.35 and $17.16. ATM implied volatility averaged 23.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 13.6% (HV 20d: 36.9%). Max pain ranged from $17.00 to $18.25. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.
Notable Days 2014-08-01 : Highest Volume — 2,984,320 contracts2014-08-08 : Largest IV drop — 6.5% change2014-08-01 : Highest IV Rank — 24.4%2014-08-07 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $16.37 $15.35 $17.16 $15.35 $16.95 Max Pain $17.38 $17.00 $18.25 $17.00 $17.50 ATM IV 23.3% 20.0% 28.3% 28.3% 20.4% Expected Move 8.4% 7.8% 9.0% 8.9% 7.8% HV 20d 36.9% 16.7% 48.0% 47.2% 16.7% HV 60d 33.5% 31.8% 34.4% 34.4% 31.8% IV Rank 8.4% 0.0% 24.4% 24.4% 1.5% IV Percentile 16.1% 0.0% 56.7% 56.7% 0.8% Term Structure 0.3% -0.8% 1.4% -0.6% 0.5% VWIV 29.9% 27.8% 32.1% 31.5% 27.8% Skew 25d 1.7% 0.4% 3.4% 3.4% 0.4% Skew 10d 3.4% -0.7% 7.4% 6.7% 0.1% Call IV 25d 23.1% 20.1% 27.8% 27.8% 20.9% Put IV 25d 24.8% 20.6% 31.2% 31.2% 21.3% Bid-Ask Spread % 5.90 4.26 9.70 4.26 9.70 Gamma HHI 0.08 0.05 0.38 0.38 0.05 Net GEX 17.6M -241.9M 102.8M -241.9M 47.4M Net DEX -227.6M -1.45B 1.88B 1.88B -897.4M Net VEX -17.0M -17.6M -16.1M -16.1M -17.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.55 1.63 1.63 0.86 Total Volume 1,362,620 724,640 2,984,320 2,984,320 1,241,420 Total OI 8,857,058.095 7,921,280 9,740,160 9,244,940 9,147,860
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 2014-08-01 $15.35 $17.00 28.3% 8.9% 47.2% 24.4% 31.5% 3.4% -0.6% -241.9M 1.88B -16.1M 1.63 4.26 N/A N/A 1,132,680 1,851,640 4,419,180 4,825,760 2014-08-04 $15.68 $17.00 27.0% 8.8% 48.0% 19.8% 30.6% 2.4% 0.2% -38.0M 821.6M -16.8M 1.10 4.43 N/A N/A 718,420 788,400 4,099,140 4,333,500 2014-08-05 $15.62 $17.00 27.4% 8.9% 47.0% 21.4% 32.1% 3.3% 0.1% -47.8M 925.8M -17.1M 1.20 4.28 N/A N/A 402,740 485,020 4,319,500 4,562,360 2014-08-06 $15.69 $17.00 27.0% 9.0% 46.5% 19.7% 31.0% 3.0% 0.2% -35.6M 773.7M -17.2M 0.97 4.41 N/A N/A 421,180 408,680 4,401,020 4,683,520 2014-08-07 $15.57 $17.00 27.2% 9.0% 46.5% 20.6% 31.8% 3.1% 0.1% -64.7M 998.0M -17.0M 1.38 4.43 N/A N/A 462,940 637,420 4,457,560 4,761,680 2014-08-08 $15.84 $17.00 25.4% 8.8% 42.1% 14.3% 31.4% 3.3% 0.3% 31.2M 491.5M -17.0M 0.93 4.83 N/A N/A 903,800 839,160 4,540,840 4,941,280 2014-08-11 $15.92 $17.00 24.4% 8.8% 40.7% 10.5% 30.8% 1.8% -0.2% -10.4M 421.3M -16.8M 1.02 4.79 N/A N/A 428,080 436,820 4,196,440 4,557,080 2014-08-12 $15.97 $17.00 24.1% 8.8% 40.8% 9.5% 31.2% 3.1% -0.5% -4.0M 339.6M -16.9M 1.10 4.45 N/A N/A 391,840 432,400 4,301,140 4,668,820 2014-08-13 $16.31 $17.00 23.7% 8.7% 41.8% 8.1% 30.8% 1.5% 0.5% 53.0M -371.9M -16.9M 0.66 5.32 N/A N/A 1,541,060 1,013,500 4,353,040 4,775,720 2014-08-14 $16.66 $17.00 22.6% 8.7% 42.7% 4.1% 30.5% 1.5% -0.1% 101.6M -1.06B -17.2M 0.77 4.90 N/A N/A 1,139,380 876,380 4,569,620 4,922,040 2014-08-15 $16.68 $17.00 22.8% 8.7% 42.1% 4.8% 30.0% 1.6% -0.8% 96.3M -1.07B -17.6M 1.04 5.23 N/A N/A 1,022,100 1,067,680 4,640,980 5,099,180 2014-08-18 $16.73 $0.00 21.5% 8.1% 42.1% 0.0% 29.1% 1.2% 0.8% 54.1M -816.3M -17.1M 1.04 6.85 N/A N/A 525,000 547,460 3,820,080 4,101,200 2014-08-19 $16.76 $18.00 20.8% 8.1% 42.0% 0.0% 28.1% 1.2% 1.4% 52.7M -820.6M -17.0M 0.95 6.56 N/A N/A 371,440 353,200 3,921,800 4,293,360 2014-08-20 $16.79 $18.25 20.8% 8.0% 42.1% 0.0% 29.0% 0.7% 0.8% 63.1M -889.6M -17.3M 0.75 6.54 N/A N/A 481,620 363,060 4,030,240 4,435,540 2014-08-21 $16.65 $18.25 20.4% 8.0% 42.1% 0.0% 30.1% 1.0% 1.0% 18.7M -553.0M -17.1M 0.96 7.41 N/A N/A 385,060 369,180 4,143,340 4,539,140 2014-08-22 $16.58 $18.00 20.0% 7.9% 21.0% 0.0% 28.6% 0.6% 1.1% -8.3M -411.8M -16.9M 1.01 6.64 N/A N/A 645,680 650,720 4,240,580 4,599,020 2014-08-25 $16.70 $18.00 20.8% 8.0% 20.5% 2.7% 28.6% 0.7% 0.5% 41.2M -632.1M -16.4M 0.76 7.13 N/A N/A 451,180 342,240 3,888,480 4,262,240 2014-08-26 $17.09 $18.00 21.4% 7.9% 21.8% 4.7% 28.5% 0.5% -0.2% 90.9M -1.36B -17.1M 0.62 7.70 N/A N/A 1,380,520 854,840 4,025,100 4,381,720 2014-08-27 $17.16 $17.50 21.6% 7.9% 21.7% 5.5% 28.6% 0.7% 0.2% 102.8M -1.45B -17.2M 0.55 6.53 N/A N/A 853,680 468,000 4,205,600 4,524,980 2014-08-28 $17.00 $17.00 21.3% 7.9% 18.6% 4.6% 28.0% 0.5% 0.6% 66.5M -1.09B -17.0M 0.84 7.53 N/A N/A 504,480 424,920 4,346,600 4,661,940 2014-08-29 $16.95 $17.50 20.4% 7.8% 16.7% 1.5% 27.8% 0.4% 0.5% 47.4M -897.4M -17.0M 0.86 9.70 N/A N/A 668,900 572,520 4,419,040 4,728,820
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