AMZN Options History — September 2014 In September 2014, AMZN traded between $16.09 and $17.32. ATM implied volatility averaged 27.8%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.6% (HV 20d: 21.2%). Max pain ranged from $16.50 to $17.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.00.
Notable Days 2014-09-19 : Highest Volume — 2,790,780 contracts2014-09-22 : Largest IV spike — 31.0% change2014-09-30 : Highest IV Rank — 59.4%2014-09-15 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $16.52 $16.09 $17.32 $17.12 $16.12 Max Pain $17.02 $16.50 $17.50 $17.50 $16.50 ATM IV 27.8% 21.8% 37.4% 21.8% 37.4% Expected Move 8.1% 7.8% 8.4% 7.9% 8.2% HV 20d 21.2% 15.7% 24.3% 15.7% 23.3% HV 60d 32.0% 31.3% 32.4% 31.6% 32.1% IV Rank 26.7% 6.1% 59.4% 6.1% 59.4% IV Percentile 36.7% 4.8% 85.3% 4.8% 85.3% Term Structure 1.8% -1.7% 10.8% 0.2% -1.3% VWIV 28.7% 26.9% 29.9% 26.9% 28.8% Skew 25d 2.8% -0.3% 6.7% 1.8% 5.0% Skew 10d 4.5% 0.2% 8.6% 2.8% 6.5% Call IV 25d 27.5% 21.5% 36.0% 21.5% 35.5% Put IV 25d 30.3% 22.9% 40.5% 23.3% 40.5% Bid-Ask Spread % 9.46 7.33 11.97 8.17 10.84 Gamma HHI 0.05 0.04 0.08 0.06 0.05 Net GEX 8.6M -47.6M 125.9M 73.8M 10.9M Net DEX -58.6M -1.59B 679.4M -1.15B 285.0M Net VEX -16.5M -17.2M -15.8M -16.7M -16.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.75 1.23 0.75 0.96 Total Volume 1,524,750.476 828,040 2,790,780 828,040 941,940 Total OI 9,246,492.381 8,222,760 10,260,560 8,458,620 9,177,100
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 2014-09-02 $17.12 $17.50 21.8% 7.9% 15.7% 6.1% 26.9% 1.8% 0.2% 73.8M -1.15B -16.7M 0.75 8.17 N/A N/A 473,520 354,520 4,067,700 4,390,920 2014-09-03 $16.95 $17.50 22.0% 7.8% 16.2% 6.9% 27.8% -0.3% 0.3% 44.2M -831.6M -16.6M 0.99 8.13 N/A N/A 416,220 412,680 4,186,980 4,497,540 2014-09-04 $17.30 $17.50 22.3% 7.9% 17.2% 7.8% 27.8% -0.3% 0.3% 125.9M -1.59B -16.9M 0.76 8.16 N/A N/A 1,270,660 966,580 4,255,940 4,610,600 2014-09-05 $17.32 $17.25 22.4% 7.9% 16.6% 8.4% 27.7% 1.7% -0.7% 89.1M -1.51B -16.9M 0.87 7.90 N/A N/A 735,880 636,980 4,403,760 4,847,900 2014-09-08 $17.12 $17.50 23.1% 7.9% 17.0% 10.8% 28.9% 2.3% -0.3% 42.6M -979.1M -16.8M 1.05 7.33 N/A N/A 615,640 644,180 4,111,880 4,541,340 2014-09-09 $16.49 $17.50 24.1% 8.1% 22.5% 13.9% 28.9% 2.2% 1.1% -47.6M 343.6M -16.4M 1.02 9.92 N/A N/A 1,100,380 1,120,200 4,259,580 4,755,020 2014-09-10 $16.57 $17.25 24.8% 8.2% 22.5% 16.5% 29.2% 2.7% -0.3% -35.0M 169.7M -17.0M 0.95 8.25 N/A N/A 866,680 827,100 4,468,300 4,942,160 2014-09-11 $16.53 $17.25 24.9% 8.2% 21.3% 16.6% 29.2% 2.5% -0.7% -40.4M 226.4M -17.1M 1.09 7.69 N/A N/A 736,400 799,440 4,657,880 5,051,860 2014-09-12 $16.56 $17.25 24.7% 8.2% 19.9% 16.0% 29.3% 2.2% -1.0% -17.5M 118.4M -17.2M 1.06 8.57 N/A N/A 800,520 846,920 4,777,500 5,157,740 2014-09-15 $16.19 $17.00 27.1% 8.4% 21.3% 24.4% 29.9% 2.2% 9.1% -42.7M 679.4M -16.1M 1.23 10.28 N/A N/A 898,020 1,106,540 4,395,100 4,818,840 2014-09-16 $16.39 $17.00 24.9% 8.2% 21.8% 16.7% 29.4% 2.8% 9.7% -8.3M 211.4M -16.8M 1.11 8.48 N/A N/A 630,520 697,800 4,686,760 5,036,840 2014-09-17 $16.20 $17.00 24.4% 8.2% 22.1% 15.1% 29.3% 2.5% 9.2% -28.6M 626.5M -16.7M 1.10 11.74 N/A N/A 822,180 906,540 4,793,200 5,148,600 2014-09-18 $16.25 $17.00 23.9% 8.2% 22.1% 13.3% 28.7% 2.4% 9.6% -28.9M 514.2M -16.5M 1.09 8.89 N/A N/A 620,280 675,780 4,836,840 5,269,880 2014-09-19 $16.57 $17.00 25.2% 8.1% 23.2% 17.9% 28.6% 2.2% 10.8% 70.5M -342.6M -16.3M 0.81 9.94 N/A N/A 1,541,060 1,249,720 4,903,980 5,356,580 2014-09-22 $16.23 $17.00 33.1% 8.2% 24.3% 44.7% 28.9% 3.3% -1.4% -9.6M 341.2M -15.8M 0.94 11.10 N/A N/A 855,400 800,380 4,002,500 4,220,260 2014-09-23 $16.18 $16.50 34.6% 8.0% 24.1% 50.0% 28.0% 3.8% -1.3% -6.1M 364.2M -16.0M 1.08 10.54 N/A N/A 475,880 515,620 4,255,420 4,492,700 2014-09-24 $16.41 $16.50 35.0% 8.0% 23.0% 51.3% 28.2% 6.4% -1.2% 35.0M -102.5M -16.2M 0.91 10.19 N/A N/A 738,320 668,960 4,360,680 4,650,240 2014-09-25 $16.10 $16.50 36.1% 8.1% 23.7% 54.9% 28.4% 2.0% -1.7% -29.1M 565.3M -16.4M 1.08 11.04 N/A N/A 628,840 679,940 4,568,480 4,803,720 2014-09-26 $16.16 $16.50 35.8% 8.0% 23.7% 54.0% 29.3% 6.7% -1.5% -12.5M 418.0M -16.2M 0.98 9.49 N/A N/A 1,006,880 985,560 4,656,220 4,890,060 2014-09-29 $16.09 $16.50 36.7% 8.1% 23.7% 57.0% 29.6% 4.1% -0.9% -5.0M 414.7M -16.0M 1.12 11.97 N/A N/A 448,060 501,040 4,338,380 4,529,360 2014-09-30 $16.12 $16.50 37.4% 8.2% 23.3% 59.4% 28.8% 5.0% -1.3% 10.9M 285.0M -16.2M 0.96 10.84 N/A N/A 480,600 461,340 4,513,720 4,663,380
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