AMZN Options History — October 2014 In October 2014, AMZN traded between $14.38 and $16.14. ATM implied volatility averaged 35.8%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.0% (HV 20d: 26.8%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.13.
Notable Days 2014-10-24 : Highest Volume — 6,755,060 contracts2014-10-24 : Largest IV drop — 34.3% change2014-10-16 : Highest IV Rank — 85.0%2014-10-15 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $15.44 $14.38 $16.14 $15.87 $15.28 Max Pain $16.32 $16.00 $16.50 $16.50 $16.00 ATM IV 35.8% 22.8% 44.9% 38.7% 22.8% Expected Move 8.3% 7.7% 9.1% 8.3% 7.7% HV 20d 26.8% 19.5% 39.7% 23.6% 39.7% HV 60d 28.3% 22.2% 31.7% 31.7% 28.4% IV Rank 54.0% 9.5% 85.0% 64.0% 9.5% IV Percentile 71.6% 6.0% 98.0% 90.1% 6.0% Term Structure -1.6% -3.9% 1.0% -2.3% 1.0% VWIV 29.6% 28.1% 32.1% 30.2% 28.1% Skew 25d 4.2% 1.6% 7.4% 4.0% 3.6% Skew 10d 7.6% 2.6% 15.2% 3.8% 5.2% Call IV 25d 34.5% 21.7% 43.3% 38.0% 21.7% Put IV 25d 38.7% 25.2% 49.9% 42.0% 25.2% Bid-Ask Spread % 15.66 10.18 23.21 11.59 22.44 Gamma HHI 0.06 0.04 0.17 0.05 0.17 Net GEX -17.4M -103.8M 100.5M -32.7M 83.6M Net DEX 926.0M -160.7M 2.65B 825.0M -160.7M Net VEX -14.9M -16.0M -12.1M -16.0M -15.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.54 1.57 1.11 0.77 Total Volume 1,810,355.652 848,880 6,755,060 1,142,460 2,128,540 Total OI 9,492,300.87 7,439,960 10,654,760 9,450,340 10,654,760
Daily Data (23 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 2014-10-01 $15.87 $16.50 38.7% 8.3% 23.6% 64.0% 30.2% 4.0% -2.3% -32.7M 825.0M -16.0M 1.11 11.59 N/A N/A 540,160 602,300 4,638,860 4,811,480 2014-10-02 $15.92 $16.50 37.9% 8.1% 22.1% 61.3% 28.5% 4.8% -1.8% -17.4M 697.4M -16.0M 1.00 10.18 N/A N/A 991,380 989,380 4,725,620 4,905,940 2014-10-03 $16.14 $16.50 36.8% 8.0% 22.9% 57.4% 28.9% 4.3% -2.1% 100.5M 92.6M -15.9M 0.99 12.23 N/A N/A 744,160 739,860 4,872,340 5,054,460 2014-10-06 $16.11 $16.50 37.1% 8.1% 22.7% 58.4% 28.2% 2.7% -2.4% 12.9M 292.9M -15.5M 0.54 11.68 N/A N/A 787,640 428,280 4,479,460 4,657,580 2014-10-07 $15.85 $16.50 37.8% 8.2% 19.5% 60.9% 28.6% 2.5% -1.9% -18.4M 754.5M -15.5M 1.57 12.08 N/A N/A 397,900 625,080 4,747,000 4,775,540 2014-10-08 $16.14 $16.50 37.7% 8.1% 20.6% 60.5% 28.7% 4.0% -2.2% 21.6M 181.9M -15.8M 1.11 13.85 N/A N/A 653,940 723,380 4,818,080 4,921,220 2014-10-09 $15.79 $16.50 38.4% 8.3% 21.9% 62.9% 29.0% 3.1% -2.1% -44.9M 952.1M -15.4M 1.15 12.26 N/A N/A 753,540 866,380 4,891,580 4,988,140 2014-10-10 $15.79 $16.50 38.9% 8.4% 21.9% 64.7% 29.6% 4.6% -2.4% -54.2M 953.1M -15.3M 1.22 14.97 N/A N/A 532,440 648,360 5,034,500 5,139,340 2014-10-13 $15.33 $16.50 43.0% 8.9% 22.9% 78.8% 31.3% 2.6% -1.9% -44.2M 1.41B -14.7M 1.42 10.64 N/A N/A 623,560 882,980 4,672,640 4,706,720 2014-10-14 $15.58 $16.50 40.5% 8.7% 23.3% 70.1% 30.9% 6.6% -2.7% -28.1M 1.06B -15.1M 1.37 10.33 N/A N/A 358,140 490,740 4,744,640 4,821,260 2014-10-15 $15.31 $16.50 42.7% 9.1% 23.7% 77.6% 32.1% 7.4% -2.1% -61.3M 1.46B -14.7M 1.31 15.36 N/A N/A 911,440 1,190,400 4,816,980 4,909,420 2014-10-16 $15.14 $16.25 44.9% 9.0% 23.7% 85.0% 31.8% 6.6% -3.9% -72.2M 1.65B -14.3M 1.38 16.58 N/A N/A 697,180 965,520 4,763,500 4,960,180 2014-10-17 $15.18 $16.25 41.3% 8.6% 22.3% 72.7% 30.9% 5.6% -3.6% -45.5M 1.59B -14.0M 1.15 19.52 N/A N/A 754,120 864,540 4,891,940 5,069,520 2014-10-20 $15.31 $16.25 40.9% 8.5% 21.9% 71.5% 30.2% 5.5% -2.1% -16.0M 841.7M -14.0M 1.16 17.63 N/A N/A 532,660 616,200 3,508,420 3,931,540 2014-10-21 $15.75 $16.25 40.5% 8.5% 24.6% 70.0% 30.0% 5.2% -1.3% 3.5M 262.4M -15.3M 0.87 11.42 N/A N/A 580,000 506,160 3,742,900 4,171,280 2014-10-22 $15.65 $16.25 40.6% 8.5% 23.9% 70.3% 29.8% 5.9% -2.1% 3.0M 359.3M -15.3M 1.40 16.68 N/A N/A 533,960 749,860 3,997,580 4,374,020 2014-10-23 $15.65 $16.25 40.7% 8.4% 23.1% 70.6% 29.9% 5.3% -3.0% 1.0M 382.8M -15.2M 1.07 23.21 N/A N/A 1,611,300 1,727,180 4,176,940 4,595,080 2014-10-24 $14.38 $16.25 26.7% 8.1% 37.4% 23.0% 28.7% 3.4% 0.2% -103.8M 2.65B -12.1M 1.15 14.87 N/A N/A 3,147,080 3,607,980 4,864,840 5,262,660 2014-10-27 $14.45 $16.00 25.1% 8.0% 37.6% 17.3% 29.3% 3.1% 0.6% -68.0M 1.86B -13.3M 1.24 18.90 N/A N/A 804,000 996,080 4,396,720 4,701,720 2014-10-28 $14.78 $16.00 23.4% 7.8% 38.8% 11.5% 28.5% 2.8% 0.8% -22.1M 1.19B -14.2M 0.86 19.78 N/A N/A 1,227,340 1,050,580 4,664,100 4,962,460 2014-10-29 $14.71 $16.00 23.6% 7.9% 38.5% 12.3% 28.6% 1.6% 0.8% -22.9M 1.28B -14.3M 1.20 22.18 N/A N/A 736,720 887,260 5,022,340 5,090,360 2014-10-30 $14.96 $16.00 23.6% 7.8% 39.2% 12.3% 28.7% 2.2% 0.6% 26.0M 704.3M -14.7M 0.95 21.83 N/A N/A 732,980 699,500 5,171,080 5,216,180 2014-10-31 $15.28 $16.00 22.8% 7.7% 39.7% 9.5% 28.1% 3.6% 1.0% 83.6M -160.7M -15.2M 0.77 22.44 N/A N/A 1,203,560 924,980 5,329,760 5,325,000
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