AMZN Options History — December 2014 In December 2014, AMZN traded between $14.79 and $16.32. ATM implied volatility averaged 31.2%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.7% (HV 20d: 27.5%). Max pain ranged from $15.25 to $16.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.89.
Notable Days 2014-12-03 : Highest Volume — 3,107,540 contracts2014-12-29 : Largest IV spike — 19.5% change2014-12-31 : Highest IV Rank — 73.4%2014-12-16 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $15.44 $14.79 $16.32 $16.32 $15.52 Max Pain $15.89 $15.25 $16.50 $16.50 $15.50 ATM IV 31.2% 25.4% 41.5% 26.3% 41.5% Expected Move 10.3% 9.0% 11.2% 9.2% 10.8% HV 20d 27.5% 24.6% 29.5% 25.6% 26.4% HV 60d 30.5% 29.8% 31.2% 30.2% 31.0% IV Rank 38.5% 18.4% 73.4% 21.4% 73.4% IV Percentile 59.8% 31.3% 94.4% 40.9% 94.4% Term Structure 2.3% -1.7% 13.6% 0.1% -1.3% VWIV 36.6% 31.6% 39.6% 32.2% 38.6% Skew 25d 2.6% 0.9% 4.3% 1.6% 3.2% Skew 10d 5.4% 2.2% 8.6% 2.6% 5.3% Call IV 25d 31.0% 25.3% 41.0% 26.7% 41.0% Put IV 25d 33.6% 27.5% 44.5% 28.3% 44.2% Bid-Ask Spread % 8.89 5.22 16.74 5.84 16.00 Gamma HHI 0.09 0.04 0.30 0.05 0.08 Net GEX 13.1M -153.2M 134.4M 72.4M 77.3M Net DEX 338.3M -1.12B 1.52B -1.12B -121.1M Net VEX -17.5M -18.4M -16.7M -18.4M -16.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.58 1.19 0.71 1.19 Total Volume 1,738,861.818 821,760 3,107,540 2,693,640 954,460 Total OI 10,659,620 9,549,840 11,749,920 9,930,900 10,333,080
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 2014-12-01 $16.32 $16.50 26.3% 9.2% 25.6% 21.4% 32.2% 1.6% 0.1% 72.4M -1.12B -18.4M 0.71 5.84 N/A N/A 1,572,820 1,120,820 5,092,080 4,838,820 2014-12-02 $16.31 $16.50 25.4% 9.0% 25.6% 18.4% 31.6% 2.1% 0.2% 62.2M -995.8M -18.4M 0.99 5.22 N/A N/A 876,860 866,740 5,076,660 5,169,340 2014-12-03 $15.82 $16.50 26.5% 9.2% 28.0% 22.4% 32.2% 1.4% 0.4% -3.5M 211.7M -18.0M 0.97 5.66 N/A N/A 1,573,760 1,533,780 5,322,180 5,381,800 2014-12-04 $15.85 $16.25 27.3% 9.4% 26.6% 25.1% 34.5% 2.5% 0.7% 19.2M 51.1M -18.2M 1.10 6.42 N/A N/A 900,460 986,380 5,674,060 5,657,020 2014-12-05 $15.63 $16.25 27.3% 9.4% 27.3% 25.0% 33.6% 3.3% 0.8% -153.2M 615.5M -18.0M 1.03 6.92 N/A N/A 1,288,280 1,327,040 5,830,180 5,919,740 2014-12-08 $15.30 $16.25 29.9% 9.9% 28.4% 33.9% 35.0% 2.2% -0.4% -23.3M 887.9M -17.6M 0.96 6.57 N/A N/A 867,260 833,160 5,140,880 5,330,500 2014-12-09 $15.63 $16.00 29.4% 9.9% 28.7% 32.1% 35.3% 3.2% 0.2% 22.8M 168.3M -18.1M 0.77 5.32 N/A N/A 913,220 698,720 5,339,260 5,492,060 2014-12-10 $15.25 $16.00 31.2% 10.4% 28.8% 38.2% 36.4% 1.6% 0.4% -14.7M 866.7M -18.1M 0.95 6.11 N/A N/A 692,540 657,220 5,584,960 5,570,300 2014-12-11 $15.35 $16.00 30.8% 10.3% 29.0% 36.8% 36.5% 1.7% 1.5% 8.5M 623.7M -18.2M 0.82 6.52 N/A N/A 813,040 663,040 5,727,620 5,615,180 2014-12-12 $15.37 $16.00 32.6% 10.7% 28.4% 43.2% 38.2% 3.5% 1.3% 7.3M 531.6M -18.4M 0.81 7.41 N/A N/A 984,040 797,920 5,815,420 5,720,020 2014-12-15 $15.35 $16.00 33.7% 10.8% 24.6% 47.0% 38.6% 3.3% -0.6% 10.9M 518.6M -17.9M 0.86 6.16 N/A N/A 772,620 668,200 5,294,840 5,276,660 2014-12-16 $14.79 $16.00 35.6% 11.2% 27.2% 53.3% 39.5% 3.5% -0.6% -49.9M 1.52B -16.7M 1.13 6.40 N/A N/A 959,600 1,081,380 5,406,160 5,361,840 2014-12-17 $14.94 $15.75 32.9% 10.9% 27.4% 44.2% 39.1% 3.5% 0.7% -49.0M 1.31B -17.1M 0.98 6.71 N/A N/A 782,120 768,620 5,586,180 5,533,780 2014-12-18 $14.88 $15.75 31.5% 10.8% 27.2% 39.3% 38.5% 2.5% 1.2% -48.3M 1.36B -16.8M 0.90 7.42 N/A N/A 1,152,720 1,039,680 5,679,200 5,565,720 2014-12-19 $14.99 $15.50 30.6% 10.7% 27.1% 36.3% 38.0% 2.4% 0.6% -65.8M 1.08B -16.9M 0.77 8.48 N/A N/A 1,224,700 939,660 5,892,420 5,741,100 2014-12-22 $15.31 $15.50 28.8% 10.6% 28.3% 30.2% 37.5% 1.8% 11.3% 48.7M 118.7M -17.2M 0.75 10.81 N/A N/A 749,480 563,160 4,777,400 4,772,440 2014-12-23 $15.32 $15.50 27.3% 10.3% 27.9% 24.9% 38.2% 2.2% 12.3% 57.1M 132.9M -16.9M 0.63 10.20 N/A N/A 786,060 492,120 4,908,740 4,932,540 2014-12-24 $15.15 $15.50 27.9% 10.3% 27.9% 27.0% 39.6% 2.4% 11.1% 24.7M 471.1M -17.1M 1.11 13.82 N/A N/A 480,940 531,700 5,021,140 5,036,660 2014-12-26 $15.49 $15.25 32.2% 10.2% 29.5% 41.7% 36.2% 0.9% 13.6% 134.4M -257.8M -17.1M 0.58 14.43 N/A N/A 1,300,940 757,360 5,087,000 5,155,520 2014-12-29 $15.61 $15.50 38.5% 10.7% 29.0% 63.1% 37.7% 4.3% -1.7% 73.7M -360.8M -16.8M 0.77 16.74 N/A N/A 826,140 634,440 4,815,960 4,893,160 2014-12-30 $15.52 $15.50 40.2% 10.8% 26.4% 69.0% 39.1% 3.7% -1.5% 76.8M -161.7M -16.7M 0.73 16.38 N/A N/A 475,020 346,740 5,045,520 5,096,500 2014-12-31 $15.52 $15.50 41.5% 10.8% 26.4% 73.4% 38.6% 3.2% -1.3% 77.3M -121.1M -16.9M 1.19 16.00 N/A N/A 435,360 519,100 5,129,900 5,203,180
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