AMZN Options History — January 2015

In January 2015, AMZN traded between $14.36 and $17.75. ATM implied volatility averaged 42.5%, placing in the 76.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 16.4% (HV 20d: 26.1%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2015-01-30: Highest Volume — 7,364,620 contracts
2015-01-30: Largest IV drop — 32.1% change
2015-01-15: Highest IV Rank — 87.2%
2015-01-28: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.14	$14.36	$17.75	$15.43	$17.75
Max Pain	$15.13	$15.00	$15.50	$15.50	$15.00
ATM IV	42.5%	29.1%	45.5%	42.2%	29.1%
Expected Move	11.9%	8.8%	13.9%	10.9%	8.8%
HV 20d	26.1%	21.3%	53.9%	24.3%	53.9%
HV 60d	29.7%	26.2%	37.5%	30.9%	37.5%
IV Rank	76.9%	31.1%	87.2%	75.9%	31.1%
IV Percentile	92.0%	54.0%	98.8%	94.8%	54.0%
Term Structure	-2.4%	-3.9%	-1.1%	-1.7%	-1.1%
VWIV	42.3%	31.9%	49.6%	39.5%	31.9%
Skew 25d	3.3%	1.9%	5.7%	3.7%	2.7%
Skew 10d	6.2%	3.7%	9.1%	5.7%	5.5%
Call IV 25d	41.6%	28.3%	44.9%	42.2%	28.3%
Put IV 25d	44.9%	31.0%	47.8%	45.9%	31.0%
Bid-Ask Spread %	18.07	11.76	26.94	19.99	11.76
Gamma HHI	0.10	0.03	0.33	0.07	0.32
Net GEX	-14.1M	-99.7M	130.5M	24.4M	130.5M
Net DEX	485.4M	-3.75B	2.01B	144.1M	-3.75B
Net VEX	-15.9M	-17.2M	-14.7M	-16.4M	-16.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.61	1.82	0.96	0.82
Total Volume	1,922,032	779,120	7,364,620	1,595,000	7,364,620
Total OI	8,939,287	6,309,400	10,859,440	10,444,760	8,870,220

Daily Data (20 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
2015-01-02	$15.43	$15.50	42.2%	10.9%	24.3%	75.9%	39.5%	3.7%	-1.7%	24.4M	144.1M	-16.4M	0.96	19.99	N/A	N/A	815,580	779,420	5,146,820	5,297,940
2015-01-05	$15.11	$15.50	44.3%	11.6%	25.3%	82.9%	42.0%	1.9%	-1.3%	-2.7M	735.8M	-15.8M	1.14	18.39	N/A	N/A	480,580	546,020	4,685,140	4,958,700
2015-01-06	$14.76	$15.25	45.0%	11.7%	26.0%	85.4%	40.7%	4.1%	-2.4%	-41.9M	1.36B	-15.6M	0.61	23.38	N/A	N/A	902,360	548,060	4,800,960	5,077,420
2015-01-07	$14.92	$15.25	44.7%	11.7%	25.5%	84.4%	40.8%	4.5%	-1.7%	-19.8M	1.04B	-15.7M	0.77	22.85	N/A	N/A	630,140	485,160	4,981,580	5,151,680
2015-01-08	$14.99	$15.25	43.3%	11.2%	24.3%	79.6%	40.8%	2.8%	-2.5%	-2.7M	946.0M	-15.6M	1.01	23.11	N/A	N/A	773,740	782,260	5,095,480	5,265,900
2015-01-09	$14.86	$15.25	42.5%	11.1%	22.9%	76.9%	39.5%	3.1%	-2.0%	-81.7M	1.32B	-15.3M	0.99	23.66	N/A	N/A	894,340	889,520	5,204,460	5,425,180
2015-01-12	$14.58	$15.25	43.0%	11.5%	23.5%	78.7%	40.8%	3.9%	-2.4%	-65.8M	1.63B	-14.7M	0.98	26.94	N/A	N/A	769,300	751,740	4,744,520	5,153,480
2015-01-13	$14.73	$15.25	44.0%	11.9%	23.9%	82.1%	41.9%	2.8%	-2.5%	-48.2M	1.35B	-15.0M	0.82	16.19	N/A	N/A	1,076,940	884,840	4,909,220	5,296,800
2015-01-14	$14.66	$15.00	44.8%	12.0%	23.9%	84.8%	42.3%	3.6%	-2.9%	-63.5M	1.56B	-15.4M	0.97	20.87	N/A	N/A	983,500	955,900	5,041,980	5,469,100
2015-01-15	$14.36	$15.00	45.5%	12.3%	21.3%	87.2%	43.1%	3.0%	-2.4%	-99.7M	2.01B	-15.4M	1.00	26.87	N/A	N/A	933,080	935,720	5,158,840	5,593,120
2015-01-16	$14.54	$15.00	42.2%	11.6%	21.4%	75.9%	41.6%	3.6%	-1.9%	-93.4M	1.65B	-15.5M	1.08	16.92	N/A	N/A	676,540	733,360	5,228,480	5,630,960
2015-01-20	$14.47	$15.00	41.5%	11.8%	21.4%	73.6%	41.5%	3.3%	-2.5%	-28.2M	916.0M	-15.2M	0.90	12.31	N/A	N/A	477,840	428,320	2,667,380	3,642,020
2015-01-21	$14.86	$15.00	43.3%	12.4%	23.4%	79.6%	43.6%	2.2%	-2.8%	4.5M	382.4M	-16.0M	0.73	17.40	N/A	N/A	1,410,660	1,034,800	2,859,060	3,815,180
2015-01-22	$15.52	$15.00	41.2%	11.9%	27.1%	72.6%	42.4%	2.7%	-2.3%	45.1M	-543.1M	-16.6M	1.04	12.19	N/A	N/A	1,108,980	1,158,080	3,185,420	4,066,520
2015-01-23	$15.61	$15.00	41.7%	12.1%	27.2%	74.1%	43.0%	3.1%	-2.2%	87.2M	-718.5M	-16.9M	0.82	17.12	N/A	N/A	1,329,040	1,087,720	3,298,900	4,277,040
2015-01-26	$15.48	$15.00	42.1%	12.9%	27.0%	75.4%	45.9%	3.2%	-2.6%	-3.9M	-169.3M	-16.8M	1.21	12.34	N/A	N/A	352,820	426,300	2,964,300	3,838,180
2015-01-27	$15.34	$15.00	42.5%	13.2%	26.1%	77.0%	47.1%	3.0%	-3.3%	-8.7M	-9.6M	-17.0M	1.82	13.47	N/A	N/A	292,980	534,080	3,093,220	3,996,540
2015-01-28	$15.21	$15.00	44.5%	13.9%	26.1%	83.8%	49.6%	3.0%	-3.9%	-12.2M	134.4M	-16.9M	1.11	12.54	N/A	N/A	493,660	547,760	3,168,520	4,144,260
2015-01-29	$15.57	$15.00	42.8%	13.5%	27.4%	78.0%	48.2%	5.7%	-2.6%	-1.2M	-278.3M	-17.2M	0.99	13.18	N/A	N/A	1,591,820	1,573,060	3,297,840	4,283,380
2015-01-30	$17.75	$15.00	29.1%	8.8%	53.9%	31.1%	31.9%	2.7%	-1.1%	130.5M	-3.75B	-16.1M	0.82	11.76	N/A	N/A	4,042,600	3,322,020	3,952,100	4,918,120