AMZN Options History — March 2015 In March 2015, AMZN traded between $18.32 and $19.40. ATM implied volatility averaged 28.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.1% (HV 20d: 19.5%). Max pain ranged from $17.50 to $18.25. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2015-03-26 : Highest Volume — 1,633,420 contracts2015-03-23 : Largest IV spike — 19.2% change2015-03-26 : Highest IV Rank — 63.4%2015-03-11 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $18.77 $18.32 $19.40 $19.28 $18.64 Max Pain $17.99 $17.50 $18.25 $18.00 $18.25 ATM IV 28.6% 23.3% 38.5% 23.3% 38.5% Expected Move 6.9% 6.4% 7.4% 6.6% 6.5% HV 20d 19.5% 17.6% 21.5% 19.4% 18.7% HV 60d 35.1% 34.5% 36.3% 36.3% 34.6% IV Rank 29.5% 11.4% 63.4% 11.4% 63.1% IV Percentile 40.3% 8.7% 79.8% 8.7% 79.8% Term Structure 2.1% -2.2% 13.2% -0.1% -2.2% VWIV 24.3% 22.8% 25.9% 23.6% 23.0% Skew 25d 2.2% 0.8% 3.5% 2.7% 3.5% Skew 10d 4.3% 2.0% 6.8% 5.9% 6.2% Call IV 25d 27.8% 22.1% 37.8% 22.7% 36.6% Put IV 25d 29.9% 23.7% 40.7% 25.4% 40.1% Bid-Ask Spread % 12.14 8.08 17.46 11.23 15.66 Gamma HHI 0.08 0.04 0.27 0.08 0.06 Net GEX 28.3M -62.3M 119.7M 68.6M 45.7M Net DEX -1.87B -2.96B -972.0M -2.70B -1.56B Net VEX -17.3M -17.7M -16.8M -17.3M -17.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.73 1.30 1.21 1.18 Total Volume 1,071,253.636 672,880 1,633,420 1,009,140 863,880 Total OI 7,932,360.909 6,938,500 8,643,380 7,439,720 7,617,200
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 2015-03-02 $19.28 $18.00 23.3% 6.6% 19.4% 11.4% 23.6% 2.7% -0.1% 68.6M -2.70B -17.3M 1.21 11.23 N/A N/A 455,720 553,420 3,281,800 4,157,920 2015-03-03 $19.24 $18.00 23.3% 6.4% 17.6% 11.4% 22.9% 2.7% -0.2% 60.9M -2.61B -17.4M 1.30 13.32 N/A N/A 339,260 440,460 3,404,400 4,348,540 2015-03-04 $19.14 $18.00 23.7% 6.6% 17.7% 12.6% 23.7% 0.8% -0.6% 53.2M -2.46B -17.4M 0.95 9.58 N/A N/A 498,340 475,100 3,457,980 4,394,900 2015-03-05 $19.40 $17.50 23.4% 6.8% 18.1% 11.7% 24.5% 2.6% -0.1% 119.7M -2.96B -17.3M 1.14 16.52 N/A N/A 588,480 672,240 3,550,000 4,475,220 2015-03-06 $18.99 $17.50 23.8% 7.0% 18.1% 13.1% 24.8% 1.8% 0.1% -62.3M -2.06B -17.5M 1.04 11.43 N/A N/A 781,280 813,140 3,608,840 4,637,780 2015-03-09 $18.93 $17.75 24.5% 7.0% 18.1% 15.3% 25.0% 1.7% 0.2% 31.1M -2.07B -17.3M 1.02 10.27 N/A N/A 437,260 444,180 3,399,600 4,309,720 2015-03-10 $18.48 $17.75 25.2% 7.4% 19.9% 17.8% 25.6% 2.1% 0.8% -17.2M -1.29B -17.7M 0.90 9.87 N/A N/A 695,280 623,260 3,533,980 4,457,860 2015-03-11 $18.32 $17.75 25.4% 7.4% 20.0% 18.4% 25.8% 1.8% 0.5% -27.2M -1.14B -17.7M 1.08 17.46 N/A N/A 393,340 425,360 3,733,720 4,540,820 2015-03-12 $18.71 $18.00 24.8% 7.2% 21.4% 16.5% 25.4% 1.7% 0.7% 32.3M -1.90B -17.7M 0.90 14.74 N/A N/A 528,640 475,440 3,752,660 4,611,160 2015-03-13 $18.53 $18.00 25.0% 7.2% 21.5% 17.1% 25.7% 1.5% 0.6% -19.5M -1.50B -17.7M 1.23 14.83 N/A N/A 611,140 750,180 3,851,320 4,703,440 2015-03-16 $18.67 $18.00 25.4% 7.3% 21.3% 18.6% 25.9% 1.7% 10.8% 25.1M -1.83B -17.4M 1.05 14.39 N/A N/A 389,240 407,040 3,526,800 4,448,820 2015-03-17 $18.60 $18.00 25.4% 7.3% 20.4% 18.5% 25.5% 1.7% 10.5% 23.0M -1.73B -17.6M 1.11 11.83 N/A N/A 318,280 354,600 3,629,560 4,620,320 2015-03-18 $18.76 $18.00 24.4% 7.0% 20.6% 15.2% 24.6% 1.8% 11.2% 50.7M -2.07B -17.4M 0.89 12.60 N/A N/A 602,460 535,200 3,691,500 4,694,580 2015-03-19 $18.66 $18.00 26.1% 6.8% 19.9% 20.9% 23.9% 1.7% 11.9% 43.1M -1.93B -17.4M 1.15 11.33 N/A N/A 374,880 431,700 3,785,440 4,758,840 2015-03-20 $18.92 $18.00 27.6% 6.5% 20.0% 25.9% 22.9% 1.7% 13.2% 118.8M -2.56B -16.9M 0.73 8.08 N/A N/A 798,620 580,220 3,848,040 4,795,340 2015-03-23 $18.76 $18.00 32.9% 6.4% 20.0% 44.0% 22.8% 3.3% -1.4% 45.9M -1.73B -16.8M 1.00 9.58 N/A N/A 506,600 504,140 3,062,340 3,876,160 2015-03-24 $18.70 $18.25 35.0% 6.5% 20.0% 51.2% 22.8% 2.9% -1.6% 36.7M -1.61B -17.0M 0.77 11.69 N/A N/A 386,020 298,740 3,257,960 4,052,660 2015-03-25 $18.55 $18.25 37.1% 6.8% 19.0% 58.6% 23.8% 2.0% -2.0% 11.3M -1.34B -17.3M 1.02 10.03 N/A N/A 666,860 682,560 3,350,100 4,134,680 2015-03-26 $18.39 $18.25 38.5% 7.1% 19.1% 63.4% 24.9% 2.8% -1.9% -38.2M -972.0M -17.4M 0.79 10.14 N/A N/A 914,760 718,660 3,426,300 4,263,860 2015-03-27 $18.53 $18.25 38.1% 6.9% 19.0% 61.9% 24.1% 2.2% -1.3% -37.9M -1.35B -17.1M 1.03 11.72 N/A N/A 723,940 743,160 3,645,300 4,379,980 2015-03-30 $18.74 $18.25 38.2% 6.5% 18.6% 62.1% 23.0% 3.0% -2.2% 58.5M -1.76B -16.9M 0.96 10.71 N/A N/A 389,920 374,580 3,352,900 4,081,600 2015-03-31 $18.64 $18.25 38.5% 6.5% 18.7% 63.1% 23.0% 3.5% -2.2% 45.7M -1.56B -17.0M 1.18 15.66 N/A N/A 396,780 467,100 3,442,800 4,174,400
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