AMZN Options History — April 2015 In April 2015, AMZN traded between $18.50 and $22.30. ATM implied volatility averaged 35.9%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.6% (HV 20d: 25.3%). Max pain ranged from $18.25 to $19.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.89.
Notable Days 2015-04-24 : Highest Volume — 7,137,880 contracts2015-04-24 : Largest IV drop — 38.4% change2015-04-22 : Highest IV Rank — 92.4%2015-04-22 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.71 $18.50 $22.30 $18.50 $21.06 Max Pain $18.73 $18.25 $19.50 $18.25 $19.50 ATM IV 35.9% 23.0% 43.6% 39.0% 24.4% Expected Move 10.1% 6.7% 13.8% 6.8% 7.3% HV 20d 25.3% 13.4% 53.2% 18.8% 53.2% HV 60d 34.4% 33.0% 42.6% 34.3% 34.0% IV Rank 58.3% 11.9% 92.4% 64.9% 17.2% IV Percentile 67.9% 6.7% 96.8% 81.3% 20.6% Term Structure -1.9% -3.7% 0.2% -2.1% 0.2% VWIV 35.6% 23.8% 48.2% 24.2% 25.7% Skew 25d 2.2% 0.6% 3.6% 3.0% 1.1% Skew 10d 4.1% 0.0% 6.9% 6.2% 2.0% Call IV 25d 35.2% 22.8% 43.0% 38.0% 24.1% Put IV 25d 37.3% 23.8% 45.1% 41.0% 25.2% Bid-Ask Spread % 8.62 3.52 18.88 8.95 10.31 Gamma HHI 0.07 0.04 0.16 0.06 0.05 Net GEX 66.7M -2.7M 186.3M 7.6M 6.0M Net DEX -2.63B -7.05B -1.27B -1.27B -2.59B Net VEX -16.6M -17.8M -14.5M -17.2M -17.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.68 1.30 1.19 0.84 Total Volume 1,761,194.286 721,100 7,137,880 1,126,720 1,835,460 Total OI 7,860,077.143 6,117,780 8,909,780 7,795,920 8,511,820
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 2015-04-01 $18.50 $18.25 39.0% 6.8% 18.8% 64.9% 24.2% 3.0% -2.1% 7.6M -1.27B -17.2M 1.19 8.95 N/A N/A 515,220 611,500 3,513,480 4,282,440 2015-04-02 $18.63 $18.50 38.7% 10.0% 18.2% 63.8% 35.3% 3.6% -2.5% 3.8M -1.52B -17.0M 1.30 4.01 N/A N/A 514,080 667,560 3,639,180 4,379,160 2015-04-06 $18.86 $18.50 39.1% 10.4% 17.4% 65.2% 36.5% 2.3% -2.0% 65.0M -1.95B -16.6M 0.89 3.52 N/A N/A 555,720 495,820 3,369,260 4,112,880 2015-04-07 $18.74 $18.50 38.7% 10.4% 17.5% 64.1% 36.3% 3.0% -2.2% 46.2M -1.70B -16.5M 1.20 4.12 N/A N/A 327,960 393,140 3,494,880 4,227,560 2015-04-08 $19.06 $18.50 38.7% 10.5% 16.2% 64.0% 37.2% 2.4% -2.3% 102.8M -2.39B -16.5M 0.68 4.31 N/A N/A 738,300 499,020 3,558,680 4,286,820 2015-04-09 $19.19 $18.50 39.0% 10.7% 15.8% 65.0% 37.8% 2.3% -2.3% 147.8M -2.67B -16.7M 0.74 4.45 N/A N/A 856,340 629,740 3,750,400 4,415,260 2015-04-10 $19.13 $18.50 39.9% 10.8% 14.2% 68.1% 38.0% 3.0% -3.7% 84.5M -2.65B -16.5M 0.89 4.33 N/A N/A 929,260 828,160 3,891,840 4,514,560 2015-04-13 $19.14 $18.50 39.2% 11.0% 13.7% 65.5% 38.9% 3.2% -1.8% 80.9M -2.41B -16.4M 0.85 9.16 N/A N/A 485,440 414,080 3,593,280 4,289,340 2015-04-14 $19.25 $18.50 38.1% 10.8% 13.6% 64.3% 38.1% 2.5% -2.1% 103.0M -2.71B -16.2M 0.84 6.62 N/A N/A 735,600 619,420 3,695,780 4,396,700 2015-04-15 $19.19 $18.50 37.8% 10.8% 13.5% 69.3% 38.5% 2.7% -2.4% 72.7M -2.55B -16.3M 0.87 8.90 N/A N/A 589,240 509,840 3,847,120 4,585,200 2015-04-16 $19.31 $18.50 38.5% 11.1% 13.4% 72.5% 38.7% 2.3% -2.3% 86.4M -2.77B -16.3M 0.68 4.52 N/A N/A 773,760 528,020 3,900,420 4,677,880 2015-04-17 $18.79 $18.50 39.9% 11.7% 16.9% 78.2% 40.8% 2.1% -2.7% -2.7M -1.68B -16.7M 0.73 4.97 N/A N/A 1,323,660 965,300 4,118,520 4,791,260 2015-04-20 $19.48 $18.75 41.3% 12.6% 20.7% 83.6% 44.2% 2.8% -2.7% 47.6M -1.95B -17.0M 0.79 12.41 N/A N/A 812,960 641,140 3,036,240 3,081,540 2015-04-21 $19.59 $18.75 41.7% 12.9% 20.3% 85.0% 45.2% 2.8% -2.7% 56.1M -2.17B -17.2M 0.82 14.74 N/A N/A 611,700 501,040 3,308,560 3,335,500 2015-04-22 $19.49 $18.75 43.6% 13.8% 20.4% 92.4% 48.2% 2.1% -3.0% 49.9M -2.03B -17.6M 0.99 8.97 N/A N/A 521,160 518,320 3,444,060 3,498,020 2015-04-23 $19.48 $18.75 41.0% 12.9% 20.1% 82.4% 45.0% 1.7% -2.9% 51.4M -1.98B -17.7M 0.84 18.88 N/A N/A 1,850,380 1,545,400 3,585,220 3,679,660 2015-04-24 $22.30 $19.00 25.3% 7.4% 50.8% 20.6% 26.5% 0.6% -0.7% 186.3M -7.05B -14.5M 0.84 11.36 N/A N/A 3,868,900 3,268,980 4,350,480 4,395,140 2015-04-27 $21.88 $19.25 23.6% 6.8% 51.8% 14.3% 24.7% 0.6% 0.1% 106.2M -4.34B -16.0M 1.05 12.31 N/A N/A 952,480 1,002,060 3,677,840 3,815,380 2015-04-28 $21.45 $19.38 23.3% 6.8% 52.7% 12.8% 24.1% 0.8% -0.1% 47.7M -3.41B -16.4M 0.89 11.45 N/A N/A 908,800 812,220 3,784,380 4,105,600 2015-04-29 $21.45 $19.50 23.0% 6.7% 52.6% 11.9% 23.8% 1.0% 0.2% 52.4M -3.43B -16.3M 0.84 12.76 N/A N/A 995,400 832,500 3,937,760 4,182,520 2015-04-30 $21.06 $19.50 24.4% 7.3% 53.2% 17.2% 25.7% 1.1% 0.2% 6.0M -2.59B -17.8M 0.84 10.31 N/A N/A 995,360 840,100 4,111,700 4,400,120
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