AMZN Options History — May 2015 In May 2015, AMZN traded between $20.91 and $21.68. ATM implied volatility averaged 22.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 21.3% (HV 20d: 44.2%). Max pain ranged from $19.63 to $21.25. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.88.
Notable Days 2015-05-21 : Highest Volume — 1,973,600 contracts2015-05-26 : Largest IV spike — 6.0% change2015-05-06 : Highest IV Rank — 15.9%2015-05-07 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.35 $20.91 $21.68 $21.16 $21.48 Max Pain $21.17 $19.63 $21.25 $19.63 $21.25 ATM IV 22.9% 21.7% 24.1% 23.7% 22.7% Expected Move 6.6% 6.2% 7.0% 6.8% 6.5% HV 20d 44.2% 16.8% 53.8% 53.2% 16.8% HV 60d 33.8% 33.6% 34.0% 34.0% 33.8% IV Rank 11.4% 6.6% 15.9% 14.6% 10.4% IV Percentile 9.4% 4.0% 19.0% 13.9% 8.7% Term Structure 0.2% -0.1% 0.7% 0.3% 0.1% VWIV 23.3% 21.7% 24.6% 24.0% 22.7% Skew 25d 0.7% 0.2% 1.2% 1.2% 0.7% Skew 10d 1.2% -0.3% 2.1% 1.2% 1.6% Call IV 25d 22.8% 21.5% 24.2% 23.1% 22.4% Put IV 25d 23.5% 22.2% 24.7% 24.3% 23.1% Bid-Ask Spread % 13.69 3.89 20.93 11.00 6.13 Gamma HHI 0.10 0.04 0.37 0.08 0.33 Net GEX 57.4M -100.3M 180.0M 35.8M 180.0M Net DEX -2.83B -4.11B -1.97B -2.89B -2.60B Net VEX -17.2M -17.9M -16.5M -17.6M -17.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.66 1.50 0.74 0.89 Total Volume 1,242,139 761,160 1,973,600 1,969,280 1,762,480 Total OI 7,725,820 6,651,300 8,688,640 8,688,640 7,542,680
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 2015-05-01 $21.16 $19.63 23.7% 6.8% 53.2% 14.6% 24.0% 1.2% 0.3% 35.8M -2.89B -17.6M 0.74 11.00 N/A N/A 1,130,780 838,500 4,230,260 4,458,380 2015-05-04 $21.15 $21.25 23.0% 6.7% 53.2% 11.9% 24.1% 1.0% 0.2% 75.6M -2.99B -17.4M 0.75 20.93 N/A N/A 609,840 456,420 3,702,440 3,924,200 2015-05-05 $21.07 $21.25 24.0% 7.0% 53.1% 15.6% 24.6% 0.2% 0.2% 66.6M -2.83B -17.9M 0.87 16.21 N/A N/A 521,100 452,880 3,865,820 4,089,620 2015-05-06 $20.91 $21.25 24.1% 6.9% 53.1% 15.9% 24.4% 0.7% 0.2% 37.0M -2.47B -17.8M 0.94 20.53 N/A N/A 661,260 622,680 3,946,300 4,192,640 2015-05-07 $21.36 $21.25 24.0% 7.0% 53.4% 15.6% 24.5% 0.3% 0.2% 127.2M -3.40B -17.8M 0.95 18.59 N/A N/A 701,060 664,880 3,992,640 4,297,700 2015-05-08 $21.68 $21.25 22.6% 6.6% 53.4% 10.3% 23.4% 0.4% 0.5% 175.1M -4.11B -17.2M 0.81 20.76 N/A N/A 881,120 711,160 4,059,880 4,404,240 2015-05-11 $21.64 $21.25 23.2% 6.7% 53.5% 12.6% 23.7% 0.5% 0.2% 93.4M -3.62B -17.0M 0.87 19.43 N/A N/A 406,340 354,820 3,750,340 4,050,180 2015-05-12 $21.56 $21.25 23.4% 6.8% 53.6% 13.5% 24.0% 0.6% 0.2% 78.8M -3.43B -17.0M 1.50 16.69 N/A N/A 347,780 521,500 3,841,440 4,147,000 2015-05-13 $21.35 $21.25 23.1% 6.7% 53.8% 12.0% 23.6% 0.8% 0.2% 30.8M -2.98B -17.3M 1.06 17.15 N/A N/A 481,240 508,740 3,874,600 4,262,420 2015-05-14 $21.62 $21.25 22.3% 6.5% 53.8% 9.2% 22.8% 0.8% 0.3% 110.9M -3.57B -16.5M 1.03 13.20 N/A N/A 491,200 504,920 3,929,120 4,339,340 2015-05-15 $21.28 $21.25 22.0% 6.4% 53.0% 7.8% 22.4% 0.8% 0.7% -100.3M -2.78B -16.9M 0.73 17.04 N/A N/A 1,095,720 805,220 3,965,100 4,368,580 2015-05-18 $21.26 $21.25 22.3% 6.4% 51.9% 8.9% 22.6% 0.9% 0.2% 16.8M -2.19B -16.9M 0.66 12.83 N/A N/A 563,540 369,380 3,106,020 3,545,280 2015-05-19 $21.09 $21.25 22.6% 6.5% 52.1% 10.3% 22.9% 0.6% 0.3% 11.2M -1.97B -17.3M 0.74 15.71 N/A N/A 486,240 359,420 3,324,920 3,668,900 2015-05-20 $21.22 $21.25 22.8% 6.5% 52.0% 10.9% 23.1% 0.6% 0.3% 27.8M -2.21B -17.6M 0.85 12.28 N/A N/A 548,120 468,180 3,424,720 3,784,580 2015-05-21 $21.60 $21.25 22.4% 6.4% 52.1% 9.3% 22.5% 0.5% 0.2% 126.2M -2.99B -16.8M 0.70 8.55 N/A N/A 1,158,880 814,720 3,481,480 3,840,080 2015-05-22 $21.39 $21.25 21.7% 6.2% 19.3% 6.6% 21.7% 0.7% 0.3% -50.4M -2.38B -17.1M 0.84 10.24 N/A N/A 770,300 645,920 3,629,820 4,008,660 2015-05-26 $21.29 $21.25 23.0% 6.6% 18.3% 11.7% 23.0% 0.9% -0.0% 7.5M -2.12B -17.1M 1.10 6.69 N/A N/A 512,540 561,460 3,219,960 3,706,280 2015-05-27 $21.57 $21.25 22.8% 6.5% 17.6% 10.9% 22.8% 0.7% -0.1% 69.0M -2.71B -16.9M 0.81 5.91 N/A N/A 568,820 460,880 3,334,500 3,835,960 2015-05-28 $21.34 $21.25 22.7% 6.5% 18.0% 10.5% 22.5% 0.7% -0.1% 28.8M -2.27B -17.2M 0.82 3.89 N/A N/A 561,040 461,700 3,460,600 3,909,720 2015-05-29 $21.48 $21.25 22.7% 6.5% 16.8% 10.4% 22.7% 0.7% 0.1% 180.0M -2.60B -17.0M 0.89 6.13 N/A N/A 930,640 831,840 3,562,360 3,980,320
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