AMZN Options History — June 2015 In June 2015, AMZN traded between $21.17 and $22.27. ATM implied volatility averaged 26.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 10.0% (HV 20d: 16.9%). Max pain ranged from $19.50 to $21.25. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2015-06-19 : Highest Volume — 2,121,740 contracts2015-06-22 : Largest IV spike — 19.7% change2015-06-30 : Highest IV Rank — 79.5%2015-06-29 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.63 $21.17 $22.27 $21.55 $21.75 Max Pain $19.88 $19.50 $21.25 $21.25 $20.25 ATM IV 26.8% 21.1% 40.3% 22.5% 40.3% Expected Move 6.3% 5.6% 7.4% 6.4% 6.9% HV 20d 16.9% 15.7% 18.8% 16.7% 18.8% HV 60d 33.2% 32.9% 33.7% 33.7% 33.6% IV Rank 26.8% 4.6% 79.5% 9.7% 79.5% IV Percentile 30.0% 2.4% 86.9% 7.5% 86.9% Term Structure 2.6% -2.8% 13.9% -0.1% -2.8% VWIV 22.3% 19.6% 26.0% 22.7% 24.3% Skew 25d 1.3% 0.5% 2.4% 0.9% 2.4% Skew 10d 2.2% 0.8% 5.9% 1.4% 5.9% Call IV 25d 26.2% 19.5% 38.9% 22.2% 38.9% Put IV 25d 27.5% 20.3% 41.3% 23.1% 41.3% Bid-Ask Spread % 12.25 4.15 17.76 5.44 17.06 Gamma HHI 0.06 0.03 0.24 0.05 0.04 Net GEX 61.3M -81.0M 147.1M 61.6M 37.1M Net DEX -2.66B -3.54B -1.93B -2.66B -2.43B Net VEX -16.3M -17.1M -15.2M -16.8M -16.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.62 1.29 0.92 0.92 Total Volume 1,276,102.727 787,060 2,121,740 1,057,300 909,020 Total OI 7,528,560.909 6,509,700 8,327,540 6,991,820 7,323,740
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 2015-06-01 $21.55 $21.25 22.5% 6.4% 16.7% 9.7% 22.7% 0.9% -0.1% 61.6M -2.66B -16.8M 0.92 5.44 N/A N/A 549,580 507,720 3,300,760 3,691,060 2015-06-02 $21.55 $21.25 22.4% 6.4% 16.7% 9.6% 22.5% 1.0% -0.2% 66.9M -2.69B -17.1M 1.29 6.13 N/A N/A 343,800 443,260 3,436,220 3,828,080 2015-06-03 $21.84 $21.25 22.3% 6.5% 17.2% 9.2% 22.8% 0.9% -0.1% 126.2M -3.26B -16.8M 0.91 4.15 N/A N/A 745,140 679,700 3,526,120 3,963,800 2015-06-04 $21.50 $19.50 22.9% 6.7% 18.0% 11.6% 23.4% 0.7% -0.2% 6.5M -2.43B -17.1M 0.93 14.32 N/A N/A 736,380 681,900 3,656,800 4,113,140 2015-06-05 $21.35 $19.50 21.9% 6.5% 16.7% 7.6% 23.0% 1.1% 0.1% -81.0M -2.09B -17.0M 0.93 11.02 N/A N/A 834,300 772,480 3,752,360 4,218,760 2015-06-08 $21.17 $19.50 22.5% 6.7% 15.9% 9.9% 23.5% 0.8% 0.8% -6.1M -1.94B -16.7M 0.93 10.30 N/A N/A 509,320 475,500 3,389,540 3,872,240 2015-06-09 $21.28 $19.50 22.9% 6.7% 16.0% 11.5% 23.6% 0.5% 0.5% 10.0M -2.16B -17.1M 0.76 17.76 N/A N/A 551,140 419,480 3,517,900 4,039,680 2015-06-10 $21.58 $19.50 21.8% 6.4% 16.8% 7.0% 22.6% 0.9% 0.5% 103.0M -2.87B -16.5M 0.73 16.70 N/A N/A 601,580 436,460 3,597,100 4,100,840 2015-06-11 $21.61 $19.50 21.7% 6.3% 16.4% 6.8% 22.2% 1.0% 0.4% 129.8M -2.97B -16.4M 0.75 14.00 N/A N/A 970,540 730,820 3,687,720 4,187,800 2015-06-12 $21.51 $19.50 21.4% 6.2% 15.9% 5.4% 21.9% 0.9% 0.6% 121.8M -2.64B -16.4M 0.94 16.12 N/A N/A 671,220 632,420 3,823,360 4,347,600 2015-06-15 $21.19 $19.50 22.4% 6.4% 15.8% 9.3% 22.6% 1.0% 12.1% 10.9M -1.93B -16.1M 1.07 11.27 N/A N/A 459,520 493,720 3,517,080 3,994,300 2015-06-16 $21.36 $19.50 21.3% 6.1% 16.1% 5.1% 21.4% 1.3% 13.4% 41.3M -2.35B -16.0M 0.92 12.93 N/A N/A 473,300 437,500 3,622,760 4,124,320 2015-06-17 $21.41 $19.50 21.1% 6.1% 15.7% 4.6% 21.4% 1.1% 12.9% 47.2M -2.48B -15.9M 0.78 12.34 N/A N/A 534,360 416,420 3,706,380 4,253,520 2015-06-18 $21.91 $19.50 23.3% 5.9% 17.6% 12.8% 20.9% 1.1% 12.8% 147.1M -3.54B -15.5M 0.83 8.66 N/A N/A 984,880 821,560 3,722,160 4,299,540 2015-06-19 $21.75 $19.50 24.9% 5.6% 16.8% 19.4% 19.9% 0.8% 13.9% 70.1M -3.18B -15.5M 0.62 6.31 N/A N/A 1,308,020 813,720 3,873,580 4,453,960 2015-06-22 $21.86 $19.50 29.9% 5.6% 16.4% 38.7% 19.6% 2.4% 0.5% 58.4M -2.70B -15.2M 0.72 15.66 N/A N/A 534,660 384,660 2,981,320 3,528,380 2015-06-23 $22.27 $19.75 34.6% 6.1% 17.4% 57.2% 21.7% 1.8% -1.3% 122.2M -3.40B -15.4M 0.64 13.87 N/A N/A 1,247,500 795,380 3,133,560 3,656,120 2015-06-24 $22.04 $20.00 36.4% 6.0% 17.4% 64.2% 21.2% 2.0% -1.4% 105.1M -3.06B -15.8M 0.81 16.37 N/A N/A 644,920 525,580 3,413,000 3,862,820 2015-06-25 $22.02 $20.00 36.8% 6.1% 16.9% 65.9% 21.5% 1.7% -1.4% 88.1M -2.96B -16.1M 0.79 13.98 N/A N/A 687,540 544,960 3,501,520 3,959,480 2015-06-26 $21.90 $20.00 37.3% 6.1% 17.0% 67.6% 21.4% 2.1% -1.5% 57.9M -2.70B -16.1M 0.87 12.96 N/A N/A 856,960 741,540 3,626,440 4,039,660 2015-06-29 $21.49 $20.00 39.9% 7.4% 18.4% 78.0% 26.0% 2.0% -2.5% 24.0M -2.10B -16.4M 1.14 12.08 N/A N/A 545,640 620,160 3,304,960 3,678,860 2015-06-30 $21.75 $20.25 40.3% 6.9% 18.8% 79.5% 24.3% 2.4% -2.8% 37.1M -2.43B -16.5M 0.92 17.06 N/A N/A 473,800 435,220 3,438,680 3,885,060
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