AMZN Options History — July 2015 In July 2015, AMZN traded between $21.48 and $26.86. ATM implied volatility averaged 36.8%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.7% (HV 20d: 26.1%). Max pain ranged from $20.25 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.91.
Notable Days 2015-07-24 : Highest Volume — 10,210,660 contracts2015-07-24 : Largest IV drop — 42.1% change2015-07-21 : Highest IV Rank — 100.0%2015-07-23 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $23.95 $21.48 $26.86 $21.84 $26.85 Max Pain $22.59 $20.25 $25.00 $20.25 $25.00 ATM IV 36.8% 23.4% 49.4% 39.6% 23.4% Expected Move 9.7% 6.2% 14.4% 6.4% 6.6% HV 20d 26.1% 16.8% 42.3% 18.3% 41.7% HV 60d 30.3% 19.2% 34.2% 33.5% 28.4% IV Rank 63.6% 11.6% 100.0% 76.7% 11.6% IV Percentile 73.7% 21.0% 100.0% 84.9% 21.0% Term Structure -2.0% -4.0% 0.3% -2.6% 0.3% VWIV 34.1% 22.3% 49.5% 22.3% 23.6% Skew 25d 1.7% -0.7% 3.7% 2.8% 0.5% Skew 10d 3.5% -1.4% 7.7% 3.8% 1.6% Call IV 25d 36.1% 23.5% 49.4% 38.3% 23.5% Put IV 25d 37.9% 24.0% 49.6% 41.1% 24.0% Bid-Ask Spread % 15.62 3.25 31.39 10.11 19.16 Gamma HHI 0.06 0.04 0.12 0.05 0.12 Net GEX 92.5M -15.4M 258.6M 65.2M 25.1M Net DEX -4.42B -9.22B -1.94B -2.64B -6.32B Net VEX -16.3M -18.0M -15.0M -16.2M -16.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.64 1.18 1.13 0.82 Total Volume 2,081,904.545 853,940 10,210,660 853,940 1,677,000 Total OI 8,468,763.636 6,878,620 10,957,700 7,447,780 10,957,700
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 2015-07-01 $21.84 $20.25 39.6% 6.4% 18.3% 76.7% 22.3% 2.8% -2.6% 65.2M -2.64B -16.2M 1.13 10.11 N/A N/A 400,660 453,280 3,504,720 3,943,060 2015-07-02 $21.89 $20.25 39.1% 6.2% 17.3% 74.8% 22.3% 2.3% -2.8% 80.5M -2.70B -16.0M 1.05 12.10 N/A N/A 493,680 516,800 3,545,340 4,046,140 2015-07-06 $21.79 $21.75 39.4% 10.0% 17.2% 76.0% 34.7% 3.5% -2.1% 44.1M -2.47B -15.7M 0.95 3.25 N/A N/A 467,800 443,100 3,318,560 3,814,960 2015-07-07 $21.82 $21.75 39.0% 10.0% 16.8% 74.6% 35.3% 3.7% -2.3% 48.3M -2.55B -15.7M 0.98 16.33 N/A N/A 590,580 576,580 3,438,320 3,942,420 2015-07-08 $21.48 $21.75 40.4% 10.4% 17.8% 80.0% 36.3% 2.7% -2.7% -15.4M -1.94B -16.5M 1.07 16.67 N/A N/A 514,380 549,600 3,573,140 4,113,040 2015-07-09 $21.75 $21.75 40.3% 10.4% 17.7% 79.7% 37.2% 3.2% -2.8% 43.6M -2.47B -16.4M 1.05 16.31 N/A N/A 553,740 581,220 3,664,900 4,230,960 2015-07-10 $22.19 $21.75 39.0% 10.3% 19.0% 74.7% 36.4% 3.4% -2.5% 172.0M -3.38B -16.3M 0.77 12.43 N/A N/A 908,220 697,300 3,727,460 4,346,600 2015-07-13 $22.80 $21.75 38.1% 10.1% 20.9% 70.9% 35.7% 3.2% -2.1% 145.2M -4.05B -15.5M 1.01 12.06 N/A N/A 799,700 805,320 3,469,700 4,050,540 2015-07-14 $23.32 $21.75 37.5% 10.1% 20.9% 68.7% 36.0% 2.8% -1.9% 164.0M -4.90B -15.1M 0.88 10.31 N/A N/A 1,114,420 983,020 3,616,220 4,267,760 2015-07-15 $23.06 $22.00 37.3% 10.0% 21.6% 67.7% 35.0% 3.0% -2.3% 119.4M -4.21B -15.6M 1.18 10.70 N/A N/A 634,720 746,880 3,696,080 4,521,700 2015-07-16 $23.74 $22.00 36.3% 9.9% 23.3% 64.0% 34.9% 2.8% -2.3% 174.6M -5.45B -15.0M 1.01 12.50 N/A N/A 1,271,280 1,280,000 3,764,380 4,624,600 2015-07-17 $24.17 $22.00 40.7% 11.0% 22.9% 81.1% 38.8% 2.6% -3.4% 133.9M -6.24B -15.0M 0.72 8.84 N/A N/A 1,494,100 1,082,940 4,060,500 4,999,580 2015-07-20 $24.38 $22.50 44.7% 12.5% 22.5% 97.0% 43.9% 1.0% -3.2% 66.6M -4.04B -16.0M 0.91 17.32 N/A N/A 888,980 804,960 3,213,460 3,665,160 2015-07-21 $24.41 $22.50 47.8% 13.5% 22.5% 100.0% 47.2% -0.7% -3.6% 65.9M -4.12B -17.0M 1.04 15.46 N/A N/A 522,380 542,840 3,517,680 3,991,260 2015-07-22 $24.42 $22.75 46.6% 13.4% 22.0% 95.4% 46.2% -0.1% -3.9% 70.2M -4.14B -17.0M 0.78 11.23 N/A N/A 925,300 718,760 3,638,180 4,105,640 2015-07-23 $24.04 $23.00 49.4% 14.4% 22.6% 100.0% 49.5% 0.2% -4.0% 59.8M -3.62B -17.3M 0.64 28.66 N/A N/A 2,487,080 1,601,760 3,926,360 4,319,120 2015-07-24 $26.72 $23.25 28.6% 8.2% 42.3% 29.4% 30.2% -0.7% -0.5% 258.6M -9.22B -15.5M 0.68 9.72 N/A N/A 6,075,080 4,135,580 5,067,660 5,025,380 2015-07-27 $26.57 $24.13 27.6% 8.0% 42.3% 25.7% 28.9% 0.6% -0.1% 104.5M -5.86B -17.2M 0.95 31.39 N/A N/A 1,343,680 1,281,280 4,810,760 4,411,460 2015-07-28 $26.28 $25.00 25.9% 7.4% 41.7% 20.2% 26.6% 0.4% 0.3% 30.7M -5.06B -18.0M 0.77 21.64 N/A N/A 935,400 718,700 5,179,020 5,008,800 2015-07-29 $26.51 $25.00 24.9% 7.1% 41.7% 16.7% 25.2% 0.4% 0.3% 45.2M -5.52B -17.8M 0.85 24.54 N/A N/A 715,940 607,740 5,299,220 5,169,140 2015-07-30 $26.86 $25.00 24.1% 6.8% 41.7% 14.0% 24.3% 0.4% 0.3% 132.5M -6.36B -17.3M 0.78 22.82 N/A N/A 1,042,740 817,380 5,397,620 5,328,500 2015-07-31 $26.85 $25.00 23.4% 6.6% 41.7% 11.6% 23.6% 0.5% 0.3% 25.1M -6.32B -16.9M 0.82 19.16 N/A N/A 923,780 753,220 5,520,460 5,437,240
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