AMZN Options History — August 2015 In August 2015, AMZN traded between $23.48 and $26.84. ATM implied volatility averaged 29.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 8.4% (HV 20d: 38.1%). Max pain ranged from $24.75 to $25.25. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.97.
Notable Days 2015-08-21 : Highest Volume — 3,362,580 contracts2015-08-24 : Largest IV spike — 31.6% change2015-08-24 : Highest IV Rank — 89.3%2015-08-24 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $25.98 $23.48 $26.84 $26.75 $25.73 Max Pain $24.98 $24.75 $25.25 $25.00 $25.00 ATM IV 29.7% 24.4% 46.3% 24.5% 33.1% Expected Move 8.6% 7.0% 13.6% 7.1% 9.6% HV 20d 38.1% 20.9% 42.3% 41.7% 37.3% HV 60d 29.8% 27.8% 34.5% 28.3% 34.2% IV Rank 32.9% 14.9% 89.3% 15.4% 43.7% IV Percentile 54.3% 34.1% 98.8% 36.9% 61.5% Term Structure -0.2% -1.6% 0.7% 0.1% -0.3% VWIV 30.5% 24.8% 47.5% 25.0% 34.5% Skew 25d 2.8% 0.7% 7.3% 0.8% 6.1% Skew 10d 5.8% 1.0% 16.5% 2.4% 14.7% Call IV 25d 28.8% 24.3% 43.7% 24.5% 30.6% Put IV 25d 31.6% 25.2% 51.1% 25.2% 36.7% Bid-Ask Spread % 29.74 14.75 44.20 25.04 44.20 Gamma HHI 0.07 0.03 0.28 0.05 0.04 Net GEX 33.0M -215.8M 153.8M 82.7M 52.6M Net DEX -4.20B -5.75B -529.8M -5.51B -3.71B Net VEX -18.6M -21.5M -16.7M -16.8M -20.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.74 1.46 0.98 1.20 Total Volume 1,588,050.476 852,760 3,362,580 1,005,240 852,760 Total OI 9,611,315.238 8,066,680 10,686,260 9,097,760 8,397,800
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 2015-08-03 $26.75 $25.00 24.5% 7.1% 41.7% 15.4% 25.0% 0.8% 0.1% 82.7M -5.51B -16.8M 0.98 25.04 N/A N/A 507,340 497,900 4,559,080 4,538,680 2015-08-04 $26.61 $25.00 24.5% 7.0% 41.9% 15.4% 24.8% 1.0% -0.3% 60.3M -5.26B -17.2M 0.86 22.52 N/A N/A 578,200 494,480 4,723,600 4,760,860 2015-08-05 $26.84 $25.00 24.7% 7.0% 40.8% 15.9% 24.9% 0.7% -0.2% 105.1M -5.75B -16.9M 0.74 17.62 N/A N/A 749,220 557,700 4,826,600 4,869,160 2015-08-06 $26.50 $24.75 26.6% 7.6% 41.7% 22.6% 26.8% 1.2% -0.3% 12.1M -5.04B -18.0M 0.88 32.03 N/A N/A 1,068,980 945,720 4,997,980 5,002,040 2015-08-07 $26.14 $24.75 27.1% 7.8% 42.3% 24.1% 27.5% 1.0% -0.3% -204.6M -4.02B -18.6M 1.12 30.32 N/A N/A 1,183,880 1,320,160 5,173,480 5,324,460 2015-08-10 $26.20 $24.75 24.6% 7.1% 41.8% 15.7% 25.3% 1.0% 0.3% 25.1M -4.56B -17.6M 0.91 24.03 N/A N/A 588,560 538,280 4,759,340 4,773,080 2015-08-11 $26.37 $24.75 25.9% 7.5% 41.4% 20.3% 26.4% 0.8% 0.1% 61.2M -4.99B -17.7M 0.81 26.16 N/A N/A 576,980 467,600 4,903,420 4,879,020 2015-08-12 $26.29 $25.00 26.7% 7.7% 41.0% 22.6% 27.2% 1.1% 0.3% 49.6M -4.77B -18.1M 0.74 28.02 N/A N/A 907,260 672,320 5,023,560 5,006,400 2015-08-13 $26.54 $25.00 26.6% 7.8% 40.2% 22.6% 27.7% 1.1% 0.6% 146.0M -5.41B -18.2M 1.07 16.93 N/A N/A 893,200 955,180 5,147,300 5,117,980 2015-08-14 $26.59 $25.00 25.6% 7.4% 39.9% 19.0% 26.2% 1.1% 0.5% 109.0M -5.48B -17.7M 0.85 18.20 N/A N/A 831,020 703,860 5,266,280 5,285,960 2015-08-17 $26.76 $25.00 24.4% 7.0% 39.9% 14.9% 24.9% 1.3% 0.7% 148.6M -5.66B -16.8M 0.98 14.75 N/A N/A 715,820 699,700 4,939,980 4,823,800 2015-08-18 $26.75 $25.00 24.8% 7.1% 39.9% 16.5% 25.5% 0.9% 0.5% 153.8M -5.67B -16.7M 0.95 21.87 N/A N/A 597,120 564,640 5,036,720 4,994,880 2015-08-19 $26.65 $25.00 25.2% 7.2% 40.0% 17.8% 25.9% 1.0% 0.1% 126.3M -5.42B -16.9M 0.90 28.66 N/A N/A 578,700 521,100 5,122,060 5,066,120 2015-08-20 $25.83 $25.25 30.5% 8.8% 41.4% 35.6% 30.7% 2.1% -0.7% -92.5M -3.45B -17.9M 1.11 43.46 N/A N/A 1,094,120 1,215,240 5,186,620 5,197,120 2015-08-21 $24.85 $25.25 35.2% 10.1% 20.9% 51.6% 35.6% 3.8% -0.6% -215.8M -1.04B -19.2M 1.46 36.41 N/A N/A 1,364,860 1,997,720 5,313,720 5,372,540 2015-08-24 $23.48 $25.00 46.3% 13.6% 28.1% 89.3% 47.5% 7.3% -1.6% -24.9M -529.8M -21.1M 1.08 36.69 N/A N/A 768,700 831,580 3,903,420 4,163,260 2015-08-25 $23.73 $25.00 41.9% 12.6% 28.7% 74.2% 43.7% 7.0% -0.9% -18.8M -821.8M -20.5M 0.94 36.22 N/A N/A 657,180 615,600 4,077,360 4,279,020 2015-08-26 $25.13 $25.00 37.0% 10.9% 36.0% 57.2% 38.8% 7.1% -1.0% 10.9M -2.77B -21.4M 0.89 42.61 N/A N/A 759,000 677,960 4,254,880 4,425,200 2015-08-27 $25.87 $25.00 34.7% 10.1% 37.3% 49.3% 36.2% 6.3% -0.4% 58.3M -4.21B -21.1M 0.99 38.65 N/A N/A 1,099,240 1,090,920 4,379,160 4,579,860 2015-08-28 $25.87 $25.00 34.1% 9.9% 37.3% 47.0% 35.3% 6.9% -1.0% 46.9M -4.15B -21.5M 0.94 40.15 N/A N/A 827,760 781,500 4,521,340 4,864,480 2015-08-31 $25.73 $25.00 33.1% 9.6% 37.3% 43.7% 34.5% 6.1% -0.3% 52.6M -3.71B -20.2M 1.20 44.20 N/A N/A 387,120 465,640 4,053,500 4,344,300
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