AMZN Options History — September 2015 In September 2015, AMZN traded between $24.81 and $27.42. ATM implied volatility averaged 39.3%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.8% (HV 20d: 37.5%). Max pain ranged from $23.75 to $25.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.08.
Notable Days 2015-09-18 : Highest Volume — 2,741,060 contracts2015-09-28 : Largest IV spike — 17.6% change2015-09-28 : Highest IV Rank — 100.0%2015-09-29 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $26.04 $24.81 $27.42 $24.87 $25.62 Max Pain $24.69 $23.75 $25.00 $25.00 $25.00 ATM IV 39.3% 28.5% 58.6% 40.8% 51.8% Expected Move 9.5% 7.8% 12.1% 11.8% 10.2% HV 20d 37.5% 26.4% 43.1% 39.0% 30.1% HV 60d 35.9% 35.0% 37.8% 35.0% 37.8% IV Rank 60.2% 25.9% 100.0% 69.6% 81.9% IV Percentile 74.3% 50.4% 100.0% 86.1% 99.2% Term Structure 2.6% -4.3% 15.4% -0.8% -3.2% VWIV 34.0% 28.0% 42.3% 42.3% 37.2% Skew 25d 6.8% 4.3% 10.6% 8.9% 7.6% Skew 10d 13.6% 9.0% 18.8% 18.8% 16.1% Call IV 25d 36.4% 26.5% 52.6% 37.3% 48.7% Put IV 25d 43.1% 32.1% 63.2% 46.2% 56.3% Bid-Ask Spread % 31.35 22.10 46.05 42.94 42.11 Gamma HHI 0.06 0.03 0.24 0.03 0.03 Net GEX 62.0M -79.5M 236.2M -3.6M -1.5M Net DEX -3.79B -5.94B -1.59B -2.26B -2.81B Net VEX -19.7M -22.3M -17.6M -22.3M -20.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.79 1.44 1.44 1.18 Total Volume 1,474,452.381 910,300 2,741,060 1,304,500 1,408,200 Total OI 8,802,647.619 7,575,900 9,550,860 8,652,100 8,886,060
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 2015-09-01 $24.87 $25.00 40.8% 11.8% 39.0% 69.6% 42.3% 8.9% -0.8% -3.6M -2.26B -22.3M 1.44 42.94 N/A N/A 535,440 769,060 4,146,200 4,505,900 2015-09-02 $25.44 $25.00 35.6% 10.1% 39.9% 51.0% 36.4% 7.4% -0.3% 22.3M -3.14B -22.1M 1.11 46.05 N/A N/A 530,820 591,700 4,235,900 4,663,100 2015-09-03 $25.30 $23.75 35.0% 10.3% 39.7% 49.0% 36.7% 7.2% -0.2% 13.8M -2.94B -21.8M 1.26 24.40 N/A N/A 598,060 756,520 4,349,180 4,773,680 2015-09-04 $24.97 $23.75 35.7% 10.6% 39.7% 51.5% 37.2% 7.9% -0.0% -79.5M -2.32B -21.7M 1.14 25.01 N/A N/A 667,000 762,800 4,468,040 4,916,340 2015-09-08 $25.88 $23.75 32.9% 9.8% 41.9% 41.7% 35.4% 6.6% 1.0% 79.2M -3.91B -20.7M 0.95 30.50 N/A N/A 514,040 488,240 4,200,760 4,589,060 2015-09-09 $25.80 $24.00 33.3% 9.8% 41.8% 42.9% 34.3% 6.3% 1.0% 82.4M -3.90B -19.8M 1.11 26.34 N/A N/A 688,620 764,000 4,309,820 4,709,640 2015-09-10 $26.08 $24.00 33.2% 10.0% 42.0% 42.6% 36.6% 6.5% 1.7% 113.8M -4.26B -20.0M 1.43 23.92 N/A N/A 598,800 854,620 4,372,940 4,832,600 2015-09-11 $26.38 $24.75 31.9% 9.4% 42.1% 37.9% 34.7% 6.7% 1.3% 176.0M -4.90B -19.7M 1.01 32.04 N/A N/A 812,780 821,200 4,471,540 4,965,180 2015-09-14 $26.06 $24.75 32.8% 9.5% 42.3% 41.1% 34.2% 6.5% 13.3% 72.2M -4.00B -19.2M 1.06 22.10 N/A N/A 494,420 522,240 4,182,660 4,663,900 2015-09-15 $26.12 $24.75 30.9% 8.9% 42.2% 34.4% 32.4% 6.6% 14.3% 81.4M -4.15B -18.7M 0.94 31.33 N/A N/A 468,400 441,900 4,244,580 4,779,420 2015-09-16 $26.38 $25.00 28.5% 8.2% 42.4% 25.9% 30.2% 5.8% 15.4% 110.0M -4.56B -18.4M 1.22 27.68 N/A N/A 414,660 506,980 4,260,700 4,886,460 2015-09-17 $26.97 $25.00 31.6% 8.2% 43.1% 36.8% 29.6% 4.8% 14.2% 208.8M -5.81B -17.8M 0.79 33.16 N/A N/A 1,166,640 923,820 4,318,360 4,991,300 2015-09-18 $27.03 $25.00 34.6% 8.4% 41.5% 47.6% 30.8% 4.3% 14.1% 236.2M -5.94B -18.0M 0.98 27.22 N/A N/A 1,385,780 1,355,280 4,434,620 5,116,240 2015-09-21 $27.42 $25.00 39.9% 7.8% 38.7% 66.2% 28.5% 4.6% -1.6% 116.5M -5.08B -17.6M 0.83 26.93 N/A N/A 778,200 642,140 3,483,240 4,092,660 2015-09-22 $26.78 $25.00 44.0% 8.2% 33.1% 80.9% 28.7% 5.2% -1.7% 63.0M -4.21B -18.4M 1.00 25.07 N/A N/A 584,440 586,760 3,722,860 4,297,300 2015-09-23 $26.88 $25.00 44.6% 7.9% 33.1% 82.8% 28.0% 5.8% -1.8% 66.9M -4.35B -18.2M 0.90 28.60 N/A N/A 517,620 464,460 3,787,040 4,520,500 2015-09-24 $26.68 $25.00 45.6% 8.2% 27.3% 86.5% 28.9% 6.4% -1.6% 34.3M -3.96B -19.0M 0.93 27.94 N/A N/A 793,300 739,960 3,865,880 4,576,480 2015-09-25 $26.23 $25.00 47.5% 8.7% 26.4% 93.2% 30.0% 6.9% -2.0% -31.6M -3.26B -18.8M 1.09 26.97 N/A N/A 1,186,900 1,291,820 3,991,080 4,697,380 2015-09-28 $25.24 $25.00 55.9% 11.6% 29.8% 100.0% 40.2% 9.1% -3.7% -17.8M -2.19B -19.8M 1.23 43.66 N/A N/A 857,460 1,057,340 3,701,060 4,304,180 2015-09-29 $24.81 $25.00 58.6% 12.1% 30.3% 100.0% 42.2% 10.6% -4.3% -41.7M -1.59B -20.5M 1.15 44.45 N/A N/A 754,620 866,460 3,941,460 4,600,300 2015-09-30 $25.62 $25.00 51.8% 10.2% 30.1% 81.9% 37.2% 7.6% -3.2% -1.5M -2.81B -20.4M 1.18 42.11 N/A N/A 646,380 761,820 4,104,780 4,781,280
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