AMZN Options History — December 2015 In December 2015, AMZN traded between $32.02 and $34.69. ATM implied volatility averaged 30.4%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.8% (HV 20d: 24.6%). Max pain ranged from $24.75 to $31.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.90.
Notable Days 2015-12-11 : Highest Volume — 3,508,600 contracts2015-12-28 : Largest IV spike — 34.1% change2015-12-31 : Highest IV Rank — 57.8%2015-12-11 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $33.47 $32.02 $34.69 $33.95 $33.90 Max Pain $26.03 $24.75 $31.50 $31.00 $26.50 ATM IV 30.4% 25.6% 42.8% 25.6% 42.8% Expected Move 7.9% 6.8% 9.6% 7.5% 6.9% HV 20d 24.6% 23.0% 27.0% 24.8% 25.2% HV 60d 28.1% 26.4% 29.5% 28.5% 26.5% IV Rank 24.6% 12.0% 57.8% 12.0% 57.8% IV Percentile 50.5% 34.1% 84.1% 34.1% 84.1% Term Structure 2.5% -2.4% 14.4% 0.3% -2.4% VWIV 27.7% 24.0% 33.4% 26.8% 24.0% Skew 25d 4.2% 3.1% 6.0% 3.1% 4.8% Skew 10d 8.3% 5.9% 11.5% 5.9% 9.0% Call IV 25d 28.6% 24.1% 40.8% 24.4% 40.8% Put IV 25d 32.8% 27.3% 45.6% 27.5% 45.6% Bid-Ask Spread % 37.99 17.22 54.35 24.60 47.44 Gamma HHI 0.07 0.04 0.13 0.06 0.09 Net GEX 146.4M -144.1M 317.3M 248.5M -12.9M Net DEX -7.57B -9.57B -4.15B -9.41B -7.00B Net VEX -20.6M -22.4M -18.9M -19.3M -20.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.67 1.32 0.93 0.93 Total Volume 2,043,461.818 1,132,860 3,508,600 2,279,100 2,429,300 Total OI 10,193,871.818 8,888,060 11,237,340 9,813,960 10,396,560
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 2015-12-01 $33.95 $31.00 25.6% 7.5% 24.8% 12.0% 26.8% 3.1% 0.3% 248.5M -9.41B -19.3M 0.93 24.60 N/A N/A 1,181,480 1,097,620 4,627,760 5,186,200 2015-12-02 $33.80 $31.50 26.1% 7.8% 24.9% 13.3% 27.5% 3.3% 0.5% 205.3M -8.81B -20.7M 0.90 21.41 N/A N/A 1,011,080 904,980 4,778,160 5,562,420 2015-12-03 $33.33 $24.75 27.7% 8.2% 24.8% 17.6% 28.7% 3.6% 0.3% 29.2M -7.26B -21.2M 0.96 25.62 N/A N/A 1,476,400 1,415,200 4,837,900 5,720,920 2015-12-04 $33.61 $25.00 26.1% 7.8% 23.3% 13.3% 27.3% 3.5% 0.6% 234.7M -8.25B -20.6M 0.83 23.31 N/A N/A 1,547,460 1,277,740 5,002,320 5,775,160 2015-12-07 $33.49 $25.00 27.0% 7.9% 23.3% 15.6% 28.1% 3.6% 0.5% 158.6M -7.97B -20.2M 0.99 45.41 N/A N/A 733,480 728,940 4,488,100 5,160,660 2015-12-08 $33.91 $25.00 26.7% 7.8% 23.5% 14.9% 28.1% 3.8% 0.4% 228.0M -8.99B -20.0M 1.32 23.31 N/A N/A 826,460 1,091,140 4,614,840 5,363,560 2015-12-09 $33.19 $25.00 29.8% 8.6% 24.9% 23.0% 30.5% 4.3% 0.4% 73.7M -7.07B -21.6M 0.72 28.40 N/A N/A 1,426,160 1,028,140 4,735,700 5,584,760 2015-12-10 $33.05 $25.00 28.4% 8.3% 24.6% 19.4% 28.3% 4.2% 0.5% 36.8M -6.78B -21.5M 0.67 27.45 N/A N/A 1,032,500 688,300 5,049,800 5,771,420 2015-12-11 $32.02 $25.00 33.2% 9.6% 27.0% 32.2% 33.4% 5.0% 0.5% -144.1M -4.15B -22.1M 1.00 27.16 N/A N/A 1,756,180 1,752,420 5,402,660 5,834,680 2015-12-14 $32.87 $25.00 31.9% 9.2% 25.8% 28.7% 32.5% 5.0% 0.3% 141.3M -6.94B -22.4M 0.79 17.22 N/A N/A 1,022,540 812,200 4,976,280 5,400,600 2015-12-15 $32.97 $25.25 29.3% 8.4% 25.7% 21.6% 29.8% 4.3% 0.3% 175.9M -7.28B -21.8M 0.94 45.66 N/A N/A 892,000 842,540 5,135,160 5,555,160 2015-12-16 $33.79 $25.50 27.5% 7.9% 26.8% 17.0% 27.9% 4.1% 0.7% 317.3M -9.30B -20.9M 0.77 54.35 N/A N/A 971,380 749,880 5,176,540 5,716,520 2015-12-17 $33.60 $25.50 27.6% 7.9% 24.3% 17.2% 27.6% 4.0% 0.7% 284.5M -8.65B -20.7M 1.14 44.37 N/A N/A 919,880 1,053,200 5,180,180 5,872,140 2015-12-18 $33.32 $25.50 29.6% 8.4% 24.5% 22.5% 29.2% 4.3% 1.1% 93.0M -7.55B -20.7M 0.95 44.75 N/A N/A 1,350,820 1,286,900 5,227,100 6,003,340 2015-12-21 $33.19 $25.50 29.3% 8.2% 24.3% 21.8% 28.7% 4.7% 12.6% 102.7M -6.44B -20.2M 0.97 44.23 N/A N/A 695,840 676,740 4,184,000 4,704,060 2015-12-22 $33.13 $25.75 27.6% 7.4% 23.4% 17.3% 26.2% 3.9% 12.0% 77.3M -6.31B -20.0M 0.97 45.81 N/A N/A 627,300 610,640 4,338,380 4,936,020 2015-12-23 $33.17 $26.00 25.8% 7.1% 23.1% 12.3% 25.3% 4.0% 13.8% 126.9M -6.39B -19.8M 0.75 48.47 N/A N/A 817,160 609,700 4,466,340 5,054,820 2015-12-24 $33.14 $26.00 28.1% 6.8% 23.0% 18.6% 24.1% 3.2% 14.4% 156.8M -6.39B -19.4M 0.99 48.65 N/A N/A 568,860 564,000 4,551,300 5,167,840 2015-12-28 $33.70 $26.25 37.7% 7.1% 23.8% 44.2% 25.5% 6.0% -0.7% 158.0M -7.28B -18.9M 0.80 51.32 N/A N/A 972,840 781,200 4,157,460 4,843,660 2015-12-29 $34.69 $26.25 39.0% 7.0% 25.4% 47.6% 25.3% 5.0% -0.6% 311.2M -9.57B -19.4M 0.79 44.49 N/A N/A 1,658,760 1,315,120 4,488,740 5,120,740 2015-12-30 $34.44 $26.50 41.5% 7.1% 24.5% 54.2% 25.6% 5.2% -0.9% 217.2M -8.72B -20.2M 0.78 52.41 N/A N/A 983,460 768,220 4,647,000 5,468,220 2015-12-31 $33.90 $26.50 42.8% 6.9% 25.2% 57.8% 24.0% 4.8% -2.4% -12.9M -7.00B -20.5M 0.93 47.44 N/A N/A 1,260,240 1,169,060 4,792,060 5,604,500
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