AMZN Options History — January 2016

In January 2016, AMZN traded between $28.57 and $31.81. ATM implied volatility averaged 48.9%, placing in the 73.9% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 9.1% (HV 20d: 39.7%). Max pain ranged from $30.50 to $33.25. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2016-01-28: Highest Volume — 5,165,500 contracts
2016-01-29: Largest IV drop — 29.8% change
2016-01-20: Highest IV Rank — 84.0%
2016-01-27: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.04	$28.57	$31.81	$31.81	$28.99
Max Pain	$32.02	$30.50	$33.25	$33.25	$30.63
ATM IV	48.9%	35.1%	52.6%	49.3%	35.1%
Expected Move	13.7%	10.3%	16.0%	12.6%	10.3%
HV 20d	39.7%	33.3%	59.7%	33.6%	59.7%
HV 60d	31.9%	29.6%	40.2%	29.9%	40.2%
IV Rank	73.9%	37.2%	84.0%	75.2%	37.2%
IV Percentile	93.3%	61.9%	98.8%	96.4%	61.9%
Term Structure	-2.9%	-3.7%	-0.2%	-3.2%	-0.2%
VWIV	47.1%	35.4%	54.9%	43.8%	35.4%
Skew 25d	5.8%	4.4%	6.6%	6.4%	4.4%
Skew 10d	10.7%	8.8%	12.1%	12.1%	9.5%
Call IV 25d	45.4%	33.1%	49.2%	45.4%	33.1%
Put IV 25d	51.3%	37.4%	55.4%	51.8%	37.4%
Bid-Ask Spread %	19.12	11.91	33.57	22.48	33.57
Gamma HHI	0.06	0.02	0.50	0.03	0.04
Net GEX	-1.8M	-120.0M	339.6M	-29.5M	-117.6M
Net DEX	-1.50B	-4.22B	1.37B	-3.71B	1.37B
Net VEX	-21.7M	-25.5M	-20.0M	-20.3M	-22.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.52	1.00	0.77	0.96
Total Volume	2,435,091.579	1,374,240	5,165,500	2,953,020	3,139,900
Total OI	9,374,625.263	6,335,660	11,739,380	9,431,880	10,145,720

Daily Data (19 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
2016-01-04	$31.81	$33.25	49.3%	12.6%	33.6%	75.2%	43.8%	6.4%	-3.2%	-29.5M	-3.71B	-20.3M	0.77	22.48	N/A	N/A	1,668,020	1,285,000	4,246,020	5,185,860
2016-01-05	$31.75	$33.00	48.2%	12.3%	33.4%	72.3%	42.8%	5.9%	-2.6%	3.1M	-3.83B	-21.7M	0.77	21.65	N/A	N/A	1,080,520	833,420	4,814,700	5,557,740
2016-01-06	$31.57	$33.00	47.7%	12.3%	33.4%	70.9%	42.6%	6.0%	-2.7%	-6.5M	-3.48B	-21.7M	0.80	21.47	N/A	N/A	1,089,620	873,960	5,000,960	5,736,780
2016-01-07	$30.55	$33.00	50.9%	13.0%	34.5%	79.5%	44.9%	6.4%	-3.4%	-83.8M	-1.67B	-20.7M	0.76	26.20	N/A	N/A	1,643,200	1,248,640	5,171,800	5,850,440
2016-01-08	$30.31	$32.75	49.3%	12.8%	34.0%	75.2%	44.5%	6.2%	-3.2%	-112.6M	-1.25B	-21.4M	1.00	17.47	N/A	N/A	1,433,580	1,427,860	5,457,320	6,048,600
2016-01-11	$30.83	$32.75	48.4%	12.9%	34.8%	72.8%	44.9%	6.3%	-2.6%	-13.6M	-3.06B	-21.2M	0.82	12.89	N/A	N/A	1,062,520	875,420	4,892,940	5,615,360
2016-01-12	$30.98	$32.75	46.5%	12.4%	33.3%	67.6%	43.0%	6.0%	-2.9%	23.7M	-3.45B	-21.0M	0.83	11.91	N/A	N/A	807,600	667,440	5,142,300	5,729,220
2016-01-13	$29.07	$32.50	51.4%	13.9%	38.2%	80.7%	47.0%	6.5%	-3.0%	-94.7M	-429.9M	-20.0M	0.79	20.00	N/A	N/A	1,611,640	1,271,080	5,222,480	5,817,300
2016-01-14	$29.69	$32.50	48.2%	13.0%	39.2%	72.1%	44.7%	6.1%	-3.5%	-65.2M	-1.42B	-20.5M	0.75	15.58	N/A	N/A	1,541,940	1,154,400	5,522,820	5,954,540
2016-01-15	$28.57	$32.50	51.9%	14.1%	39.2%	82.0%	48.3%	6.1%	-3.7%	-120.0M	418.5M	-20.0M	0.91	20.58	N/A	N/A	1,675,280	1,526,560	5,640,360	6,099,020
2016-01-19	$28.79	$32.50	51.2%	14.5%	39.6%	80.2%	49.8%	5.8%	-3.2%	-9.0M	476.7M	-20.2M	0.52	12.35	N/A	N/A	1,056,480	552,080	3,296,340	3,039,320
2016-01-20	$28.64	$32.00	52.6%	15.1%	39.7%	84.0%	52.4%	6.6%	-3.3%	16.7M	387.1M	-20.5M	0.78	14.17	N/A	N/A	1,172,480	916,900	3,754,460	3,198,660
2016-01-21	$28.81	$31.50	50.6%	14.7%	39.9%	78.5%	50.6%	5.5%	-3.4%	42.1M	-21.4M	-21.6M	0.69	19.91	N/A	N/A	1,197,540	827,700	3,978,260	3,419,160
2016-01-22	$29.79	$31.25	47.5%	13.9%	42.4%	70.2%	48.1%	5.3%	-3.4%	339.6M	-1.49B	-22.0M	0.78	16.79	N/A	N/A	1,665,200	1,303,860	4,131,920	3,595,960
2016-01-25	$29.82	$31.00	49.9%	15.1%	42.4%	76.6%	52.4%	5.2%	-2.5%	25.9M	-1.19B	-22.6M	0.80	14.84	N/A	N/A	914,380	728,500	3,534,760	3,287,700
2016-01-26	$30.02	$30.50	48.5%	14.9%	42.6%	72.9%	51.2%	5.5%	-2.5%	38.3M	-1.47B	-23.9M	0.75	15.03	N/A	N/A	786,960	587,280	3,907,320	3,633,840
2016-01-27	$29.13	$30.50	51.1%	16.0%	42.7%	80.0%	54.9%	4.9%	-2.8%	11.8M	-401.0M	-24.1M	0.59	16.44	N/A	N/A	925,340	548,940	4,154,000	3,873,560
2016-01-28	$31.64	$30.50	50.0%	15.8%	52.0%	76.9%	54.1%	5.5%	-2.9%	117.6M	-4.22B	-25.5M	0.64	29.97	N/A	N/A	3,141,680	2,023,820	4,426,840	4,033,500
2016-01-29	$28.99	$30.63	35.1%	10.3%	59.7%	37.2%	35.4%	4.4%	-0.2%	-117.6M	1.37B	-22.9M	0.96	33.57	N/A	N/A	1,599,160	1,540,740	5,313,400	4,832,320