AMZN Options History — February 2016

In February 2016, AMZN traded between $24.18 and $28.70. ATM implied volatility averaged 37.0%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 21.8% (HV 20d: 58.8%). Max pain ranged from $27.25 to $30.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2016-02-05: Highest Volume — 3,284,340 contracts
2016-02-05: Largest IV spike — 19.4% change
2016-02-09: Highest IV Rank — 69.8%
2016-02-09: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.54	$24.18	$28.70	$28.70	$27.70
Max Pain	$28.04	$27.25	$30.50	$30.50	$27.50
ATM IV	37.0%	31.7%	47.3%	32.5%	31.8%
Expected Move	10.6%	9.1%	13.2%	9.5%	9.5%
HV 20d	58.8%	41.9%	61.7%	59.7%	41.9%
HV 60d	43.1%	40.2%	44.5%	40.2%	44.1%
IV Rank	42.2%	28.1%	69.8%	30.1%	28.4%
IV Percentile	63.7%	49.2%	86.5%	56.7%	49.2%
Term Structure	-0.6%	-1.4%	0.1%	-0.2%	-0.1%
VWIV	37.4%	31.6%	46.8%	33.5%	33.5%
Skew 25d	5.3%	4.7%	6.1%	5.1%	4.9%
Skew 10d	10.5%	9.4%	12.4%	9.7%	9.6%
Call IV 25d	34.6%	29.3%	44.8%	30.2%	29.4%
Put IV 25d	39.9%	34.3%	50.6%	35.3%	34.3%
Bid-Ask Spread %	42.75	35.16	51.45	46.40	38.36
Gamma HHI	0.06	0.03	0.34	0.05	0.03
Net GEX	-27.7M	-248.6M	95.7M	-60.8M	16.6M
Net DEX	1.68B	-1.84B	5.42B	1.08B	-1.21B
Net VEX	-21.3M	-22.7M	-19.7M	-22.7M	-22.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.71	1.32	0.92	0.94
Total Volume	2,011,527	1,237,160	3,284,340	1,858,600	1,237,160
Total OI	9,120,363	6,705,280	10,659,680	8,654,060	7,088,920

Daily Data (20 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
2016-02-01	$28.70	$30.50	32.5%	9.5%	59.7%	30.1%	33.5%	5.1%	-0.2%	-60.8M	1.08B	-22.7M	0.92	46.40	N/A	N/A	968,340	890,260	4,390,320	4,263,740
2016-02-02	$27.60	$30.25	35.3%	10.6%	57.3%	37.8%	36.7%	5.2%	-0.5%	-119.1M	2.67B	-22.2M	0.71	43.51	N/A	N/A	1,379,560	979,140	4,635,120	4,486,800
2016-02-03	$26.66	$30.00	37.2%	11.2%	58.0%	42.9%	40.0%	4.8%	-0.8%	-140.1M	3.83B	-21.2M	0.86	44.66	N/A	N/A	1,536,720	1,323,900	4,869,520	4,626,860
2016-02-04	$26.80	$28.50	36.0%	10.1%	58.2%	39.7%	36.0%	4.7%	-0.7%	-103.3M	3.37B	-21.8M	0.74	38.65	N/A	N/A	1,146,580	849,680	5,236,860	4,832,180
2016-02-05	$25.03	$28.50	43.0%	11.8%	61.5%	58.3%	40.7%	5.3%	-1.0%	-248.6M	5.42B	-19.8M	0.90	42.33	N/A	N/A	1,728,200	1,556,140	5,426,340	4,989,560
2016-02-08	$24.43	$28.00	47.1%	13.0%	61.7%	69.3%	45.6%	5.8%	-1.4%	-69.7M	4.58B	-19.7M	0.95	40.99	N/A	N/A	969,320	921,480	4,933,980	4,462,060
2016-02-09	$24.18	$28.25	47.3%	13.2%	60.8%	69.8%	46.8%	5.8%	-1.1%	-58.5M	4.54B	-19.7M	0.84	43.21	N/A	N/A	973,440	818,200	5,175,700	4,587,280
2016-02-10	$24.56	$28.00	43.4%	12.3%	61.3%	59.4%	42.5%	5.6%	-0.6%	-51.8M	4.03B	-20.0M	0.76	44.61	N/A	N/A	1,037,400	787,740	5,377,300	4,639,760
2016-02-11	$25.30	$27.50	44.6%	12.6%	59.8%	62.5%	43.9%	6.1%	-0.6%	-19.9M	3.10B	-22.2M	0.73	44.38	N/A	N/A	1,172,360	851,080	5,607,260	4,768,240
2016-02-12	$25.34	$27.25	37.8%	10.8%	59.0%	44.4%	38.8%	5.4%	0.1%	4.1M	3.09B	-21.3M	0.92	47.05	N/A	N/A	1,253,000	1,152,300	5,776,240	4,883,440
2016-02-16	$26.00	$27.50	36.1%	10.4%	59.0%	39.9%	36.7%	5.1%	-0.5%	-36.7M	2.58B	-20.8M	0.87	45.50	N/A	N/A	691,620	599,200	5,229,920	4,611,240
2016-02-17	$26.71	$27.25	34.8%	10.0%	59.9%	36.3%	35.0%	5.3%	-0.7%	-10.9M	1.29B	-21.3M	1.07	47.84	N/A	N/A	809,600	865,820	5,351,340	4,580,220
2016-02-18	$26.26	$27.25	35.7%	10.3%	60.1%	38.8%	36.1%	4.9%	-0.6%	-27.2M	2.14B	-20.7M	1.12	51.45	N/A	N/A	752,180	842,000	5,430,000	4,733,720
2016-02-19	$26.76	$27.25	31.8%	9.1%	60.6%	28.3%	31.6%	5.5%	-0.1%	95.7M	1.15B	-20.4M	0.87	49.55	N/A	N/A	1,475,200	1,289,440	5,542,160	4,748,800
2016-02-22	$27.93	$27.25	31.7%	9.2%	61.4%	28.1%	33.0%	5.2%	-0.8%	59.9M	-1.84B	-21.4M	1.06	35.16	N/A	N/A	948,780	1,004,240	3,478,920	3,226,360
2016-02-23	$27.66	$27.50	33.3%	9.7%	61.4%	32.3%	34.6%	5.1%	-0.9%	38.7M	-1.42B	-22.0M	1.32	35.65	N/A	N/A	588,080	773,900	3,621,780	3,571,800
2016-02-24	$27.68	$27.50	33.7%	9.8%	61.3%	33.4%	34.9%	5.5%	-0.7%	38.0M	-1.39B	-22.3M	0.96	38.75	N/A	N/A	1,064,020	1,023,340	3,719,420	3,734,280
2016-02-25	$27.70	$27.50	32.6%	9.5%	60.6%	30.4%	33.2%	5.1%	-0.5%	72.6M	-1.63B	-22.3M	0.89	39.15	N/A	N/A	905,500	809,640	3,888,940	3,874,260
2016-02-26	$27.77	$27.50	33.5%	9.8%	51.6%	32.9%	34.9%	5.1%	-0.5%	66.5M	-1.73B	-22.5M	0.99	37.76	N/A	N/A	1,135,660	1,120,320	4,002,320	4,004,300
2016-02-29	$27.70	$27.50	31.8%	9.5%	41.9%	28.4%	33.5%	4.9%	-0.1%	16.6M	-1.21B	-22.0M	0.94	38.36	N/A	N/A	638,280	598,880	3,487,200	3,601,720