AMZN Options History — March 2016 In March 2016, AMZN traded between $27.53 and $29.92. ATM implied volatility averaged 33.1%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.9% (HV 20d: 29.2%). Max pain ranged from $27.50 to $28.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.95.
Notable Days 2016-03-24 : Highest Volume — 3,062,380 contracts2016-03-28 : Largest IV spike — 18.9% change2016-03-30 : Highest IV Rank — 56.1%2016-03-08 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.60 $27.53 $29.92 $28.90 $29.71 Max Pain $28.05 $27.50 $28.50 $27.50 $28.50 ATM IV 33.1% 26.8% 42.2% 28.6% 41.9% Expected Move 8.3% 6.9% 9.7% 8.5% 7.1% HV 20d 29.2% 22.0% 44.6% 44.6% 22.2% HV 60d 44.6% 42.8% 45.1% 45.1% 42.8% IV Rank 31.9% 15.0% 56.1% 19.8% 55.3% IV Percentile 52.5% 29.8% 79.0% 41.7% 78.2% Term Structure 2.2% -2.8% 7.6% 0.2% -2.8% VWIV 29.6% 24.4% 33.6% 30.7% 25.3% Skew 25d 4.4% 3.8% 5.2% 5.0% 5.2% Skew 10d 8.6% 6.9% 10.8% 10.8% 8.9% Call IV 25d 31.0% 25.3% 39.8% 26.4% 39.5% Put IV 25d 35.5% 29.0% 44.7% 31.4% 44.7% Bid-Ask Spread % 19.81 11.34 43.49 41.68 18.28 Gamma HHI 0.08 0.03 0.45 0.04 0.09 Net GEX 90.9M -291.3M 233.4M 104.0M 132.9M Net DEX -2.39B -4.43B -278.6M -2.95B -3.67B Net VEX -21.8M -22.8M -20.6M -22.4M -22.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.69 1.25 1.10 0.96 Total Volume 1,790,857.273 878,980 3,062,380 1,981,140 1,375,160 Total OI 7,833,690 6,627,980 8,754,080 7,422,440 8,160,980
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 2016-03-01 $28.90 $27.50 28.6% 8.5% 44.6% 19.8% 30.7% 5.0% 0.2% 104.0M -2.95B -22.4M 1.10 41.68 N/A N/A 945,100 1,036,040 3,667,100 3,755,340 2016-03-02 $28.96 $27.50 29.0% 8.6% 42.1% 20.9% 31.5% 4.8% 0.2% 101.3M -3.03B -22.7M 1.08 43.49 N/A N/A 904,540 976,300 3,757,460 3,974,800 2016-03-03 $28.85 $28.00 30.2% 8.8% 39.9% 24.1% 31.8% 4.8% 0.4% 100.4M -2.88B -22.8M 1.05 15.95 N/A N/A 604,320 631,560 3,916,500 4,156,920 2016-03-04 $28.76 $28.00 30.1% 8.8% 40.0% 23.8% 31.7% 4.8% 0.6% 103.3M -2.73B -22.5M 1.14 21.68 N/A N/A 888,960 1,017,380 4,002,100 4,259,140 2016-03-07 $28.13 $28.00 32.0% 9.2% 31.4% 28.9% 32.8% 4.7% 0.1% 27.9M -1.55B -22.0M 1.00 25.42 N/A N/A 782,320 784,960 3,668,900 3,831,920 2016-03-08 $28.00 $28.00 33.2% 9.7% 29.6% 32.1% 33.6% 4.7% 0.5% 28.5M -1.40B -22.3M 1.14 25.91 N/A N/A 703,920 805,460 3,878,660 3,998,740 2016-03-09 $27.90 $28.00 32.5% 9.4% 29.1% 30.3% 33.3% 4.6% 0.2% 5.5M -1.17B -22.1M 0.83 24.03 N/A N/A 783,500 654,180 3,953,500 4,143,400 2016-03-10 $27.90 $28.00 32.3% 9.3% 29.1% 29.7% 32.7% 4.5% 0.2% 27.2M -1.22B -22.1M 0.89 22.33 N/A N/A 995,220 888,180 4,079,720 4,225,880 2016-03-11 $28.47 $28.00 28.7% 8.4% 28.3% 20.2% 29.9% 3.8% 1.1% 193.7M -2.50B -21.6M 0.96 17.85 N/A N/A 1,057,220 1,015,460 4,218,440 4,326,100 2016-03-14 $28.71 $28.00 29.5% 8.5% 28.2% 22.2% 30.0% 4.2% 6.5% 105.3M -2.53B -21.3M 1.03 11.34 N/A N/A 432,820 446,160 3,752,560 3,847,820 2016-03-15 $28.87 $28.00 28.5% 8.2% 27.3% 19.7% 29.2% 3.9% 5.7% 137.1M -2.84B -21.1M 0.94 12.04 N/A N/A 720,260 678,020 3,878,280 4,005,960 2016-03-16 $28.67 $28.00 26.8% 7.7% 26.3% 15.0% 27.3% 3.8% 7.6% 116.3M -2.48B -20.6M 0.83 15.89 N/A N/A 740,520 615,280 3,950,700 4,119,720 2016-03-17 $27.88 $28.00 30.6% 8.4% 27.7% 25.2% 29.6% 3.9% 6.4% -28.5M -883.7M -20.8M 0.69 16.84 N/A N/A 1,134,600 780,960 4,026,660 4,217,960 2016-03-18 $27.53 $28.00 32.6% 8.7% 27.6% 30.5% 29.6% 4.0% 6.2% -291.3M -278.6M -20.7M 0.80 20.27 N/A N/A 1,682,180 1,342,160 4,374,880 4,379,200 2016-03-21 $27.61 $28.00 34.3% 8.4% 22.9% 35.1% 29.5% 3.9% 4.8% 22.9M -943.1M -20.9M 0.74 14.94 N/A N/A 900,460 667,800 3,268,940 3,359,040 2016-03-22 $28.02 $28.00 34.8% 7.9% 23.2% 36.4% 27.8% 4.2% 4.1% 124.1M -1.67B -21.3M 0.74 12.18 N/A N/A 1,076,840 791,860 3,549,980 3,596,900 2016-03-23 $28.49 $28.00 33.6% 7.8% 23.9% 33.1% 27.7% 4.1% 6.6% 219.5M -2.61B -22.1M 0.83 13.07 N/A N/A 1,107,380 918,440 3,776,700 3,832,440 2016-03-24 $29.15 $28.00 34.5% 7.5% 25.1% 35.7% 26.9% 3.9% 6.4% 225.1M -4.07B -22.1M 1.12 11.55 N/A N/A 1,444,480 1,617,900 3,899,280 4,017,620 2016-03-28 $29.01 $28.50 41.0% 8.0% 25.2% 53.1% 29.0% 4.8% -2.2% 121.1M -2.77B -22.1M 1.25 16.04 N/A N/A 577,220 719,160 3,527,300 3,635,540 2016-03-29 $29.70 $28.50 41.8% 7.5% 26.2% 55.1% 27.1% 4.9% -2.4% 189.2M -4.02B -22.0M 0.78 15.87 N/A N/A 1,263,920 979,640 3,653,820 3,837,100 2016-03-30 $29.92 $28.50 42.2% 6.9% 22.0% 56.1% 24.4% 4.9% -2.6% 233.4M -4.43B -21.7M 0.90 19.25 N/A N/A 1,007,860 903,160 3,818,480 4,038,700 2016-03-31 $29.71 $28.50 41.9% 7.1% 22.2% 55.3% 25.3% 5.2% -2.8% 132.9M -3.67B -22.1M 0.96 18.28 N/A N/A 701,780 673,380 3,903,140 4,257,840
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