AMZN Options History — April 2016 In April 2016, AMZN traded between $29.32 and $32.98. ATM implied volatility averaged 42.2%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 19.7% (HV 20d: 22.5%). Max pain ranged from $27.75 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.95.
Notable Days 2016-04-29 : Highest Volume — 4,466,500 contracts2016-04-29 : Largest IV drop — 38.4% change2016-04-07 : Highest IV Rank — 69.6%2016-04-28 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $30.67 $29.32 $32.98 $29.92 $32.98 Max Pain $28.92 $27.75 $30.00 $28.50 $30.00 ATM IV 42.2% 26.2% 47.3% 41.2% 26.2% Expected Move 11.5% 6.5% 13.7% 6.5% 7.6% HV 20d 22.5% 19.3% 39.7% 22.2% 39.7% HV 60d 38.8% 29.5% 42.8% 42.8% 34.4% IV Rank 56.2% 13.6% 69.6% 53.6% 13.6% IV Percentile 74.6% 25.4% 85.7% 76.2% 25.4% Term Structure -2.7% -3.4% -0.5% -2.9% -0.5% VWIV 40.5% 23.2% 46.5% 23.2% 28.2% Skew 25d 4.8% 3.5% 6.0% 4.5% 3.5% Skew 10d 8.8% 5.4% 11.2% 9.0% 7.7% Call IV 25d 39.6% 24.7% 44.6% 39.9% 24.7% Put IV 25d 44.4% 28.2% 50.6% 44.4% 28.2% Bid-Ask Spread % 23.03 11.44 40.09 19.79 11.44 Gamma HHI 0.08 0.02 0.34 0.15 0.34 Net GEX 128.3M -50.2M 412.6M 223.1M 412.6M Net DEX -3.99B -7.75B -1.95B -4.16B -7.75B Net VEX -22.4M -23.7M -21.3M -21.7M -21.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.71 1.34 0.82 0.98 Total Volume 1,837,266.667 913,060 4,466,500 1,853,240 4,466,500 Total OI 7,986,938.095 6,580,040 9,267,440 8,314,280 9,267,440
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 2016-04-01 $29.92 $28.50 41.2% 6.5% 22.2% 53.6% 23.2% 4.5% -2.9% 223.1M -4.16B -21.7M 0.82 19.79 N/A N/A 1,015,940 837,300 3,998,400 4,315,880 2016-04-04 $29.62 $27.75 43.9% 11.1% 22.5% 60.6% 39.9% 5.4% -2.5% 109.6M -3.19B -21.6M 1.34 24.57 N/A N/A 505,640 679,620 3,616,940 3,786,080 2016-04-05 $29.32 $28.00 45.1% 11.5% 21.2% 63.8% 40.7% 5.7% -2.7% 55.7M -2.53B -21.9M 1.10 26.38 N/A N/A 500,760 550,720 3,705,280 4,003,960 2016-04-06 $30.10 $28.00 45.1% 11.5% 22.7% 63.8% 40.7% 5.6% -2.8% 178.3M -4.13B -21.9M 0.71 23.40 N/A N/A 882,500 623,940 3,780,800 4,118,540 2016-04-07 $29.59 $28.25 47.3% 12.1% 23.8% 69.6% 42.2% 6.0% -3.4% 71.1M -3.02B -22.3M 0.82 24.38 N/A N/A 961,140 786,520 3,888,540 4,245,380 2016-04-08 $29.72 $28.25 45.9% 11.8% 23.7% 65.9% 41.7% 6.0% -3.4% 150.4M -3.38B -22.2M 0.97 25.84 N/A N/A 1,048,620 1,016,160 4,089,660 4,436,560 2016-04-11 $29.85 $28.25 45.7% 12.1% 22.9% 65.5% 42.2% 5.7% -2.6% 124.8M -3.47B -21.6M 0.89 25.09 N/A N/A 731,720 653,040 3,720,420 4,050,460 2016-04-12 $30.15 $28.50 45.3% 12.0% 22.9% 64.4% 42.6% 5.8% -3.0% 166.9M -3.99B -21.6M 0.97 22.91 N/A N/A 694,280 671,860 3,822,780 4,252,540 2016-04-13 $30.73 $28.50 43.9% 11.8% 23.7% 60.7% 41.7% 5.7% -2.9% 224.9M -5.24B -21.3M 0.85 18.97 N/A N/A 1,156,060 986,280 3,929,980 4,412,120 2016-04-14 $31.07 $28.75 42.7% 11.6% 23.5% 57.5% 41.0% 4.9% -2.7% 215.1M -5.86B -21.5M 0.88 21.28 N/A N/A 1,192,240 1,049,140 4,059,760 4,685,740 2016-04-15 $31.30 $28.75 41.8% 11.4% 20.2% 55.0% 40.4% 5.1% -3.2% 224.2M -6.13B -22.1M 0.99 20.05 N/A N/A 995,900 987,020 4,212,920 4,941,360 2016-04-18 $31.78 $28.75 40.3% 11.3% 19.3% 51.0% 40.2% 4.9% -2.1% 97.4M -4.29B -22.0M 0.88 15.03 N/A N/A 924,000 815,780 3,053,780 3,526,260 2016-04-19 $31.34 $29.00 40.8% 11.6% 20.7% 52.5% 40.7% 4.0% -2.6% 81.0M -3.79B -22.8M 0.93 15.63 N/A N/A 825,140 766,000 3,341,140 3,860,860 2016-04-20 $31.69 $29.25 40.9% 11.7% 20.5% 52.7% 41.2% 4.3% -2.8% 125.0M -4.39B -23.1M 1.18 17.83 N/A N/A 600,940 709,780 3,552,820 4,067,600 2016-04-21 $31.56 $29.75 41.1% 11.9% 20.4% 53.4% 41.9% 3.8% -2.9% 95.2M -4.14B -23.6M 0.96 18.58 N/A N/A 721,060 689,240 3,671,340 4,273,020 2016-04-22 $31.07 $29.75 42.7% 12.6% 20.6% 57.6% 44.0% 3.6% -3.2% -50.2M -3.29B -23.6M 0.71 20.12 N/A N/A 1,904,920 1,343,100 3,836,560 4,430,420 2016-04-25 $31.24 $29.75 41.0% 12.6% 20.4% 53.0% 43.3% 4.4% -2.5% 66.1M -3.55B -23.4M 0.99 23.63 N/A N/A 474,040 469,200 3,490,380 3,754,080 2016-04-26 $30.83 $29.75 41.3% 12.8% 19.8% 53.8% 44.0% 4.1% -2.7% 56.5M -3.08B -23.7M 1.19 32.40 N/A N/A 416,180 496,880 3,640,020 3,907,840 2016-04-27 $30.34 $29.75 41.5% 13.0% 20.7% 54.4% 44.7% 4.2% -2.9% 36.2M -2.37B -23.7M 0.83 36.18 N/A N/A 747,020 616,340 3,746,420 4,050,620 2016-04-28 $29.98 $30.00 42.6% 13.7% 21.0% 57.1% 46.5% 4.2% -3.0% 29.5M -1.95B -23.6M 1.00 40.09 N/A N/A 1,531,200 1,538,880 3,979,480 4,201,520 2016-04-29 $32.98 $30.00 26.2% 7.6% 39.7% 13.6% 28.2% 3.5% -0.5% 412.6M -7.75B -21.8M 0.98 11.44 N/A N/A 2,258,660 2,207,840 4,477,560 4,789,880
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