AMZN Options History — May 2016

In May 2016, AMZN traded between $32.91 and $36.17. ATM implied volatility averaged 24.7%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 15.4% (HV 20d: 40.1%). Max pain ranged from $30.25 to $33.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.92.

Notable Days

2016-05-11: Highest Volume — 3,278,620 contracts
2016-05-06: Largest IV drop — 9.4% change
2016-05-05: Highest IV Rank — 15.8%
2016-05-05: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.90	$32.91	$36.17	$34.19	$36.17
Max Pain	$32.28	$30.25	$33.25	$30.25	$33.25
ATM IV	24.7%	21.5%	27.1%	24.4%	22.4%
Expected Move	7.1%	5.8%	7.8%	7.1%	6.2%
HV 20d	40.1%	21.9%	43.1%	40.7%	21.9%
HV 60d	31.0%	29.4%	35.0%	35.0%	29.4%
IV Rank	9.4%	1.0%	15.8%	8.6%	3.2%
IV Percentile	16.3%	1.2%	28.2%	17.1%	4.4%
Term Structure	0.5%	-0.0%	1.1%	0.1%	-0.0%
VWIV	25.1%	20.9%	27.7%	25.7%	22.1%
Skew 25d	2.8%	2.2%	3.4%	3.3%	2.8%
Skew 10d	5.5%	4.1%	7.0%	6.3%	6.2%
Call IV 25d	23.4%	20.1%	25.5%	22.8%	21.2%
Put IV 25d	26.2%	22.7%	28.8%	26.1%	23.9%
Bid-Ask Spread %	20.41	10.74	31.58	10.74	13.64
Gamma HHI	0.07	0.04	0.36	0.06	0.08
Net GEX	217.4M	19.2M	542.7M	219.1M	226.8M
Net DEX	-6.70B	-9.33B	-4.30B	-6.91B	-6.67B
Net VEX	-24.3M	-25.9M	-21.4M	-21.4M	-23.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.70	1.35	0.96	1.11
Total Volume	1,922,031.429	604,300	3,278,620	2,431,000	1,784,140
Total OI	8,473,820	7,078,240	9,819,360	7,431,460	7,207,260

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
2016-05-02	$34.19	$30.25	24.4%	7.1%	40.7%	8.6%	25.7%	3.3%	0.1%	219.1M	-6.91B	-21.4M	0.96	10.74	N/A	N/A	1,237,600	1,193,400	3,517,900	3,913,560
2016-05-03	$33.58	$30.50	25.6%	7.5%	41.3%	11.9%	26.7%	3.4%	-0.0%	175.5M	-5.68B	-23.1M	1.02	13.33	N/A	N/A	799,980	819,840	3,758,560	4,310,840
2016-05-04	$33.57	$30.88	25.9%	7.6%	40.7%	12.6%	27.0%	3.4%	0.1%	174.0M	-5.63B	-23.6M	0.83	19.96	N/A	N/A	765,100	633,460	3,901,160	4,514,960
2016-05-05	$32.91	$31.75	27.1%	7.8%	40.9%	15.8%	27.3%	3.3%	0.2%	19.2M	-4.30B	-24.4M	0.70	23.36	N/A	N/A	1,178,720	829,860	4,040,440	4,638,020
2016-05-06	$33.69	$31.75	24.5%	7.3%	41.4%	9.0%	25.9%	3.0%	0.5%	542.7M	-6.37B	-24.2M	0.85	25.57	N/A	N/A	1,318,020	1,124,240	4,262,660	4,754,820
2016-05-09	$33.97	$31.75	24.6%	7.2%	41.4%	9.2%	25.4%	3.0%	0.6%	209.7M	-6.18B	-23.5M	0.89	21.56	N/A	N/A	851,780	759,920	3,679,360	4,148,000
2016-05-10	$35.20	$32.00	24.1%	7.1%	42.6%	7.9%	25.7%	2.8%	0.6%	286.8M	-8.36B	-22.7M	0.85	17.16	N/A	N/A	1,336,840	1,130,820	3,839,260	4,379,920
2016-05-11	$35.66	$32.25	25.7%	7.5%	42.5%	12.0%	26.4%	2.7%	0.5%	297.1M	-9.06B	-23.2M	0.79	18.99	N/A	N/A	1,834,700	1,443,920	4,026,220	4,705,160
2016-05-12	$35.92	$32.50	26.7%	7.8%	42.4%	14.9%	27.7%	2.7%	0.5%	302.2M	-9.33B	-24.9M	0.98	31.58	N/A	N/A	1,275,760	1,247,320	4,307,320	5,074,700
2016-05-13	$35.51	$32.50	26.0%	7.6%	43.0%	13.0%	27.0%	2.2%	0.6%	94.3M	-8.12B	-25.6M	0.93	25.72	N/A	N/A	1,660,300	1,540,440	4,493,300	5,324,260
2016-05-16	$35.53	$32.50	25.4%	7.3%	42.9%	11.4%	25.9%	2.3%	0.7%	183.4M	-7.48B	-24.8M	0.92	26.17	N/A	N/A	917,700	840,180	4,003,820	4,659,320
2016-05-17	$35.35	$32.50	26.1%	7.5%	42.5%	13.1%	27.0%	2.6%	0.5%	175.9M	-7.21B	-25.6M	1.35	30.59	N/A	N/A	256,840	347,460	4,192,200	4,859,800
2016-05-18	$34.82	$32.75	25.9%	7.4%	43.1%	12.7%	26.1%	2.6%	0.5%	88.7M	-6.12B	-25.9M	0.83	26.52	N/A	N/A	980,320	815,820	4,423,140	4,989,020
2016-05-19	$34.94	$32.75	26.1%	7.4%	42.9%	13.2%	26.0%	2.7%	0.7%	120.0M	-6.46B	-25.9M	0.78	22.58	N/A	N/A	913,980	712,500	4,508,880	5,103,300
2016-05-20	$35.14	$33.00	24.2%	6.8%	42.2%	8.2%	24.4%	2.5%	1.1%	274.8M	-7.29B	-25.2M	1.10	18.52	N/A	N/A	1,168,780	1,288,180	4,618,660	5,200,700
2016-05-23	$34.84	$33.00	24.3%	6.8%	42.6%	8.4%	23.9%	2.7%	0.4%	100.9M	-4.77B	-24.6M	0.98	15.03	N/A	N/A	607,200	594,780	3,474,900	3,603,340
2016-05-24	$35.20	$33.00	23.4%	6.5%	42.0%	5.9%	23.1%	2.6%	0.6%	180.3M	-5.49B	-24.8M	0.87	15.25	N/A	N/A	743,380	644,960	3,645,760	3,809,740
2016-05-25	$35.42	$33.00	22.6%	6.2%	41.1%	3.9%	21.7%	2.8%	0.5%	259.0M	-5.97B	-24.4M	0.83	18.13	N/A	N/A	787,340	651,940	3,790,660	3,960,840
2016-05-26	$35.70	$33.00	22.0%	6.0%	40.5%	2.2%	21.6%	2.6%	0.5%	406.2M	-6.77B	-24.3M	0.94	17.69	N/A	N/A	795,240	751,260	3,950,160	4,075,060
2016-05-27	$35.60	$33.00	21.5%	5.8%	24.5%	1.0%	20.9%	2.6%	0.5%	227.9M	-6.44B	-24.3M	0.81	16.47	N/A	N/A	982,020	796,620	4,053,100	4,230,140
2016-05-31	$36.17	$33.25	22.4%	6.2%	21.9%	3.2%	22.1%	2.8%	-0.0%	226.8M	-6.67B	-23.3M	1.11	13.64	N/A	N/A	846,480	937,660	3,502,300	3,704,960