AMZN Options History — June 2016

In June 2016, AMZN traded between $34.57 and $36.41. ATM implied volatility averaged 27.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 10.9% (HV 20d: 16.5%). Max pain ranged from $32.25 to $34.25. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2016-06-24: Highest Volume — 2,927,800 contracts
2016-06-24: Largest IV spike — 27.8% change
2016-06-30: Highest IV Rank — 53.2%
2016-06-27: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.81	$34.57	$36.41	$35.93	$35.77
Max Pain	$33.33	$32.25	$34.25	$33.50	$34.25
ATM IV	27.3%	21.1%	41.0%	23.1%	41.0%
Expected Move	6.8%	6.1%	8.8%	6.2%	6.3%
HV 20d	16.5%	12.2%	21.0%	20.8%	19.6%
HV 60d	28.6%	28.0%	29.1%	29.0%	28.6%
IV Rank	16.7%	0.0%	53.2%	5.1%	53.2%
IV Percentile	23.7%	0.0%	70.6%	7.5%	70.6%
Term Structure	2.9%	-2.5%	12.0%	-0.2%	-2.4%
VWIV	24.1%	21.6%	31.4%	21.8%	22.4%
Skew 25d	4.2%	2.7%	6.7%	2.9%	6.2%
Skew 10d	8.4%	5.0%	12.7%	5.7%	11.3%
Call IV 25d	25.2%	19.9%	39.2%	21.7%	38.2%
Put IV 25d	29.4%	22.6%	45.9%	24.6%	44.4%
Bid-Ask Spread %	17.19	10.15	27.96	15.33	13.44
Gamma HHI	0.06	0.03	0.19	0.06	0.05
Net GEX	134.1M	-287.8M	364.6M	172.0M	293.3M
Net DEX	-5.28B	-7.29B	-2.88B	-6.14B	-5.16B
Net VEX	-25.2M	-26.5M	-23.5M	-24.2M	-26.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.78	1.27	0.90	1.17
Total Volume	1,671,974.545	1,020,200	2,927,800	1,585,340	1,430,860
Total OI	8,181,702.727	7,129,500	9,171,140	7,746,520	8,862,940

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
2016-06-01	$35.93	$33.50	23.1%	6.2%	20.8%	5.1%	21.8%	2.9%	-0.2%	172.0M	-6.14B	-24.2M	0.90	15.33	N/A	N/A	836,160	749,180	3,734,400	4,012,120
2016-06-02	$36.40	$32.25	22.5%	6.6%	21.0%	3.6%	23.5%	2.9%	0.0%	364.6M	-7.29B	-24.1M	1.02	12.83	N/A	N/A	973,900	994,560	3,935,480	4,242,740
2016-06-03	$36.28	$32.50	21.5%	6.4%	19.3%	0.9%	22.9%	2.7%	0.1%	295.3M	-7.08B	-24.2M	0.91	15.06	N/A	N/A	1,331,880	1,217,940	4,083,280	4,472,720
2016-06-06	$36.35	$32.50	22.1%	6.5%	18.1%	2.6%	23.3%	2.7%	0.7%	255.9M	-6.80B	-23.5M	1.05	15.54	N/A	N/A	699,460	735,040	3,715,520	3,891,060
2016-06-07	$36.18	$33.00	22.4%	6.6%	18.2%	3.3%	23.4%	2.7%	0.5%	176.8M	-6.25B	-24.7M	1.16	15.88	N/A	N/A	599,640	693,500	3,844,620	4,127,500
2016-06-08	$36.37	$33.00	21.1%	6.3%	13.7%	0.0%	22.6%	2.8%	0.8%	258.8M	-6.75B	-24.5M	1.11	17.43	N/A	N/A	581,820	643,860	3,986,280	4,316,280
2016-06-09	$36.41	$33.00	21.4%	6.3%	13.0%	0.9%	22.0%	2.7%	0.6%	239.4M	-6.71B	-24.9M	1.03	21.29	N/A	N/A	651,660	668,340	4,046,040	4,478,620
2016-06-10	$35.85	$33.00	22.7%	6.7%	14.0%	4.3%	23.7%	3.2%	0.9%	-55.3M	-5.04B	-25.0M	1.16	16.98	N/A	N/A	1,210,480	1,399,800	4,139,440	4,595,660
2016-06-13	$35.75	$33.25	25.1%	7.2%	13.4%	10.7%	26.4%	3.8%	2.1%	87.6M	-5.19B	-24.7M	1.26	22.83	N/A	N/A	616,420	777,260	3,705,720	4,099,900
2016-06-14	$35.91	$33.25	24.9%	7.1%	13.5%	10.2%	26.1%	3.9%	3.0%	95.4M	-5.42B	-25.5M	1.10	27.56	N/A	N/A	533,960	588,340	3,829,200	4,348,160
2016-06-15	$35.73	$33.50	24.9%	7.2%	13.5%	10.3%	25.0%	4.0%	2.6%	44.0M	-5.09B	-25.3M	1.27	27.96	N/A	N/A	604,900	766,380	3,937,380	4,477,100
2016-06-16	$35.88	$33.50	24.4%	6.9%	12.2%	9.0%	23.5%	4.0%	2.9%	102.1M	-5.46B	-25.9M	0.78	19.59	N/A	N/A	1,180,180	916,440	4,097,320	4,670,000
2016-06-17	$35.15	$33.50	26.0%	7.2%	14.5%	13.3%	25.1%	3.9%	2.7%	-287.8M	-3.69B	-25.4M	1.03	21.78	N/A	N/A	1,279,560	1,318,700	4,404,280	4,766,860
2016-06-20	$35.67	$33.50	24.3%	6.3%	15.3%	8.7%	22.3%	4.1%	12.0%	122.7M	-4.42B	-25.3M	1.03	14.05	N/A	N/A	695,460	715,640	3,482,540	3,646,960
2016-06-21	$35.80	$33.50	25.1%	6.5%	14.9%	10.9%	22.7%	4.2%	11.5%	138.4M	-4.60B	-25.3M	1.11	10.15	N/A	N/A	483,540	536,660	3,655,320	3,846,140
2016-06-22	$35.55	$33.50	26.7%	6.9%	14.8%	15.1%	23.7%	5.0%	11.0%	74.5M	-4.07B	-25.5M	1.00	10.32	N/A	N/A	528,980	529,460	3,786,540	4,022,340
2016-06-23	$36.08	$33.50	27.1%	6.1%	15.5%	16.0%	21.6%	5.2%	10.7%	250.6M	-5.28B	-25.3M	0.88	16.93	N/A	N/A	694,720	611,800	3,914,340	4,138,500
2016-06-24	$35.13	$33.50	34.6%	8.1%	18.0%	36.0%	28.3%	6.5%	10.1%	-187.9M	-3.18B	-26.5M	0.91	22.20	N/A	N/A	1,534,860	1,392,940	4,037,340	4,285,840
2016-06-27	$34.57	$33.75	40.6%	8.8%	18.8%	52.0%	31.4%	6.7%	-2.2%	25.5M	-2.88B	-26.4M	1.13	15.92	N/A	N/A	905,800	1,020,460	3,803,000	3,795,480
2016-06-28	$35.38	$34.00	39.4%	7.0%	19.9%	48.7%	25.4%	5.6%	-2.5%	175.8M	-4.42B	-26.3M	1.13	12.78	N/A	N/A	694,120	785,280	4,060,560	4,196,480
2016-06-29	$35.74	$34.00	40.7%	6.4%	20.2%	52.2%	23.2%	6.1%	-2.0%	308.8M	-5.24B	-26.1M	1.09	12.28	N/A	N/A	792,500	861,000	4,130,560	4,374,900
2016-06-30	$35.77	$34.25	41.0%	6.3%	19.6%	53.2%	22.4%	6.2%	-2.4%	293.3M	-5.16B	-26.5M	1.17	13.44	N/A	N/A	657,940	772,920	4,250,160	4,612,780