AMZN Options History — July 2016

In July 2016, AMZN traded between $36.29 and $37.98. ATM implied volatility averaged 37.9%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 19.3% (HV 20d: 18.6%). Max pain ranged from $34.25 to $36.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.87.

Notable Days

2016-07-29: Highest Volume — 4,234,500 contracts
2016-07-29: Largest IV drop — 47.1% change
2016-07-07: Highest IV Rank — 58.0%
2016-07-28: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.07	$36.29	$37.98	$36.29	$37.98
Max Pain	$35.40	$34.25	$36.00	$34.25	$36.00
ATM IV	37.9%	19.8%	42.8%	40.7%	19.8%
Expected Move	10.3%	5.6%	12.0%	5.9%	5.6%
HV 20d	18.6%	12.0%	21.2%	20.3%	13.7%
HV 60d	26.2%	18.3%	28.5%	28.4%	18.4%
IV Rank	45.0%	0.0%	58.0%	52.3%	0.0%
IV Percentile	61.5%	0.0%	76.6%	68.7%	0.0%
Term Structure	-2.6%	-3.4%	0.3%	-3.2%	0.3%
VWIV	36.0%	20.4%	40.5%	21.6%	20.4%
Skew 25d	4.8%	2.6%	6.4%	5.7%	2.6%
Skew 10d	8.9%	4.6%	12.5%	11.5%	4.7%
Call IV 25d	35.0%	18.6%	39.8%	38.5%	18.6%
Put IV 25d	39.8%	21.2%	45.9%	44.2%	21.2%
Bid-Ask Spread %	26.10	15.39	38.26	15.39	32.02
Gamma HHI	0.11	0.02	0.38	0.16	0.24
Net GEX	297.2M	-169.6M	1.09B	604.9M	425.4M
Net DEX	-5.80B	-9.04B	-4.00B	-6.80B	-6.77B
Net VEX	-25.9M	-27.7M	-24.3M	-26.3M	-25.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.59	1.15	0.91	1.01
Total Volume	1,937,114	780,640	4,234,500	2,379,820	4,234,500
Total OI	8,255,516	6,678,400	9,762,520	9,161,340	9,232,520

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
2016-07-01	$36.29	$34.25	40.7%	5.9%	20.3%	52.3%	21.6%	5.7%	-3.2%	604.9M	-6.80B	-26.3M	0.91	15.39	N/A	N/A	1,243,060	1,136,760	4,372,840	4,788,500
2016-07-05	$36.33	$35.00	42.4%	10.8%	20.3%	56.8%	38.6%	6.4%	-2.7%	333.1M	-5.96B	-25.9M	1.15	18.83	N/A	N/A	612,500	701,420	3,947,220	4,247,660
2016-07-06	$36.85	$35.00	42.8%	10.9%	20.8%	57.9%	38.3%	6.2%	-3.0%	480.2M	-7.34B	-25.9M	0.66	23.07	N/A	N/A	1,333,820	877,000	4,107,640	4,462,120
2016-07-07	$36.81	$35.00	42.8%	10.9%	20.7%	58.0%	38.5%	6.0%	-3.4%	495.7M	-7.21B	-26.3M	0.71	23.11	N/A	N/A	896,760	638,240	4,341,580	4,683,720
2016-07-08	$37.29	$35.00	39.9%	10.2%	21.2%	50.3%	36.1%	5.9%	-3.2%	1.09B	-9.04B	-25.2M	0.73	21.57	N/A	N/A	1,495,020	1,096,520	4,507,240	4,823,340
2016-07-11	$37.71	$35.00	38.8%	10.2%	20.5%	47.3%	36.5%	5.2%	-2.5%	416.1M	-8.10B	-24.3M	0.59	24.57	N/A	N/A	1,252,520	743,560	3,968,440	4,247,060
2016-07-12	$37.39	$35.25	39.5%	10.4%	20.8%	49.2%	36.8%	5.4%	-2.8%	357.3M	-6.99B	-25.0M	0.90	23.50	N/A	N/A	1,282,800	1,154,120	4,111,740	4,492,460
2016-07-13	$37.14	$35.25	39.5%	10.5%	21.0%	49.0%	36.9%	5.0%	-2.9%	282.1M	-6.29B	-25.7M	0.68	26.34	N/A	N/A	1,165,780	789,280	4,416,340	4,812,900
2016-07-14	$37.05	$35.50	38.4%	10.3%	20.9%	46.1%	35.6%	4.8%	-3.1%	195.7M	-5.97B	-25.6M	0.77	26.52	N/A	N/A	881,740	678,380	4,565,780	4,985,620
2016-07-15	$36.77	$35.50	38.0%	10.3%	21.2%	45.0%	35.9%	4.9%	-3.1%	-169.6M	-4.92B	-25.2M	0.75	31.77	N/A	N/A	1,415,120	1,064,840	4,675,960	5,086,560
2016-07-18	$36.87	$35.50	37.5%	10.5%	19.5%	43.7%	37.3%	4.5%	-2.5%	130.4M	-4.09B	-25.3M	1.02	26.77	N/A	N/A	636,780	648,580	3,256,240	3,422,160
2016-07-19	$36.96	$35.50	37.9%	10.7%	19.0%	44.7%	37.0%	4.7%	-2.6%	174.4M	-4.35B	-25.9M	0.94	26.85	N/A	N/A	564,340	531,640	3,444,280	3,661,840
2016-07-20	$37.28	$35.50	37.6%	10.8%	19.1%	43.9%	37.6%	5.1%	-2.7%	271.0M	-4.99B	-25.5M	0.98	24.74	N/A	N/A	666,420	654,920	3,535,380	3,850,840
2016-07-21	$37.22	$35.75	37.3%	10.8%	18.9%	43.1%	37.1%	5.1%	-2.8%	265.8M	-4.84B	-25.7M	0.59	27.82	N/A	N/A	1,069,600	626,880	3,651,480	4,002,020
2016-07-22	$37.20	$35.75	37.6%	11.1%	18.4%	44.2%	38.4%	4.5%	-3.1%	327.9M	-4.72B	-25.9M	0.91	24.43	N/A	N/A	1,067,840	971,760	3,970,600	4,119,340
2016-07-25	$36.96	$35.75	36.8%	11.3%	15.5%	41.9%	38.5%	3.7%	-2.4%	62.1M	-4.18B	-26.0M	1.12	26.42	N/A	N/A	537,380	602,760	3,227,920	3,567,360
2016-07-26	$36.76	$35.75	36.8%	11.4%	14.1%	42.0%	38.8%	3.1%	-2.3%	55.6M	-4.00B	-27.4M	1.11	29.40	N/A	N/A	370,640	410,000	3,437,460	3,846,900
2016-07-27	$36.84	$35.75	36.7%	11.6%	12.0%	41.5%	40.0%	3.5%	-2.3%	58.4M	-4.13B	-27.0M	1.14	30.54	N/A	N/A	453,480	515,720	3,504,700	3,933,340
2016-07-28	$37.64	$36.00	37.5%	12.0%	13.6%	43.8%	40.5%	3.3%	-2.4%	92.1M	-5.24B	-27.7M	0.81	38.26	N/A	N/A	2,051,220	1,668,580	3,667,080	4,134,140
2016-07-29	$37.98	$36.00	19.8%	5.6%	13.7%	0.0%	20.4%	2.6%	0.3%	425.4M	-6.77B	-25.5M	1.01	32.02	N/A	N/A	2,104,660	2,129,840	4,468,860	4,763,660