AMZN Options History — August 2016 In August 2016, AMZN traded between $37.66 and $38.63. ATM implied volatility averaged 17.5%, placing in the 1.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.3% (HV 20d: 12.2%). Max pain ranged from $36.25 to $37.63. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.04.
Notable Days 2016-08-26 : Highest Volume — 2,429,500 contracts2016-08-05 : Largest IV drop — 6.8% change2016-08-26 : Highest IV Rank — 4.5%2016-08-04 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $38.24 $37.66 $38.63 $38.40 $38.43 Max Pain $37.22 $36.25 $37.63 $36.25 $37.63 ATM IV 17.5% 16.4% 19.5% 18.9% 16.7% Expected Move 5.0% 4.4% 5.6% 5.3% 4.4% HV 20d 12.2% 8.9% 14.3% 13.4% 8.9% HV 60d 15.8% 15.0% 17.9% 17.9% 15.1% IV Rank 1.2% 0.0% 4.5% 0.0% 0.6% IV Percentile 1.4% 0.0% 6.0% 0.0% 1.2% Term Structure 0.5% 0.0% 0.9% 0.0% 0.5% VWIV 17.6% 15.8% 19.7% 19.1% 15.9% Skew 25d 2.4% 2.0% 2.7% 2.6% 2.6% Skew 10d 4.7% 3.7% 6.0% 5.4% 6.0% Call IV 25d 16.6% 15.6% 18.4% 17.8% 15.6% Put IV 25d 18.9% 17.9% 21.0% 20.4% 18.2% Bid-Ask Spread % 52.44 42.74 61.09 42.74 61.09 Gamma HHI 0.09 0.04 0.23 0.05 0.07 Net GEX 252.8M -349.4M 778.1M 222.6M 229.1M Net DEX -5.77B -7.24B -4.25B -6.29B -5.27B Net VEX -26.8M -28.1M -25.3M -25.3M -27.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.78 1.40 1.14 1.01 Total Volume 1,417,569.565 974,480 2,429,500 1,774,400 1,077,580 Total OI 8,297,379.13 7,172,000 9,326,100 7,487,800 8,329,680
Daily Data (23 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 2016-08-01 $38.40 $36.25 18.9% 5.3% 13.4% 0.0% 19.1% 2.6% 0.0% 222.6M -6.29B -25.3M 1.14 42.74 N/A N/A 827,560 946,840 3,596,640 3,891,160 2016-08-02 $38.07 $36.50 19.4% 5.4% 14.0% 1.5% 19.2% 2.6% 0.1% 170.3M -5.61B -26.2M 1.12 48.00 N/A N/A 711,540 798,000 3,805,640 4,178,660 2016-08-03 $37.66 $36.50 19.5% 5.4% 14.0% 1.7% 19.0% 2.5% 0.0% 30.0M -4.66B -26.6M 0.99 47.79 N/A N/A 767,480 760,060 3,936,660 4,345,140 2016-08-04 $38.05 $37.00 18.7% 5.6% 14.3% 0.0% 19.7% 2.3% 0.1% 261.0M -5.80B -26.4M 0.94 43.58 N/A N/A 890,260 835,440 4,082,200 4,530,460 2016-08-05 $38.30 $37.00 17.4% 5.2% 13.8% 0.0% 18.5% 2.0% 0.2% 464.1M -6.57B -26.0M 1.00 47.42 N/A N/A 1,007,460 1,006,640 4,177,080 4,656,160 2016-08-08 $38.28 $37.00 17.5% 5.2% 13.3% 0.2% 17.7% 2.2% 0.6% 219.6M -5.91B -25.8M 0.80 49.48 N/A N/A 773,060 618,760 3,631,200 3,995,960 2016-08-09 $38.39 $37.00 17.1% 5.0% 12.9% 0.0% 18.1% 2.3% 0.5% 331.5M -6.58B -26.9M 1.40 51.02 N/A N/A 549,400 771,820 3,998,800 4,187,200 2016-08-10 $38.44 $37.00 16.6% 5.0% 12.5% 0.0% 17.5% 2.3% 0.8% 300.4M -6.59B -27.0M 0.95 51.85 N/A N/A 650,560 615,880 4,095,160 4,433,920 2016-08-11 $38.57 $37.00 16.8% 5.0% 12.4% 0.3% 17.7% 2.0% 0.9% 523.2M -7.14B -26.5M 0.95 52.98 N/A N/A 749,320 713,460 4,283,060 4,560,320 2016-08-12 $38.63 $37.25 17.0% 5.0% 11.9% 0.8% 17.9% 2.1% 0.8% 526.1M -7.24B -26.9M 1.00 51.76 N/A N/A 861,880 857,700 4,368,540 4,664,000 2016-08-15 $38.41 $37.25 17.5% 5.0% 12.3% 2.1% 18.1% 2.3% 0.8% 262.0M -6.37B -26.6M 1.09 53.53 N/A N/A 526,600 575,800 4,058,060 4,183,200 2016-08-16 $38.24 $37.50 18.1% 5.2% 12.5% 3.5% 18.2% 2.3% 0.6% 190.2M -5.92B -27.2M 0.93 53.70 N/A N/A 535,240 497,340 4,224,480 4,368,400 2016-08-17 $38.23 $37.50 17.3% 5.0% 12.2% 1.6% 17.5% 2.3% 0.7% 197.7M -6.03B -26.6M 0.78 55.32 N/A N/A 610,400 476,060 4,360,880 4,502,560 2016-08-18 $38.22 $37.50 17.0% 4.8% 12.2% 0.8% 17.2% 2.1% 0.9% 282.9M -6.04B -27.2M 0.94 58.06 N/A N/A 538,100 508,360 4,472,980 4,613,540 2016-08-19 $37.87 $37.50 17.2% 4.8% 12.7% 1.3% 17.2% 2.1% 0.8% -349.4M -4.89B -26.2M 0.80 58.46 N/A N/A 1,200,760 955,420 4,577,740 4,748,360 2016-08-22 $37.97 $37.50 16.6% 4.6% 12.4% 0.0% 16.5% 2.4% 0.7% 154.8M -4.60B -26.6M 1.03 45.40 N/A N/A 585,480 603,100 3,539,180 3,632,820 2016-08-23 $38.12 $37.50 16.4% 4.5% 12.2% 0.0% 15.8% 2.2% 0.7% 279.7M -5.08B -26.8M 1.24 48.28 N/A N/A 473,700 586,540 3,720,640 3,853,220 2016-08-24 $37.86 $37.50 17.2% 4.7% 12.6% 1.8% 16.7% 2.4% 0.6% 71.1M -4.25B -27.4M 1.04 56.56 N/A N/A 477,760 496,720 3,843,160 4,039,340 2016-08-25 $37.99 $37.50 17.6% 4.8% 10.2% 2.8% 17.3% 2.5% 0.5% 176.7M -4.65B -27.6M 1.19 56.76 N/A N/A 509,920 606,440 3,950,660 4,203,520 2016-08-26 $38.47 $37.50 18.3% 5.0% 10.6% 4.5% 18.0% 2.7% 0.5% 778.1M -6.29B -28.1M 1.03 57.24 N/A N/A 1,197,400 1,232,100 4,062,080 4,353,900 2016-08-29 $38.61 $37.50 17.4% 4.7% 10.0% 2.2% 16.8% 2.7% 0.6% 340.4M -5.91B -27.5M 1.26 55.92 N/A N/A 673,600 848,160 3,765,540 3,922,480 2016-08-30 $38.34 $37.63 16.9% 4.5% 9.8% 1.1% 16.1% 2.7% 0.5% 152.2M -4.98B -27.4M 1.26 59.07 N/A N/A 485,420 612,980 3,898,220 4,197,120 2016-08-31 $38.43 $37.63 16.7% 4.4% 8.9% 0.6% 15.9% 2.6% 0.5% 229.1M -5.27B -27.4M 1.01 61.09 N/A N/A 535,600 541,980 3,967,600 4,362,080
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